We offer a large scope of trading-related topics. Dependent on the needs of your business unit / team – we can assemble a suitable session. Some inspiration from the past:

• For a national regulator, we hosted a 3-hour session on Algorithmic Trading. Aim was to highlight risks of non-compliant behavior, whether intentional or unintentional

• At a Dutch university, we held a 1.5-hour lecture that supported the quantitative finance course from the practical side: how are derivatives traded in practice?

• For a market participant, we regularly train non-trading employees all ins and outs regarding their core business

• For a crypto firm, we assembled a state-of-the-art full week intense derivatives course

• For an exchange, we are currently assembling a half-day session on market misconduct

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Below is a rather exhaustive list of topics that could be formed into a (series) of session(s).

 

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Topics (Novice)

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Financial Markets & Market Making 

• Landscape of Capital Markets

• Market Participants and an overview of Assets traded

• The Economic Cycle, Central Banks and economic Macro-Figures

• Detailed overview of Trading Firms (versus other Financial Institutions)

• Detailed explanation and gamified sessions on Market Making Dynamics

• A selection of (card) Market Making Games

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The Order Book 

• Order Book dynamics

• Order Types, joining & diming

• Non-compliant order entries and behavior

• Auction dynamics

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Forward Pricing:

• Difference Spot vs Forward: F=S+i×S×τ

• Introduction to Dividends

• Single Stock Futures + scenarios 

• Arbitrage Trades & realistic boundaries

• Rolls and EFPs (Exchange for Physical

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Option Pay-Offs

• Vanilla Option Pay-Offs

• Option structures (strangles, condors, ..)

• Reasons why market participants trade options

 

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More Topics (Intermediate / Starting Professional)

 

Synthetics / Lifetime of an option:

• At expiry, C - P = S - X. This leads to put-call-parity

• Dividends and Options

• Synthetics, Jelly Rolls and Boxes 

• Factors driving the price of a single option

• Intuitive session on inputs of an option (and that these aren’t static)

• Introduction of Time Value + Intrinsic Value

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Delta/Gamma:

• Three intuitive definitions of delta

• Introduction of gamma

• Profit-and-Loss calculations:  PnL = 1/2 * gamma *move^2

• Delta-hedging, hedging strategies and scenarios

• CashDelta and CashGamma

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Greeks: Volatility/Theta

• Realized and Implied Volatility

• “vol-16 means average daily move of 1%” + all subtleties around this statement

• Theta formula  (OTM, ATM theta vs strike graphs)

• Gamma/theta ratio

• Winddown schemes: how does time run out?

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Greeks: Vega

• Vega drawn versus strike, volatility and time

• Vanna and Volga

• Weighted vega

• “Rapid Greeks” sessions: structures and their Greeks

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Greeks: Rho

• Callrho and Putrho, synthetic and boxes revisited

• Asymmetry of rho

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ATM-straddle

• Introduction to Black-Scholes

• ATM-straddle approximation Y(ATM) = 0.8 * S * σ * t^0.5

• ATM Greeks through Black-Scholes

• ATM-straddles for given products

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Modeling Volatility

• Volatility depends on strike, time and forward

• Existence of Skew and Smile (the volga-argument)

• Ways of modelling volatility

• Basic parametrization

• Skew

  1. Greeks change the moment we introduce skew

  2. Scenarios under long/short skew

  3. Charm will kick in under different skew scenarios

 

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Advanced topics

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​Short Stock/Borrow Rate

• Synthetics are not symmetric, since there is borrow rate when short stock

• Market participants look at short stock rate

• Implications of being very short (long) stock

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Early Exercise + American Options Pricing

• Binomial Pricing

• Early Exercise conditions and realistic scenarios

• Scenarios where an option should be abandoned/contra-exercised

• Borderline Calls, American Boxes and Dividend Gamma

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Corporate Actions:

• Trading Rights Issues

• Trading Scrip Dividends

• Dividend Tax

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Expiry for single stocks

• Different ways options expire (physical, cash) 

• The irrelevance of the Greeks during expiration

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Forward Vols & Events

• Term Structure

• Forward Volatility

• Base Volatility

• Two common ways of pricing events

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Options on Index Futures

• Base offset

• Expiry

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Broker Trading

• Explain the existence of the IDB (interdealer broker) market

• Key aspects of broker (voice) trading 

• Technical details of the voice market

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Other activities

• Workshop Risk Management:

• Assessing risks through a few hypothetical Books

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• Black-Scholes Pricing Workshop:

• Go over all assumptions in B-S pricing and check if these are unavoidable in reality

• Building a pricer in Python (at best Excel)

• Tweak model for stochastic vols, proportional dividends etc.

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• Workshop Compliance:

• The aim of the workshop is to make participants aware of how derivatives can be used to avoid paying dividend tax/dividend stripping and other ways of non-compliant behavior

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• Workshop Algorithmic Trading:

• A session where algorithms are central: what are benefits and risks? What types of algorithms exist?

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• Career Orientation:

• Detailed overview of what to look for when entering a job in finance

• Qualifications required to enter

• What to expect during interviews, spring weeks, summer internships and grad programs

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