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New York Institute of Finance

Options Markets I & II

Next dates

Aug 1—2
2 days
New York, New York, United States
USD 1691
USD 845 per day
Nov 21—22
2 days
New York, New York, United States
USD 1503
USD 751 per day

Description

Develop a comprehensive, practical understanding of options including market conventions, contract specifications, valuation, trading strategies and the regulation of markets.

This course is a component of the Derivatives Professional Certificate.

Prerequisite knowledge:

  • Intermediate MS Excel skills (use solver, etc.)
  • Basic probability
  • Basic calculus
  • Some knowledge of equity markets
  • Knowledge of fixed income basics

CURRICULUM

Day 1

MODULE 1: CONTRACT TERMS AND CONDITIONS

  • Option Terminology
  • Contract Terms, Payoff Profiles & Break-evens

MODULE 2: INPUTS INTO OPTION PRICING MODELS

  • Asset price
  • Strike price
  • Time to expiration
  • Interest rates
  • Dividends
  • Volatility

MODULE 3: MARKET PARTICIPANTS AND STRATEGIES

  • Unlevered portfolio managers: Buy write, put write
  • Speculators: Vertical spreads and earnings speculation
  • Earnings announcements speculation

Day 2

MODULE 1: OPTION PRICING

  • Probability: essential concepts
  • Normal and log-normal random variables
  • Pricing models: Binomial and Black-Scholes-Merton

MODULE 2: RISK MANAGEMENT

  • The Greeks: Delta, Gamma, Theta, Vega, Rho and Psi

MODULE 3: RISK ARBITRAGE TRADING STRATEGIES

  • Calendar spreads
  • Yield curve spreads
  • Volatility trading

MODULE 4: HEDGE ACCOUNTING FOR SWAPS AND OPTIONS

  • Time decay
  • Hedge ineffectiveness
  • Cash flow hedges using interest rate swaps
  • Fair value hedges using options

WHAT YOU'LL LEARN

  • Understand common trading strategies using options
  • Develop a conceptual understanding of the Black-Scholes-Merton option valuation model
  • Use option sensitivities (the Greeks) to determine the impact of changing model parameters on option prices
  • Understand basic hedge accounting using options

Who should attend

  • Asset managers
  • fund managers
  • risk managers
  • treasury analysts
  • regulators
  • auditors
  • controllers and financial journalists.
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