Options*Bank

Seminar participants will understand how to systematically deconstruct an option position. They will learn how to use option strategies in their own option books, as well as how to apply options to their customers’ hedging strategies. Two and a half days of seminar will mainly focus on PC simulation of options’ dealing – the teams of participants will be responsible for their option books and will be challenged to achieve the best result by trading own/customers’ options under changing market conditions.

  • Options Strategies
    Profit and loss profiles, basic options strategies, Bull & Bear Spreads, Butterfly, Straddle, Strangle, Time-spread
  • Options Pricing
    Introduction to non-linear products, Options formula and its consequences, definitions, terminology, conventions, Call/Put Parity
  • Option risk factors
    Measuring risk of options strategies with Delta, Gamma, Theta, Vega (Kappa), and Epsilon
  • Application of Options risk factors
    Consequences of risk factors on flow-trading, cost optimized management and total option book
    Gamma Trading: optimal trading strategies on rate expectations
    With Roll/Over strategies to better Risk/Profit ratio
    Risk Reversals, Volatility Smile, Dynamic Hedging of an Option book
  • Exotic options introduction
    Basics & Overview
    Influence factors and risk factors (Digital options, Barrier options, Asian options)

Info

Dates

English 23 – 25 November 2020

Cyber*Preparation

During the Cyber*Preparation starting 4 weeks before the seminar, the participants will have the opportunity to “learn by playing” – by answering questions and reading the solutions they will get the state-of-the-art know-how about options and related topics. This preparation Cyber*School comprises 82 pages of script and 320 questions with explanations.

  • Linear FX derivatives
    FX Forward Outrights
    FX Swaps
    Applications of FX Outrights and FX Swaps
  • Options and Risk Factors
    FX Options
    Risk Factors
    Skew (“Smile Curve”) and Risk Reversal

Target Group

  • Treasury and corporate treasury professionals
  • Market risk managers
  • Treasury back-office and internal audit

Options*Bank

 3.060,00

Location: Vienna

Duration: 3 days
Cyber*Preparation starts one month before the seminar. Please register in good time.

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