Volatility - Core Concepts
Understand risk management figures used for options and the goals and objectives of a volatility trader - differentiating between the long and the short volatility trader, and discussing the hedging policies of each.
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Module 1: Core Concepts: Volatility Explained & Options Strategies
- Volatility
- Types of volatility defined
Module 2: Option Pricing
- What the Options Premium is telling us
- An overview of the Option Pricing Models
- Put-Call Parity
- Strategy Review & Synthetic Positions
Module 1: Core Concepts: Risk Management & Volatility Trading Overview
- The Greeks
- Changes over Time & Price
- Changes in the stock price (delta)
- Changes in the delta (gamma)
- Changes in time to maturity (theta)
- Changes in volatility (vega)
- Changes in interest rates (rho)
Module 2: Volatility Trading (Examples)
- Gamma Scalping Example: Remaining delta neutral
- Volatility Trade Examples
- Trading The Skew: Other Ways to Hedge
Module 1: Advances Concepts: Analytics & Volatility Studies
- Historical Volatility
- Calculating & Interpreting Historical Volatility
- Other Measures of Historical Volatility
- Range Volatility, Overnight Volatility
- Measuring Normal versus Real Distribution
Module 2: Implied Volatility Surface
- Volatility Skew
- Tracking Skew
- Tendencies, Seasonality, Etc.
- Term Structure of Implied Volatility: Sticky Strike, Sticky Delta
- Volatility Studies