Valuation, trading & hedging futures & options

Content - Day 1: Futures
Review of the Market and Basics

-Role of exchange and clearing house
-Mechanics of trading. Margining system

Short Term Interest Rate (STIR) Futures

-Review of the contract specification
-Calculating the forward/forward price
-Establishing the arbitrage boundary
-Basis analysis
-Hedging a borrowing/lending exposure
-Securing a rate. Spread trading
-Tailoring. Relationship with swaps and FRA's

Bond Futures

-Review of the contract specification
-Properties of bonds. Invoice amount formula
-Price factors. Cheapest to deliver
-Cash and carry arbitrage
-Implied repo, basis analysis
-Hedge calculations, trading with bond futures

Equity Futures

-Index futures contract review
-Fair premium calculation. Variables in pricing
-Basis risks. Types of hedge
-Cash flow management
-Assets allocation using futures
-Synthetic funds

Content - Day 2: Options
Overview of Options

-Basics
-Put and Call Explanation.
-Option Types.
-Options on futures

Pricing Options

-Intrinsic and time value
-Calculating expected loss
-Review of probability theory
-Volatility types
-Types of option pricing models
-Use of models

Option Sensitivities

-Explaining the sensitivities
-Delta, gamma, theta, vega and rho
-How the sensitivities are used

Options Strategies

-Distinguishing between volatility and direction trades
-Main strategies explored
-Call/put spreads
-Straddle, strangles, butterflies
-Hedging applications



Todays Date: 8 September 2017
Duration 2 days