ACF Academy
Derivatives Training Training
 Derivatives Training
Targeted Audience:
 Anyone working in the equities markets, investment managers, and those working in private wealth management.
 An understanding of the equities markets.
CPE Credits:
 14 hours
Course Level:
Date  DurationCostVenueRegister
6-7 Feb 2019  2 days$2750.00New York
25-26 Feb 2019  2 days£1925.00London
19-20 Mar 2019  2 days$2750.00New York
16-17 Apr 2019  2 days$2750.00New York
17-18 Apr 2019  2 days£1925.00London
20-21 May 2019  2 days£1925.00London

Equity Derivatives

The global equity markets have experienced extraordinary growth since 2009, with some indices more than doubling, and the S&P 500 up more than 2.5 times.

What should an investor do now, though? Has the market reached the end of the current bull-run, or are there more opportunities ahead? Should investors cash in, or remain long equities?

In fact, there is a way to keep ALL options open. Equity derivatives provide a flexible tool that allows an investor to protect against the downside while maintaining exposure to the upside, to enhance price or yield, to make money in a stagnant market, to implement optimal buying or selling strategies over time, and many other possibilities.

This two-day seminar explains how. Its principal objectives are to:

 Index Comparisons
Give participants a clear understanding of the basics and fundamentals of equity derivative products
Ensure delegates have an intuitive understanding of the pricing of equity derivatives and the impact of volatility
Explain how option traders hedge and trade options
Introduce the concept of volatility as an asset class, and how to make practical use of the new VIX and variance derivatives
Demonstrate the practical applications of equity derivatives and their use by clients
Consider the needs and perspectives of investors to obtain performance-driven solutions
Promote pro-active and innovative strategies using equity derivative products that add real value
Consolidate the learning experience by giving delegates hands-on experience of equity derivatives and their use in various structures
Hot Topic  Using equity derivatives in a high-volatility market.
 After attending this programme, delegates will:
gain a clear appreciation of the range of equity derivative products
understand how equity derivatives are priced
appreciate how to apply these products for the benefit of investors
identify risks and understand how to manage them
The idea is not to transform everyone attending into derivatives experts, but rather to provide delegates with enough practical skills, understanding, and confidence to determine the risk management needs of clients, and to compare alternative viable solutions.


Course Outline
The first day of the seminar starts with “delta-one” products – stock index futures and equity swaps.

We then move on to explore options, and how they are uniquely different from other equity derivatives.

In the latter part of the morning we provide an intuitive insight into the principles and practices of option pricing, and how this impacts all users of options.

The afternoon continues with option pricing, and then moves on to give delegates hands-on experience of combining options.

In the final session, delegates take part in a practical simulation session on trading an options book using ACF's unique Global Trader simulation.
 Stock-Index Futures
Contract definitions
Cash-and-carry pricing
The concept of the forward equity price
Hedging equities portfolios using futures
Tactical asset allocation using futures
 Equity Swaps
Variations of equity swaps
Term sheets
Integrating swaps in equity portfolios
Structured equity swaps
Using equity swaps
 Principles and Characteristics of Options
Review of equity options
Profit profiles at and prior to maturity
Time value  – the true cost of an option
 Option Pricing – An Intuitive Approach
An intuitive insight into option pricing
Types of option pricing model
Closed-form option pricing
Binomial option pricing
Monte-Carlo option pricing
Time value revisited
Early exercise of American options
Put-call parity
Volatility – historical vs. implied vs. experienced vols
Volatility smiles and skews
Volatility and option prices
Option Greeks
The meaning of delta, theta, vega, gamma, and rho
 Combining Options
Designing your own structure – a fluent transition between payoff diagrams and component parts
 Option Trading
Directional vs. volatility trading
Spread trading
Near vs. far dates
Out-of-the-money vs. in-the-money
Options vs. cash
Directional and volatility trading with equity options
The second day starts by showing how volatility can be treated as an asset class, and introduces VIX futures and options, and their practical application.

The next session explains how banks hedge their own options book, and some of the practical problems that arise. This is important both for writers of options – who are exposed to the risks involved – and to users of options, because the price paid for an option has to be adjusted for the cost of active hedging.

We then focus on the needs of clients, and how banks can deliver effective and targeted solutions to these needs. The day will feature an intensive session where delegates, working in teams, analyse the risks and needs of a specific client, design innovative and value-added solutions to meet the client’s needs, and then make their pitch for the client’s business.

In the final session we will explore the use of exotic options, and the way in which they provide a richer set of alternatives for clients.
 VIX Futures, Options, and Variance Swaps
Volatility as an asset class
Historical vs. implied volatility derivatives
What is the VIX?
VIX futures – concept and definitions
Applications for VIX futures
Volatility swaps and variance swaps
Practical applications for variance swaps
Using VIX futures
 How Traders Hedge Options
How delta-hedging works
Why be delta-neutral?
Buying high and selling low to achieve delta-neutrality
The link between delta, gamma, and theta
The trade-off between implied and experienced volatility
Delta-hedging simulation
The workings of an equity option trading desk
 Hedging Strategies with Vanilla Options
Summary of the key customer-driven strategies
Price protection
Hedging with options – advantages and disadvantages
Basic option hedge structures
Selling options within hedging programs
Caps and collar
Put-spread collars
Participating forwards
Zero-premium structures
Hedging an equities portfolio
 Yield Enhancement Strategies
Price and yield enhancement strategies
Income generation strategies
Butterflies, conversions, and reversals
Mini-workshop: the camel strategy
 Creating Synthetic Exposure
Bull and bear strategies
Asset allocation using equity derivatives
Creating targeted plays
90/10 strategies
Mini workshop: the 90/10 strategy
 Exotic Options and their Uses
Review of exotic options
Path-dependent options...
...Barriers, Asians, ladders and cliquets
Options with step-like (digital) payouts
Applications for exotics
Guaranteed-return equity funds
Contingent (pay-later) premium options
Mini-premium option
Building a mini-premium option


NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study


"Extremely enjoyable and well taught."

– Ronak P.