Volatility Trading Workshop

1 Day Workshop
(Workshop is not being offered at this time)

Qualifies for Continuing Education Credits:

• NASBA CPE - 9.6
• CFA CE - 8
• ACCA CPD

Introduction

Volatility has become increasingly important in the financial markets, representing both a potential source of profit and a very real risk. Today, high level of volatility is reshaping the world financial markets. This interactive workshop through intensive applications is designed to help intermediate to advanced level professionals better understand the methods by which traders attempt to take advantage of, and protect themselves from, within the dynamic volatility environment by emphasizing the importance of volatility in derivative pricing. In other words, volatility trading has been designed to provide practical advice through advanced techniques and models structured for enhancing volatility portfolio to create maximum profits with minimum risk management strategies. The most recent developments in volatility trading strategies will be a focus of this workshop through Excel and Bloomberg applications.

Who Should Attend?

This intensive and interactive workshop is designed for intermediate level professionals such as risk managers, traders, sales professionals, financial analysts, cash/money managers, auditors and compliance professionals.

What will you get out of this Workshop?

• Learn the key features of volatility dynamics and measurement.

• Experience different volatility models.

• Volatility trading strategies in the construction of portfolios.

• Discover how to exploit the high return – low risk scenarios.

• Use sophisticated products for higher portfolio performance.

• Manage the volatility exposure.

• Specialize on the best way to hedge.
  

Content

For this intensive and highly interactive workshop, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel.

Options as a Volatility Instrument

• Basics of options
• Key elements in option pricing
• Put-Call Parity
• Option pricing models
• Real-Life Complications: time-varying volatility and volatility smiles
• Risk measures in options and their behavior
• Measuring and pricing the risks in option models and volatility

Dynamics of Volatility and Volatility Forecasting

• Volatility characteristics, measures
• Volatility measuring techniques and modeling
• Historical volatility and implied volatility
• Implied volatility and volatility smiles
• Arbitraging the dynamics of the implied volatility surface
• Implied volatility models: Practitioner Black-Scholes
• Heston Stochastic Volatility model
• Exponential Weighted Moving Average
• ARCH and GARCH volatility
• Case studies and application in Excel

Volatility Trading Strategies and Their Uses 

• Trading the volatility through options
• Option replication; static-dynamic replication
• Volatility bets
• First order / second order volatility trade
• Higher moment bets
• Spreads, butterflies, straddles, strangles, and  others
• Exotic options and others
• VIX characteristics
• VIX products
• Dynamics and uses of strategies
• Accurate hedging and neutral position by trading volatility
• Performance evaluation
• Case studies and application in Excel