Derivatives Trading,
Strategies & Valuation

This invaluable three day course provides an in-depth introduction to the derivatives markets - including forwards, futures, options and swaps - across the major asset classes (FX, equities, and interest rates). Delegates will learn the mechanics, terminology, and conventions for each derivative type, along with essential guidance on valuation techniques, trading strategies and hedging applications.

Available for in-house delivery. Call +44 (0)1483 573150
Duration: Three days (9.00am to 5.00pm)
Location: In-house
Trainer: Stephen Aikin
Please contact us for a quotation

Day 1

Forwards and Futures

+ Forward pricing concepts
+ Types of forward: FX; energy; stock index; and interest rate
+ Differences between futures and forwards
+ Forward curves
+ Roll yields

Stock Index Futures

+ Types of stock index future
+ Managing the margin account
+ Stock index future pricing
+ Stock index future trading ideas and hedging applications

STIR Futures

+ Introduction to STIR futures and Exchanges
+ Contract structure and specifications
+ Quotation conventions
+ How do STIR futures differ from other futures?
+ Outrights, Spreads, Packs Bundles, Butterflies and Condors

Bond Futures

+ Introduction to bonds
+ Types of bond futures
+ The delivery process
+ The cheapest to deliver option
+ DV01 hedging with bond futures

Day 2

Introduction to Options

+ Delta one profiles versus option payoffs
+ Option terminology: Calls and Puts
+ Options Mechanics and Trading Conventions
+ The Option Premium: Intrinsic and Time Values
+ Basic premium valuation
+ Moneyness and Leverage
+ Expiry payoffs

Option Valuation and the Greeks

+ Pricing options prior to Expiry: An intuitive approach
+ Option Models: Black Scholes, BOPM and Monte Carlo
+ Early exercise considerations
+ Volatility: Historical and Implied
+ Risk management: The Greeks - Delta, Gamma, Theta, Vega and Rho
+ Portfolio management - Delta hedging: The Gamma/Theta trade-off

Option Trading Strategies and Hedging

+ The benefits of option strategies
+ Types of option strategies: Bull/Bear Spreads, Butterflies, Straddles, Time spreads, and Ratio spreads
+ Identifying Volatility trades versus Directional trades

Day 3

Swaps Introduction

+ Swap market background and history
+ Swap mechanics and conventions
+ Swap applications
+ Using swaps to transform asset and liability exposures
+ Calculating swap P&L and unwinds

Swaps Valuation

+ Introduction to Swap valuation considerations
+ Deriving discount factors from deposits and par swap rates
+ Swap Risk: PV01 and DV01
+ Calculating swap profit and losses
+ Approximating swap NPV and DV01
+ Swap collateralisation
+ Swap valuation using OIS discounting

Swaps Trading Strategies

+ Swap spreads, drivers and mechanics
+ Curve trades
+ Steepeners and Flatteners
+ Bull and Bear Steepeners and Flatteners
+ Constructing a DV01 neutral Bear Flattener
+ Butterfly trades
+ Belly richening and Belly cheapening Butterflies