Content The Options*Bank seminar teaches participants how to systematically deconstruct options and analyze any options strategy. Throughout the three seminar days teams of participants trade options and manage an option book. The most successful strategy wins.
- Strategies
Constructing profit/loss profiles for basic options strategies, bull and bear spreads, butterfly, straddle, strangle and time spreads
- Pricing
Assumptions of the option pricing model and their implications, call/put parity and its consequences in trading
- Ratios
Risk measurement of options strategies using the 5 greeks (delta, gamma, vega-lambda, theta and epsilon)
- Using option ratios in managing the options book
Impact of risk ratios on flow trading, cost-effective management of the options book
Implementation of volatility, market and interest rate expectations to achieve maximum leverage in the options book
Gamma trading: optimum trading strategies for your market view, achieving a better relation between risk and return using roll-over strategies
Trading rules for arbitrage strategies, risk reversals, volatility smile, dynamic hedging of the options book
- Limits
Internal limit systems to control options trading risks through focused risk management systems instead of by volume, risk measurement of skew effects, volatility curve risks
Cyber*Preparation- FX swaps and outrights
- FX options – terminology, strategy, pricing
- Option risk factors
Target group- Option and FX traders
- Corporate bankers and dealers
- Treasurers and chief traders with risk management responsibilities
- Bank managers from accounting, controlling and auditing departments with responsibility for derivative products