Algo Options Strategies

COURSE INTRODUCTION

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:

  • Online course module (6 hours plus 3 hour software tutorial)
  • MATLAB software with MATLAB tutorial
  • Direct access to trainer for assistance
COURSE DETAILS

Duration: 3 months access
Trainer: Ernest Chan
Course Fee: £895 + VAT
How to Book: Register here

COURSE OUTLINE

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?

Event-driven trading

  • 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

Dispersion trading

  • 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
  • Using GARCH to predict volatility
  • The counter-intuitive way of trading XIV using predictions of SPY volatility

General pitfalls of backtesting and implementing algorithmic options strategies

Frequently asked questions

WHAT IS THE TIMELINE FOR THE COURSE?
You can start the course anytime you wish and will gain access to the online course materials within one business day of registration. Your online access will last for 3 months.

HOW LONG SHOULD IT TAKE ME TO COMPLETE THE COURSE?
We provide three months’ access to the online material (one month to MATLAB) 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 artificial intelligence. 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?
The trainer is happy to help you out in case you need assistance. Questions can be asked directly by email or through the trainer’s blog. However, the number and depth of the questions should be kept within reason and within the scope of the training course.