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Learn/Options and volatility in depth
LearnOptions and volatility in depth

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B Basic

  • The greeks working together10m
  • Option strategies and their payoffsPro12m
  • Reading the volatility surfacePro11m

A Advanced

  • Delta hedging P&L: realized against impliedPro12m
  • Black-Scholes intuitionPro12m
  • Vol trading and exoticsPro13m
  • FlashcardsPro0/20
  • Basic quizPro80% passes
  • Advanced quizPro80% passes
  • Terms

Options and volatility in depth

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of 6 lessons
0
of 20 cards
FlashcardsStart the first lesson

The material a derivatives desk tests after the basics: how the greeks trade off, what each strategy bets on, how to read skew and term structure, why a hedged option makes or loses money, and what a desk sells as exotics.

BBasic3 lessons

  1. 1The greeks working togetherDelta tells you what to hedge, gamma tells you how fast that changes, theta is what you pay for gamma, and vega is your bet on implied vol. Know the sign of each for every position.10 min
  2. 2Option strategies and their payoffsProEvery standard strategy is a few calls and puts stacked together. Build the payoff table at four or five prices and you know the max gain, the max loss, and the breakevens.12 min
  3. 3Reading the volatility surfaceProImplied vol is not one number. It changes with strike (skew) and with expiry (term structure), and the shape tells you what the market fears.11 min
  4. QBasic quizPro10 questions, 80% passes

AAdvanced3 lessons

  1. 4Delta hedging P&L: realized against impliedProA delta hedged option makes money when the stock moves more than the implied vol priced and loses when it moves less. Work out the breakeven move and you can explain any day's P&L.12 min
  2. 5Black-Scholes intuitionProNobody asks you to derive it. They ask what each term means, why N(d2) is a probability, how to price an at the money option in your head, and why a digital is a tight call spread.12 min
  3. 6Vol trading and exoticsProVariance swaps trade realized vol directly, dispersion trades correlation, barriers make options cheaper by switching them on or off, and structured notes are where a desk's exotic risk comes from.13 min
  4. QAdvanced quizPro10 questions, 80% passes