Goal

After the completion of this course, the student will be able to trade volatility and to perform statistical arbitrage trades exploiting inefficiencies present in the volatility surface. The student will also be able to design systematic strategies for the extraction of Skew and Variance Risk Premium. Finally, the student will have professional level knowledge of options that will map directly into positions at derivative trading desks in any major institution.

Student Profile

Requirements: Completing the Beginners and Intermediate levels. In lieu of this, the student should already have a lot of options experience under his belt in particular with spreads and most of the high-level concepts of options. Even though advanced mathematics is not required, it can be very useful, in particular, the most important thing is not to get scared of seeing equations and charts. Despite the mathematical language, most concepts are explained in plain English and with practical applications.

SKILLS YOU WILL GAIN

CONVEX EDUCATIONAL TOOLS

Course Content

Expand All

Module 1 - Basic concepts review (26m) 3 Lessons

Expand

Module Content

0% Complete 0/3 Steps

The value of money (13m)

Forward price (8m)

Put/Call parity - Covered calls (5m)

Module 2 - Statistics review (50m) 4 Lessons

Expand

Module Content

0% Complete 0/4 Steps

Data and statistics (15m)

Standard deviation and options (8m)

Understanding probabilities (10m)

Normal distribution (17m)

Module 3 - The mystery of options pricing (1h10m) 4 Lessons

Expand

Module Content

0% Complete 0/4 Steps

Fair price (13m)

Option prices - Binomial Model (25m)

Black Scholes Model (20m)

Introducing Index Volatility Products:

Module 4 - Gamma and Volatility (1h) 4 Lessons

Expand

Module Content

0% Complete 0/4 Steps

Gamma and implied volatility (12m)

Volatility surface (18m)

Delta/Gamma hedging (21m)

Implied Variance (9m)

Module 5 - Variance Risk Premium (32m) 2 Lessons

Expand

Module Content

0% Complete 0/2 Steps

How to extract VRP (18m)

Extracting VRP with butterflies (14m)

Module 6 - Term Structure (30m) 2 Lessons

Expand

Module Content

0% Complete 0/2 Steps

Implied variance in time (14m)

Trades from term structure anomalies (16m)

Module 7 - Earnings (1h9m) 4 Lessons

Expand

Module Content

0% Complete 0/4 Steps

Ways of playing earning (16m)

Playing earnings - Example (15m)

Computing Implied Move (20m)

Strangle Swaps (18m)

Module 8 - VIX Options (50m) 4 Lessons

Expand

Module Content

0% Complete 0/4 Steps

Volatility products (13m)

VIX Options (15m)

Trading VXX (12m)

VXX Considerations (10m)

Module 9 - Exotic Options (32m) 3 Lessons

Expand

Module Content

0% Complete 0/3 Steps

Binary Options (13m)

Contingent Options (11m)

Barrier options (8m)

Module 10 - The end of the cycle (2m)

Instructors