Dates and Locations

07/08/09 Jul

London, UK

London Chamber of Commerce >>

Course Outline: Trading Strategies - Equity, Fixed Income & Options Trading Strategies

A. Course Description
This course provides an overview of equity, options and volatility trading strategies and proceeds on to fixed income instruments and currency trading. Covered will be the analysis of bonds, fixed income derivatives, and exchange rates. Strategies discussed will include volatility arbitrage, yield curve strategies, basis trading, various fixed income spreads and currency triangulation. Swaps, swaptions, caps and floors will be reviewed. The instructor will present strategies on basic and advanced option strategies, pairs trading, program and basket trading, risk arbitrage trading, structured product trading, and dispersion trading.

B. Method of Instruction
This course consists of three, seven hour days of lecture and classroom discussion, including sample text questions. All course materials will be provided by the instructor

C. Course Outline

DAY 1
Pairs, baskets, index arbitrage, statistical arbitrage

Replacement arbitrage, risk arbitrage, factor analysis, VWAP strategies, volatility dispersion strategies

Option pricing models and parity, greeks, basic option strategies:
- Spreads
- Straddles
- Conversions
- Reversals
- Boxes
- Greek-neutral strategies

Structured products and related strategies

DAY 2
Advanced option strategies:
- Gamma scalping
- VIX and volatility arbitrage

Option portfolio analysis with structured products

Introduction to bonds and fixed income trading:
- Cash spreads
- Funding and financing
- Futures spreads
- Basis trading

Convertible arbitrage, ted spreads, credit spreads

DAY 3
Swaps, swaption and bond option strategies

Currency trading strategies:
- Interest rate parity and differentials

Deposit arbitrage, triangulation arbitrage, and macro strategies

Sample test questions