Options Markets I & II

New York Institute of Finance

How long?

  • 2 days
  • in person, online

What are the topics?

New York Institute of Finance

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Who should attend

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

About the course

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

Options Markets I & II at New York Institute of Finance

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.

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