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Trading Volatility In The Real World

20 junio, 2018


1. Fundamentals.
a. Historical volatility estimation.
b. How to construct a good implied volatility surface.
c. How to compute a fair skew in the absence of options.
d. Market facts: volatility behavior and regimes.
e. The tools you need to manage derivatives.
2. Volatility models.
a. Review of the most commonly used volatility models: Black-Scholes, Local Volatility model, Heston model, SABR models, stochastic local volatility model.
b. Implementation of the Local Volatility model.
c. Case studies: Barrier options and AutoCallables.
3. Volatility risk Management.
a. The notion of break-even points.
b. A review of the Greeks, volatility risk as Vega.
c. Decomposition of volatility risk across maturities.
d. Decomposition of volatility risk across strikes and maturities.
4. Volatility derivatives.
a. Variance swaps, principle and practical issues.
b. Hands on exercise: step by step Variance Swap pricing and replication.
c. Volatility swaps.
d. VIX: Spot, Futures, options and ETFs.
e. Options on realized variance.
5. Volatility trading and arbitrage.
a. Volatility as an asset class.
b. Frequency/phase arbitrage.
c. Skew trades, sticky strike and sticky delta behaviors.
d. Term structure of VIX arbitrage.
e. Earning trades: 3 ways to play forward variance.
6. Correlation trading and strategies.
a. Concepts and misconceptions about correlation.
b. Historical and implied correlation.
c. Dispersion trades and arbitrage.
d. Currency triangular trades and beyond.
e. The notion of correlation skew.
7. Special techniques for special events.
a. Pegged currencies.
b. Acquisitions.
c. Brexit.
d. US elections: USD/MXP options as best predictor.
8. Reading the Mexican elections through the option market.



1) Vehicles for trading volatility.
– Delta hedged options.
– Variance swaps – actual and synthetic.
– Variance risk premia.
– Links between VIX and SPX Options.
2) Vehicles for trading skew.
– Risk reversals/collars.
– Statically hedged barrier options.
– Gamma swaps.
3) Vehicles for trading smile/vol of vol.
– Vega neutral butterfly.
– VIX options.
4) Delta hedging of Options.
– At zero vol.
– At initial implied vol.
– At realized vol.
– At running implied vol.
– Profiting when realized vol exceeds initial implied.
5) Arbitrage Restrictions on Implied Vol.
– Lognormal case.
– Normal case.
6) Market Models of Implied Vol.
– Surface construction.
– Breakeven vol and risk premia.
– Smile construction.
– Lognormal vs normal implied vol.
7) Statistical Arbitrage of Mis-priced Options.
– Vol trading using ATM straddles.
– Skew trading using risk reversals.
– Smile trading using flies.


Fecha de inicio 20 / 06 / 2018
Pais México
Duración 4 Clases 28 Horas
  • JW Marriot Santa Fe
Horarios WORKSHOP 10:00 am a 6:00 pm
* El horario varia según el módulo
Puntos AMIB 224
Puntos Mexder 224
Precio USD $30,000.00 M.N. + I.V.A.