Volatility Trading

This two-day course will provide delegates with a theoretically precise introduction to the technical toolkit required for successful volatility trading. The course starts with an introduction to the various types of volatility - forward, local, stochastic, implied and historical volatility - and how these relate to option contracts, which are one way to trade volatility. Delegates are then introduced to exchange traded volatility securities such as the VIX, upon which futures and options are written, as well as bespoke instruments such as volatility and variance swaps. Finally, the course looks at various trading strategies based around the emergent world of volatility. Each delegate will be equipped with a PC, relevant data and Excel.

Duration: Two days (9.00am to 5.00pm)
Location: Apex City of London Hotel – London, UK
Trainer: Iain Clark
Course fee: £1890 + VAT – Register online

Course Outline

Black-Scholes, Risk and Volatility

+ Normal Distributions, Volatility and Variance
+ Volatility in the Investment World
+ Efficient Markets and Option Pricing Theory

Historical/Realised Volatility - Looking Backwards

+ Negative Correlation of Asset Returns with Asset Volatility
+ Averaging and Sampling

Forward, Local and Implied Volatility - Looking Forwards

+ Forward Volatility - Uncertainty over Future Time
+ Local Volatility - Uncertainty Depending on Time and Market Level
+ Implied Volatility - Market Price for Option Protection

Options and Volatility

+ Strikes, Models and Greeks
+ The Volatility Surface

Volatility Surface Construction

+ Local Volatility
+ SABR and Other Parameterisations
+ Non-Arbitragable Volatility Surfaces

Exchange Traded Volatility

+ VIX - The "Fear Index"
+ VIX Futures
+ VIX Options
+ Alternative Volatility Indices

Over-The-Counter Volatility Products

+ Variance Swaps
+ Volatility Swaps
+ Forward Volatility Agreements

Volatility Risk Management

+ Linear Volatility risk - Vega
+ Convex Risk - Volga and Vanna
+ Smile Risk

Trading Strategies

+ Calendar Spreads
+ Vertical Spreads
+ Iron Condors and Butterflies
+ Risk-On/Risk-Off Strategies