ACF Academy
Markets Training Training
 Markets Training
Targeted Audience:
 Anyone working in FX risk management, currency sales and trading, companies with multi-currency operations, or those advising clients on managing their FX risk
 A good working knowledge of the FX spot and forward markets
CPE Credits:
 14 hours
Course Level:
Date  DurationCostVenueRegister
21-22 Jan 2019  2 days£1925.00London
21-22 Jan 2019  2 days$2750.00New York

This is a highly practical seminar taking delegates from the essentials of FX options through to their use for hedging and trading.

The principal objectives of this intensive two-day seminar are to:
  Review the principles of forward FX rates and the fundamentals of options.
  Provide an intuitive understanding of option pricing, the different kind of pricing models which are used, and the significance of volatility.
  Give delegates a clear understanding of the behaviour and characteristics of FX options, and how FX options differ from other FX products like forwards.
  Explain the primary Greeks, and why they are important for all option users.
  Highlight the key differences between FX options, and options on other underliers.
  Demonstrate how FX options can be combined in different ways to create spreads, straddles, strangles, and other structures.
  Show how vanilla FX options can be combined to build targeted hedges, or to exploit specific views of the market.
  Develop within delegates an innovative and pro-active approach to the handling of FX risk management needs.
  Consolidate delegates’ understanding by providing first-hand practical experience with computer-based strategy evaluation, graphics, analytics, option pricing, and simulation.

Hot Topic FX options in a volatile environment.

The blend of theory with practical application creates an extremely motivating learning experience and provides the most effective means of acquiring and applying knowledge in the fast-moving world of international finance.

Course Outline
 Review of Foreign Exchange Forward and Swaps
Outright forwards and swaps
Impact of interest rates
Relation between spot and forward markets
Quoting forward rates and swap points
Forward discounts and premiums
FX swap points and interest rate parity
Risk from FX swap transactions
  Review of Options
Options definitions and terminology
Calls and puts; buying and selling
American vs. European style
In-, at-, and out-of-the-money
Intrinsic and time value
Components of time value
What the buyer pays for – the true cost of an option
Value and profit profiles
Profit profiles at maturity
Profit profiles prior to maturity
  Option Pricing – An Intuitive Approach
Types of option pricing model
Currency option pricing workshop
Binomial option pricing
Monte-Carlo option pricing
Time value revisited
Early exercise of American options
Put-call parity
Significance of volatility
Historic, implied, and experienced volatility
The term structure of volatility
Volatility smiles and skews
 Option “Greeks”
Measuring dimensions of option risk
Delta – the hedge ratio
Gamma – the change in delta
Theta – the decay of time value
Vega – the sensitivity to volatility
The Greeks of short-dated options compared to long-dated options
The Greeks of ATM options, compared to ITM or OTM options
Greeks workshop
 Understanding FX Options
Calls are Puts!
FX option trading conventions
Dates: premium payment, expiry, and settlement
Tokyo vs. New York cuts
Quoting volatility
Quoting deltas
Live options vs. delta exchange
The 25 D strangle
Risk reversals
 Building Option Portfolios
Horizontal, vertical, and diagonal spreads
Straddles and strangles
Ratio spreads and backspreads
Designing your own structure – a fluent transition between payoff diagrams and component parts
 Hedging and Financial Engineering with FX Options
Comparison of using in-, at- and out-of-the-money options
True cost of options hedging – time value
Hedging techniques using short option positions
Creating and using collars or risk reversals
Creating and using spreads
Zero-premium hedges
Creating and using zero-cost collars
Creating and using participating forwards
Deferred and embedded premiums
Creating and using break-forwards
The “continuum” from in-the-money to out-of-the-money options
Hedging FX risk
Financial Engineering with Currency Options
 Option Trading Strategies
Directional vs. volatility trading
Directional trading strategies
Near vs. far dates
Out-of-the-money vs. in-the-money
Options vs. cash
Volatility trading strategies
Directional and volatility trading with currency options


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


"Detailed and thoroughly covered the features of derivatives, and the virtual trading simulation gave me good understanding."

– Shoko K.