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Finance & AccountingInvesting & TradingFinancial Trading

Volatility Trading Analysis with R

Learn volatility trading analysis from advanced to expert level through a practical course with R statistical software.
Rating: 4.6 out of 54.6 (68 ratings)
789 students
Created by Diego Fernandez
Last updated 7/2020
English
English [Auto]

What you'll learn

  • Download CBOE® and S&P 500® volatility strategies benchmark indexes and replicating funds data to perform historical volatility trading analysis by installing related packages and running script on RStudio IDE.
  • Estimate historical or realized volatility through close to close, Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang metrics.
  • Calculate forecasted volatility through seasonal random walk, historical mean, simple moving average, exponentially weighted moving average, autoregressive integrated moving average and general autoregressive conditional heteroscedasticity models.
  • Measure market participants implied volatility through related volatility index.
  • Estimate futures prices and explore volatility and asset returns correlation, volatility risk premium, volatility term structure and volatility skew patterns.
  • Assess volatility hedge futures trading strategy historical risk adjusted performance using related hedged equity volatility futures strategy benchmark index replicating ETF or ETN.
  • Approximate options call and put prices through Black and Scholes, binomial trees models together with related option Greeks.
  • Evaluate buy write, put write and volatility tail hedge options trading strategies historical risk adjusted performance using related buy write, put write and hedged equity volatility options strategy benchmark indexes and replicating ETFs.

Requirements

  • R statistical software is required. Downloading instructions included.
  • RStudio Integrated Development Environment (IDE) is recommended. Downloading instructions included.
  • Practical example data and R script code files provided with the course.
  • Prior basic R statistical software knowledge is useful but not required.

Description

Full Course Content Last Update 11/2018

Learn volatility trading analysis through a practical course with R statistical software using CBOE® and S&P 500® volatility strategies benchmark indexes and replicating ETFs or ETNs historical data for risk adjusted performance back-testing. It explores main concepts from advanced to expert level which can help you achieve better grades, develop your academic career, apply your knowledge at work or do your research as experienced sophisticated investor. All of this while exploring the wisdom of Nobel Prize winners and best practitioners in the field.

Become a Volatility Trading Analysis Expert in this Practical Course with R

  • Download CBOE® and S&P 500® volatility strategies benchmark indexes and replicating funds data to perform historical volatility trading analysis by installing related packages and running script on RStudio IDE.

  • Estimate historical or realized volatility through close to close, Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang metrics.

  • Calculate forecasted volatility through seasonal random walk, historical mean, simple moving average, exponentially weighted moving average, autoregressive integrated moving average and general autoregressive conditional heteroscedasticity models.

  • Measure market participants implied volatility through related volatility index.

  • Estimate futures prices and explore volatility and asset returns correlation, volatility risk premium, volatility term structure and volatility skew patterns. 

  • Assess volatility hedge futures trading strategy historical risk adjusted performance using related hedged equity volatility futures strategy benchmark index replicating ETF or ETN. 

  • Approximate options call and put prices through Black and Scholes, binomial trees models together with related option Greeks.

  • Evaluate buy write, put write and volatility tail hedge options trading strategies historical risk adjusted performance using related buy write, put write and hedged equity volatility options strategy benchmark indexes and replicating ETFs.

Become a Volatility Trading Analysis Expert and Put Your Knowledge in Practice

Learning volatility trading analysis is indispensable for finance careers in areas such as derivatives research, derivatives development, and derivatives trading mainly within investment banks and hedge funds. It is also essential for academic careers in derivatives finance. And it is necessary for experienced sophisticated investors’ volatility trading strategies research.

But as learning curve can become steep as complexity grows, this course helps by leading you step by step using CBOE® and S&P 500® volatility strategies benchmark indexes and replicating ETFs or ETNs historical data for risk adjusted performance back-testing to achieve greater effectiveness. 

Content and Overview

This practical course contains 45 lectures and 5 hours of content. It’s designed for advanced volatility trading analysis knowledge level and a basic understanding of R statistical software is useful but not required.

At first, you’ll learn how to download CBOE® and S&P 500® volatility strategies benchmark indexes and replicating ETFs or ETNs data to perform historical volatility trading analysis by installing related packages and running script on RStudio IDE. 

Then, you’ll do volatility analysis by estimating historical or realized volatility through close to close, Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang metrics. After that, you’ll use these estimations to forecast volatility through seasonal random walk, historical mean, simple moving average, exponentially weighted moving average, autoregressive integrated moving average and general autoregressive conditional heteroscedasticity models. Next, you’ll measure market participants implied volatility through related volatility index.

Later, you’ll estimate futures prices and compare them with actual historical data. Then, you’ll explore volatility and asset returns correlation, volatility risk premium, volatility term structure and volatility skew patterns. After that, you’ll assess volatility risk through historical implied volatility index daily returns probability distribution non-normality. Next, you’ll evaluate volatility hedge futures trading strategy historical risk adjusted performance using related hedged equity volatility futures strategy benchmark index replicating ETF or ETN.

After that, you’ll estimate option call and put prices through Black and Scholes, binomial trees models together with related option Greeks. Next, you’ll assess asset returns risk through historical stock index daily returns probability distribution non-normality. Finally, you’ll evaluate covered call or buy write, cash secured short put or put write and volatility tail hedge options trading strategies historical risk adjusted performance using related buy write, put write and hedged equity volatility options strategy benchmark indexes and replicating ETFs.

Who this course is for:

  • Undergraduates or postgraduates who want to learn about volatility trading analysis using R statistical software.
  • Finance professionals or academic researchers who wish to deepen their knowledge in derivatives finance.
  • Sophisticated investors with experience in financial derivatives who desire to research volatility trading strategies.
  • This course is NOT about “get rich quick” trading strategies or magic formulas.

Instructor

Diego Fernandez
Exfinsis
Diego Fernandez
  • 3.7 Instructor Rating
  • 2,495 Reviews
  • 12,862 Students
  • 36 Courses

Diego Fernandez is author of high-quality online courses and ebooks at Exfinsis for anyone who wants to become an expert in financial data analysis.

His main areas of expertise are financial analysis and data science. Within financial analysis he has focused on computational finance, quantitative finance and trading strategies analysis. Within data science he has concentrated on machine learning, applied statistics and econometrics. For all of this he has become proficient in Microsoft Excel®, R statistical software® and Python programming language® analysis tools. 

He has important online business development experience at fast-growing startups and blue-chip companies in several European countries. He has always exceeded expected professional objectives by starting with a comprehensive analysis of business environment and then efficiently executing formulated strategy.

He also achieved outstanding performance in his undergraduate and postgraduate degrees at world-class academic institutions. This outperformance allowed him to become teacher assistant for specialized subjects and constant student leader within study groups. 

His motivation is a lifelong passion for financial data analysis which he intends to transmit in all of the courses.

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