Understanding and Trading European Options
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Understanding and Trading European Options

All you need to know if you want to trade European Options
New
5.0 (2 ratings)
Instead of using a simple lifetime average, Udemy calculates a course's star rating by considering a number of different factors such as the number of ratings, the age of ratings, and the likelihood of fraudulent ratings.
15 students enrolled
Created by Harun Mirzakhel
Last updated 9/2017
English
English [Auto-generated]
Current price: $10 Original price: $100 Discount: 90% off
5 hours left at this price!
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Includes:
  • 4.5 hours on-demand video
  • 7 Supplemental Resources
  • Full lifetime access
  • Access on mobile and TV
  • Certificate of Completion
What Will I Learn?
  • - Understand what Put and Call options are
  • - Explain in detail what impacts option prices
  • - Be familiar with common option structures used in the industry
  • - Understand the jargon
  • - Repository of different trading strategies in which options can be used
  • - Make use and explain Put-Call Parity
  • - Delta/ Gamma/ Vega/ Theta/ Interest Rate Rho/ Dividend Rho
  • - Puts and Calls/Put and Call Spreads/ Ratio Spreads/ Butterflies/ Calendar Spreads/ Strangles and Straddles/ Risk Reversal/ Box Spread/ Synthetic
  • - Black Scholes Formula/ Black 76 Formula
View Curriculum
Requirements
  • No Pre-Experience necessary. All you need is to be motivated to learn!!!
  • But in order to implement some of the material in practice, it would be beneficial to have at least some experience with Excel.
Description

You want to understand how Options work and how you can use them in your investment decisions? Or are you a student who is not happy with his professor and want to hear about Options from a seasoned finance professional? Then you are in the right place. This course teaches you everything you need to know to become familiar with Options and what impacts their price. Also, you will understand how you can use Options as an addition to your portfolio and how you can analyze different option strategies.

Topics Covered include Black-Scholes, common option combinations, Put-Call Parity, Trading Strategy backtests, Option Greeks and jargon used in the derivatives world.

The teaching will be presented in Power Point and Excel form. The Power Point slides are created in an interactive way so that you won't be starring at the same slide for ages.

So what are you waiting for? I hope to see you in my course.

Who is the target audience?
  • Everybody who wants to get an understanding of options and their use:
  • - Individuals who want to expand their knowledge about financial products
  • - Students who are not happy with their professor :-)
  • - Investors and traders
  • - People/Investors who are not looking for "make me rich quick" promises
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Curriculum For This Course
46 Lectures
04:23:39
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Course Introduction
2 Lectures 10:29

I give some details on my background and an overview of what you can expect when going through the course

Preview 07:17

Introduction of my book "European Options - An Intuitive and Illustrative Approach" available on Amazon and a summary of the knowledge you will have gained upon finishing this course

Introduction Part 2
03:12
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Basics
5 Lectures 33:18

You will be familiar with common terminologies and notations used, such as Intrinsic Value/ Option Premium/ Moneyness (ATM/ ITM/ OTM)

Preview 05:48

Explanation of what a call and put option are and their payoff profiles including their value profiles

Call and Put Options
05:54

You won't be afraid of the Black-Scholes Formula anymore (at least I hope so) and see that it is actually pretty simple. I will also explain the pricing inputs needed to this formula.

Black - Scholes
07:37

What is Implied Volatility and how is it observed in the market? You will also become familiar with Volatility Smile and Volatility Term Structure.


Implied Volatility
10:08

A quick overview of the difference between American and European Options

Note on American Options
03:51
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Excel Exercises for "Basics"
3 Lectures 30:36

How to calculate a Forward Price and the Cost of Carry

Forwards and Cost of Carry
11:46

How to calculate d1 and d2 as well as Nd1 and Nd2. These are part of the Black-Scholes formula and are required to price options as well as calculate their greeks.

d1 d2 and Nd1 Nd2
08:05

How to calculate an Options Intrinsic and Time Value. As part of that we will also use the Black Scholes formula.

Option Time Value vs. Intrinsic Value
10:45
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Option Greeks
5 Lectures 22:07

An Option's Delta explained and how it gets calculated

Preview 04:02

What is Gamma and how is it calculated

Gamma
02:04

The impact of a change in volatility to the option price.....vega

Vega
03:22

The clock is ticking.....the impact of the passage of time. I will also talk about the difference between Theta ex drift parameters and the Black Scholes Theta.

