Options allow one to trade both the direction (‘delta’ views) of an underlying (as a proxy for a spot position) and / or its volatility. Exactly what does it mean to ‘trade volatility’? How do you do this? Variance swaps are one way. How do they work?
None is specifically assumed but a basic understanding of options and how they are hedged will help one take more away from the class.
• What is volatility?
• Calculating volatility
• Interpreting volatility
• Observations about volatility
• Sources of volatility
• Variance swaps (definition, vega notional, marking-to-market, uses, options on variance swaps, conditional variance swaps)
• Other ways to trade vol
WHO SHOULD TAKE THIS COURSE?
Anyone wanting to know more about ‘vol trading’
These courses are included in this module