OTC Options Valuation and Administration, Equity and FX OTC Options

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If you register for both the morning and afternoon courses, you will only be charged the full day course fee.

Derivatives now play a significant role in the investment portfolio; whether they are used as a key risk management tool or to provide efficient liquid alternatives to position a portfolio for the direction of markets. Market volatility has served to underline the importance of considering using derivative products. But managing the exposures can be a worry for those without experience, which can lead to losses or unnecessary costs if not managed well.

Understanding how derivatives work, what markets they are relevant to, the pricing conventions and the product specific mechanics is of fundamental importance. This two-session programme will provide an overview of OTC derivatives valuation, pricing considerations and the practicalities of managing such products.

Each session sets out to provide participants with a comprehensive understanding of how the products work, exploring the different types of products together with a look at how they relate to the underlying physical marketplace. In addition to understanding how derivatives are priced and executed, it is equally important to appreciate the risks that come with using derivatives such as market, operational and counterparty risk and how they are managed.

Key Learning Objectives

Session 1: Equity and FX OTC Options:

• Provide a short refresher of the terminology used in the marketplace and distinguish OTC derivatives trading from Exchange traded products
• Become familiar with Equity and FX options, their definitions, and characteristics
• Gain understanding of both the cash flows and the practical details
• Understand the drivers behind option valuation and exposure calculations
• Identify the different types of risk exposure within each product group

This series of half-day courses for those who are new to derivatives or need to build their understanding of the main derivative contracts to improve their effectiveness. This might include managers, supervisors, technical and operations staff from the following activities:

• New entrants
• Client services and sales and marketing
• Finance and accounting
• HR and learning and development
• Investment professionals, investment administration and operations
• IT and software developers
• Risk management, legal, audit and compliance

09:30     Equity and FX OTC Options Fundamentals

• Review of the properties of vanilla options – terminology ‘buster’ and market conventions
  • Calls vs puts – review of the payoff profiles
  • Premium conventions – upfront vs. forward payments
  • Settlement conventions – cash vs. physical for equities
  • How FX options are quoted and the currency conventions for notionals, premiums and pay-outs
  • Understanding intrinsic value, option moneyness and time value
  • Options as ‘wasting assets’ and the effects of time on valuation

10:45     Coffee Break

11:00     Intuitive Option Valuation and Volatility Products

•    Overview of the fundamental principles of option valuation
•    How option valuation differs from conventional delta one (linear) products
•    Intuitive explanation of the premium value and mark-to-market
•    The factors driving the option value
•    What are the most important exposure factors – the concepts of delta and vega
•    The Volatility Index and VIX options
•    How do VIX options work and differ from conventional equity options

Russell Hammerson

Russell Hammerson is an experienced banker working with structured products and exotic options over 15 years.

Russell started his career in the fixed income trading division at Chase Manhattan in 1986. After having graduated from the Chase nine-month advanced financial risk analysis programme, he was seconded to the Chase insurance banking division for a year. Taking his insurance expertise with him, he later moved to Citibank to work in the financial engineering division, structuring fixed income and equity products for institutional investors.

From Citibank, Russell moved to Bear Stearns to help set up the newly established equity derivatives group as associate director responsible for marketing and structuring of European products prior to becoming head of structured products at Commerzbank.

Before moving into the technical training arena, Russell ran the structured product group at Banque Nationale de Paris followed by Bankgesellschaft Berlin, London, in a similar role as head of engineered products and international new issues and director of the London Management Committee.Russell has been training all areas of capital markets since 2001. At BG Consulting (now trading as ZISHI Cornerstone), he specialises in structured products, equity and credit derivatives and exotic options.

IA Member £395.00 +VAT
Non-Member £545.00 +VAT

Pay using a credit card online, or if you wish to be invoiced please email your full details to: Training@theia.org

PLEASE NOTE: Full payment for the course must be made prior to the course commencement date.

• Any cancellation must be made in writing.
• For all cancellation received 15-30 days prior to the course start date, 50% of the course fee is still payable.
• No refund is given for a cancellation made 14 days or less prior to the commencement of a course.
• Transferring from one course to another is treated as a cancellation. You can substitute one delegate for another at no additional cost. In this instance, please give two business days’ notice.

Hybrid Training Courses:

Hybrid deliveries of our training allows participants on our courses the option to attend in-person here from our offices at Camomile Court, or you can attend virtually via MS Teams.

Please be advised a training course could change from hybrid delivery to solely virtual delivery. In such an event, we will inform delegates at least one week prior to the course delivery date.

There are a limited number of in-person spaces available on this course and this will be allocated on a first come first served basis.