This e-learning workshop explores algorithmic trading strategies on options and volatility instruments. It will teach delegates how to scan and select among hundreds of stocks, and numerous strike prices and expirations for each stock. Delegates will also learn how to construct and backtest a range of effective algo strategies including intraday events-driven trading, gamma scalping of options on futures, dispersion trading of stock and stock index options, and cross-sectional mean reversion trading of stock options.
Our e-learning workshop is designed to give you everything you need to know to get started and includes the online course module, MATLAB software & tutorial and direct access to the trainer for assistance.
- Course duration: 6 hours
- Access period: 3 months
- Trainer: Ernie Chan
- Course fee: £895 + VAT
Overview of options and volatilities
- What risks do you want to hedge?
- Delta, gamma, theta, and vega
- Straddles and strangles
- Volatility: realized and implied. Can we predict them?
- Can we benefit from buying volatility ahead of economic announcements?
- A tale of two events
- Backtesting intraday straddles and strangles strategies with high frequency data
- Gamma scalping
The theoretical appeal of gamma scalping
- Is gamma scalping long or short volatility?
- Backtesting gamma scalping on crude oil futures and options
- An analogy with index arbitrage
- The risk profile of dispersion trading
- Various implementation alternatives
- Backtesting dispersion trading on the SPX: the curse of dimensionality
Cross-sectional mean reversion of implied volatility
- Time series vs cross-sectional mean reversion
- Does realized volatility mean-revert? Does implied volatility?
- Backtesting a portfolio of stock options
- Why is the return so high? Leverage of an option position
- Risks of a cross-sectional mean reversion strategy on options
Trading volatility without options
- Trading VX using predictions of VX return
- The counter-intuitive way of trading VXX using predictions of SPY volatility.
General pitfalls of backtesting and implementing algorithmic options strategies
Frequently Asked Questions
WHAT IS THE TIMELINE FOR THE COURSE?
This course is pre-recorded and available indefinitely for viewing on Adobe Connect.
HOW LONG SHOULD IT TAKE ME TO COMPLETE THE COURSE?
We provide indefinite access to the online material to give students a chance to take things at their own pace, but we expect most people to take no longer than a week to complete the course.
WHAT KIND OF MATLAB ASSISTANCE AM I PROVIDED WITH?
There is a MATLAB tutorial included in the workshop. If you have used MATLAB before, you should find it quite easy to complete the exercises, which do not require extensive programming. No prior knowledge of MATLAB is in fact necessary, although some general experience in programming using other simple languages would be useful.
WHEN WILL MY MATLAB LICENCE BEGIN?
You are advised to go through the online material first, then let us know when you are ready to start the course in conjunction with the MATLAB exercises, at which point we will request that your MATLAB licence begin. Please bear in mind it may take a couple of days to set you up with MATLAB.
IS THE COURSE STILL USEFUL IF I HAVE NO INTENTION OF USING MATLAB?
Yes, the main aim of the course is to communicate the principles of algorithmic options strategies. Furthermore, MATLAB programming code can be adapted fairly easily into ‘R’, an open-source alternative.
WHAT DOES THE ONLINE COURSE MATERIAL COMPRISE?
The online course material is made up of two modules. The first module is the main course and consists of slides with the trainer’s narration. The second module consists of a tutorial covering the essentials of MATLAB programming.
WILL I BE ABLE TO ASK QUESTIONS AS I GO ALONG?
Unlimited Q&A will be conducted on the course Slack channel.