Theta
07:39

Cost and Income.....the impact of changes in Interest Rate and Dividends

Interest Rate and Dividend Rho
05:00
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Excel Exercises for "Option Greeks"
2 Lectures 17:26

Illustration of how to calculate European Call/Put Option Greeks in Excel

Calculating Greeks
10:11

Excel based example of how to use the before calculated Greeks to estimate a new option price if one of the inputs changes

Estimating the new Option Price
07:15
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Put - Call Parity Formula
5 Lectures 34:07

This video will give you an overview what the formula is about. It will also remind you of the notation being used. Power Point slides are also attached.

Preview 04:46

To understand the formula best, it is easiest to go through a specific example.

Arbitrage Example
08:42

Obtaining Greeks using the Put - Call Parity Formula
03:46

This is slightly technical, but not mathematically technical, rather logically. I will take you through the calculations needed to retrieve an Options Input Prices using a Box Spread, Put-Call Parity and the Black-Scholes formula.


Extracting Input Parameters
06:50

Here we do the same as in the previous lecture but using the Black 76 formula instead of the Black-Scholes formula....only a minor modification.

Extracting Input Parameters using Black 76
10:03
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Excel Exercises for "Put-Call Parity Formula"
3 Lectures 20:01

Excel based exercise for the arbitrage example discussed earlier on.

Arbitrage Example
06:49

Using a Box Spread and Put-Call Parity to calculate implied interest rate and dividend

Calculating Interest Rate and Dividends from Option Prices
06:36

Iterating through the Black-Scholes formula to obtain the implied volatility. I will also show you how you can do this using Excel's Solver tool.


How to calculate an option's Implied Volatility
06:36
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Option Combinations/Strategies
9 Lectures 39:46

An overview of the strategies that will be discussed, like Call or Put Spreads/ Strangles/ Straddles/ Butterflies/ Ratio Spreads/ Risk Reversals/ Calendar Spreads/ Synthetic/ Box Spread.

Overview
01:28

What happens when we combine a long call/put position and a short call/put position?

Preview 07:12

Two similar structures that pay off if the underlying moves a lot.

Strangles and Straddles
04:17

A combination of three options with which you make money (if long) when the underlying stays within in a certain range.

Butterflies
04:17

A slight modification of a call/put spread which we saw in the first part of this chapter.

Ratio Spreads
05:53

A combination of a Call and a Put Option, where the Call has a higher Strike Price than the Put.

Risk Reversal
03:49

The only strategy discussed here, where each leg has a different time to maturity.

Calendar Spreads
05:15

Just replicating the underlying.....more or less.

Synthetic
03:47

You have come across this one before. The only strategy which is sensitive to interest rates and passage of time only.

Box Spread
03:48
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Trading and Investment Strategies
6 Lectures 24:16

This lecture gives a brief overview of the assumptions made and the data used for backtesting the trading/investment strategies. It also explains which strategies I looked at (Long Only/ Call Overwriting/ Delta Neutral).

Preview 02:20

Brief description of the long only strategy and the backtest.

Long Only
02:29

Description of how the strategy works and which calculation steps where performed to achieve the backtest result.

Call Overwriting
04:49

Explanation of the assumptions used to perform the backtest for the Delta Neutral Strategy, as well as an explanation of how to trade this strategy.

Delta Neutral Strategy - Part 1
07:49

Discussion of the backtest results.

Delta Neutral Strategy - Part 2
04:12

Summary of Backtest Results
02:37
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Excel Exercises for Trading and Investment Strategies
5 Lectures 28:24

Calculations and output for the long only backtest. Attached to this video is the data I produced for each strategy in an Excel spreadsheet.

Long Only
03:09

Step by step example of how to perform the backtest for the Call Overwriting strategy.

Call Overwriting
09:55

Description of daily calculations performed for the Delta Neutral Strategy.

Delta Neutral Strategy - Part 1
06:36

Explanation of daily calculations done for the cash position of the strategy.

Delta Neutral Strategy - Part 2
03:05

Calculations performed on an expiry date.

Delta Neutral Strategy - Part 3
05:39
1 More Section
About the Instructor
Harun Mirzakhel
5.0 Average rating
1 Review
15 Students
1 Course
Equity Derivatives Risk Manager/ Equity Derivatives Trader

Harun Mirzakhel has more than 10 years experience working in the financial industry. His area of expertise covers the structured products world and equity derivatives. He started his career in October 2006 as an equity derivatives trader at Sal Oppenheim in Frankfurt where he covered singe stock plain vanilla products and light exotics. After three years he moved to the index desk covering European indices. In 2010 he began working for Macquarie in Frankfurt and moved for Macquarie to London in 2012. In 2015 his financial industry journey took him to UBS in London where he worked on a project related to their algorithmic index business and afterwards, started at Bank of America/ London in 2016 as an Equity Derivatives Risk Manager.

He is the author of "European Options - An Intuitive and Illustrative Approach" (ISBN: 1537515861)