1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON SPREAD, PAIRS AND ARBITRAGE TRADING STRATEGIES

Transcription

1 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON SPREAD, PAIRS AND ARBITRAGE TRADING STRATEGIES

2 P R O G R A M M E Spread, Pairs and Arbitrage Trading Strategies Program for Brokers / Retail Clients / Arbitrageurs / Positional Traders Objective The 1 day training session on Spread and Arbitrage trading strategies has been designed to help the brokers, dealers and arbitrageurs take advantage of spread trading and manage a delta neutral trade. In Indian market spread trading occurs in cash future arbitrage, cross exchange arbitrage, calendar spreads and rolls, pair trading, options volatility arbitrage etc. The session will cover all of these topics in detail to help the participants understand various kinds of spread trading techniques. The session will start with discussion on calculation of spreads. Then various mean reversion strategies like Bollinger bands, RSI etc which can be used for mean reversion strategies will be discussed in detail. The second session will focus on the essential and easy to understand mathematical elements of spread trading. Emphasis will be laid upon Beta, Correlation and Standard Deviations. Furthermore advanced convergence divergence maths like VRT and Co-integration techniques will also be discussed. Then the session will shift towards various strategies in arbitrage and spread trading. First the simple ones like cash-future arbitrage and calendar spreads. Then the more involved strategies like Pair Trading, Basket Trading, Index Arbitrage etc. will be discussed. Also some techniques on reducing the slippages in arbitrage trading using bid offer analysis will be discussed. The last session of the workshop will focus on options and options based spread trading. More notable volatility arbitrage which occurs between call to call and put to put will be discussed with live Excel examples. Furthermore, more examples pertaining to Straddle-Straddle and Strangle to Strangle arbitrage will also be discussed. Idea it to give the participants an overall flavor of various kind of spread strategies and how spread can be set and used effectively for portfolio management. Topics covered Introduction to spread and arbitrage trading Calculation of various kind of spreads Analysing spreads and using technical 's like Bollinger, RSI etc to trade spreads effectively Understanding mathematical concepts like Correlation, Beta and more advanced topics like VRT and Co-integration for arbitrage trading Looking at various arbitrage strategies like Pairs Trading, Future to Future trading, Cash to future trading etc. Calendar and Spread and Cash-Future Arbitrage trading Index and non-index based basket trading and how to create baskets of pairs In-depth know how of options volatility trading and how to trade vega neutral options pairs In-depth know how of trading straddle to straddle and strangle to strangle based volatility trading Key takeaways of the program The participants will be expected to understand: 1) How to design, develop and execute a spread and arbitrage strategy from scratch 2) They will be made aware about the risk and returns in various risk based and risk free arbitrage opportunities 3) They will be able to understand the basic yet intricate mathematics which goes behind the spread trading 4) They will be able to understand various kind of delta neutral strategies and be able to choose as to which one suits their personal style of trading 5) Finally an in-depth know how of options trading will help the participants understand various volatility arbitrage opportunities that Indian market has to offer. 1

3 P r o g r a m C o n t e n t Day 1 Session Time Topic Session I 9.30 AM AM Introduction to spreads How spreads are calculated - price difference based, ratio based Analysis of spreads - technicals on ratio Looking at mean reversion indictators - RSI, Bollinger for ratio convergence AM AM Tea/Coffee Break Session II 11.15AM PM Mathematical elements of Arbitrage Trading Using: Standard Deviation, Correlation, Beta Usage of VRT and Co-integration for spread trading Identifying convergence and divergence zones in spread trading Using variable the fixed Z-scores for spread trading 1.15 PM PM Lunch Session III 2.15 PM PM Pairs Trading & Future-Future Arbitrage Basket Trading (Index Arbitrage and Non-Index Arbitrage) Calendar and Spread Trading Cash - Future Arbitrage High Frequency Arbitrages Long Short Model for absolute return regeneration Using techniques from bid/offer to reduce slippages in arbitrage strategies 3.45 PM PM Tea/Coffee break Session IV 4.00 PM PM Introduction to option Greeks used in arbitrage techniques Usage of Volatility, Vega etc. to create arbitrage opportunities in Options Trading Call-Call, Put-Put arbitrage Trading Arbitrage in Straddle-Straddle, Strangle-Strangles Details on cross exchange arbitrages 2

4 P R O F I L E O F S P E A K E R S MANISH JALAN Managing Director, Samssara Capital Technologies 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 TWO DAY EXECUTIVE WORKSHOP Date: April 4, 2015 Time: 9:00 AM to 05:30 PM Venue: Hotel Raj Park, Chennai. FEE & REGISTRATION Training Fee: Rs.4,000/- Special discount of 10% for a group of 5 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 PLEASE CONTACT Mahesh Hariharan (Mob: ) Landline : hariharanm@nse.co.in (Limited Seats) 4

6 MDP NOMINATION FORM MANAGEMENT DEVELOPMENT PROGRAM IS A ONE DAY EXECUTIVE WORKSHOP 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. Rs.4,000/- 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: ) National Stock Exchange of India Limited Hotel Raj Park, 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. Exchange Plaza, Plot no-c1, G block, Bandra-Kurla Complex Bandra (E), Mumbai Tel No - (022) cc_nse@nse.co.in Website: