1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES

Transcription

1 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES

2 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES P R O G R A M M E OVERVIEW The 1 day MDP Program from NSE has been designed to build basic to advanced level knowledge on options trading and related strategies. The program will focus on first building the basic knowledge of options Greeks like Gamma, Theta, Vega and Delta from a very practical stand point in view. Practical application of options in the areas of straddle, strangle, butterfly and Iron condor will be discussed (along with practical examples on the Excel sheet), so that traders can take advantage of various market scenarios and ever changing conditions. Thereafter the focus would be on using the Greeks to formulate the options trading strategies. Popular and profitable strategies like Gamma Scalping, Options shorting and handling related risks will be discussed in great detail along with live examples from the market. Arbitrage strategies and opportunities pertaining to call-call arbitrage, skew arbitrage and volatility arbitrage will also be covered in detail. Idea will be to help the participants get good know how on what kind of arbitrage they can spot across various options and how to leverage the opportunity to maximize the profitability. Discussion pertaining to risk management, like continuous delta hedging, vega hedging etc. will also be carried out during the program. All the trading strategies will be demonstrated using Excel examples - both in Nifty options and USDINR options segments. PROGRAMME OBJECTIVE The overall objective of the program will be to help the participants (brokers, dealers, traders, jobbers, arbitrageurs) - understand the way options market behave and how they can radically position themselves to take advantage in the options trading space in order to maximize profitability and minimize the risks involved. 1

3 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES P r o g r a m C o n t e n t Day 1 Session Time Topic Session I AM AM " Understanding Options basics: Call/Put AM AM Tea/Coffee break " Understanding basic Greeks: Gamma/Theta/Vega/Delta " How Options are priced: Black Scholes etc. " Bullish & Bearish Strategies " Straddle/Strangle/Calendar Session II AM PM " Volatility Trading: 1.15 PM PM Lunch " Spread/Butterfly/Condor/Box Strategies " Concept Session III 2.15 PM PM " Greeks: 3.45 PM PM Tea/Coffee break " Best time to trade vol " Long vs Short vol trading " Open Interest and its calculation in options " Black-Scholes Formula " Volatility forecasting: ARCH, GARCH estimations " Implied vs realized volatility and trading strategies " VIX trading vs options trading " Implication of VIX in options trading " Greeks in a portfolio: Delta/Theta/Gamma/Vega " Methods to neutralize Greeks " Optimal delta hedging strategy - Gamma scalping Session IV 4.00 PM PM " Skew Trading and arbitrage: " Volatility smile and skew " Managing portfolio of combination of smiles and skews, and associated risk " Adjusting a smile or skew using futures or options " Common mistake made during smile and skew trading " Straddle to straddle arbitrage " Volatility Relative Value - correlation trades 2

4 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES P R O F I L E O F S P E A K E R S MANISH JALAN Manish Jalan is the Managing Director and Co-Founder of Samssara Capital Technologies LLP. Manish has over 9 years of expertise in the areas of profitable systematic quantitative trading strategy development. He is responsible for development of algorithmic trading and investment products which are used by HNIs, wealth managers and hedge funds globally. Apart from this Manish also heads the team which develops systematic quantitative strategies which forms the core of Samssara products. Manish is also actively involved in the business development and client interaction parts of Samssara business. Prior to being in India, Manish was a Quantitative Equity Trader in Tokyo, with Merrill Lynch Prop Desk for over 4 years where he played a vital role in development and implementation of various factor models and high/medium frequency trading models, which contributed significantly to the prop desk profitability. He handled long short portfolio of more than 30 mn. Dollar at Merrill's Asia Pac prop desk. Besides this he implemented several high frequency trading strategies across the length and breadth of Nikkei market. He has also worked with Credit Suisse in Hong Kong and India where he contributed to development of several Prop and Agency strategies like stat-arb and VWAP enhancements. Manish has worked closely with more than 5 Indian broker shops and numerous International Banks in algorithmic trading, high frequency trading, statistical arbitrage, quantitative modeling, back testing, programming, statistical analysis and risk handling. Manish is a seasoned speaker in the areas of algo trading and quant trading with investors and traders globally. He is also a consultant with Dun and Bradstreet, The National Stock Exchange of India, Bank of America, ATMA (Association of Technical Marks Analysts) and KPOs like SGAnalytics on building models for hedge funds globally. Manish has done his B.Tech and M.Tech in Mechanical Engineering from IIT Bombay and is an alumnus of DPS RK Puram, New Delhi. 3

5 WHO SHOULD ATTEND? The workshop is ideal for Traders, Investors, Brokers, Sub-brokers, Dealers, Fund Managers, Corporate Executives, Financial Intermediaries, Media, Journalist & anyone who wants to learn Algorithm Trading. W O R K S H O P D E T A I L S MANAGEMENT DEVELOPMENT PROGRAM IS A ONE DAY EXECUTIVE WORKSHOP Date: June 13, 2015 Time: 9:00 AM to 05:30 PM Venue: National Stock Exchange Of India Ltd., Chennai. FEE & REGISTRATION Training Fee: Rs. 4,500/- (Special discount of 10% for a group of 3 or more participants attending together as a team.) The fee includes tuition, presentation material, etc. PAYMENT MODE: DEMAND DRAFT Account payee demand draft drawn in favour of "NATIONAL STOCK EXCHANGE OF INDIA LIMITED", payable in Chennai, should reach NSE at least seven days before the commencement of the program FOR ANY FURTHER QUERIES Mahesh Hariharan (Mob: ) Venkata Ramana (Mob: ) Landline : hariharanm@nse.co.in venkataramanag@nse.co.in (Limited Seats) 4

6 MDP NOMINATION FORM 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "DEMYSTIFYING OPTION TRADING AND STRATEGIES NSE presents a comprehensive program on Algorithmic trading for you. The course will provide you an opportunity to understand the various trading strategies that can be employed for Equity & Currency derivatives trading with hands on session. Step 1. Take a printout of this Nomination Form Step 2. Fill the Nomination Form with the required details Step 3. Make a Demand Draft of Rs. 4,500/- (Inclusive of taxes) payable at Chennai in favour of "National Stock Exchange of India Limited" Step 4. Send the Demand Draft along with completed registration form and Copy of pan card to Mahesh Hariharan (Mob: ) Venkata Ramana (Mob: ) National Stock Exchange of India Limited 8th Floor, Arihant Nitco Park, No 90, Dr Radhakrishnan Salai, Mylapore, Chennai Landline: hariharanm@nse.co.in Details Participant Participant Participant Name id Mobile Date of Birth Designation Organisation Years of experience in Stock Market Sponsored by: a) Self b) Company How did you come to know about the program: a) SMS b) c) Facebook d) NSE website e) Friends Correspondence Address:... Pin Code:... Programme Opted For: Date:... Payment Details: Amount (Rs.)... Demand Draft No.... Date of DD... Bank... 5

7 NATIONAL STOCK EXCHANGE OF INDIA LTD. 8th Floor, Arihant Nitco Park, No 90, Dr Radhakrishnan Salai, Mylapore, Chennai Website: