Valuation, Trading & Hedging Futures & Options


This course is designed for those who have some knowledge of Traded Futures and Options and wish to extend that knowledge in detail. It parallels an equivalent course previously but no longer provided by LIFFE. The course examines the methods for valuing Futures and Options as well as looking at both trading and hedging applications. Delegates are assumed to either have attended the basic one day Futures & Options Overview course or to have an equivalent understanding of the jargon and basics. The course spends one day each on Futures and Options.


  • Trainee or new Dealers in Futures or Options 
  • Trainee or new Brokers in Futures or Options
  • Middle Office staff and executives
  • Back Office senior personnel
  • Asset allocators
  • IT and Systems executives
  • Compliance Officers
  • Accountants

Content Day 1: Futures

Review of the Market and Basics

-Role of exchange and clearing house
-Mechanics of trading.  Margining system

Short Term Interest Rate (STIR) Futures

-Review of the contract specification
-Calculating the forward/forward price
-Establishing the arbitrage boundary
-Basis analysis
-Hedging a borrowing/lending exposure
-Securing a rate.   Spread trading
-Tailoring.  Relationship with swaps and FRA's

Bond Futures

-Review of the contract specification
-Properties of bonds.  Invoice amount formula
-Price factors.  Cheapest to deliver
-Cash and carry arbitrage
-Implied repo, basis analysis
-Hedge calculations, trading with bond futures

Equity Futures

-Index futures contract review
-Fair premium calculation.  Variables in pricing
-Basis risks.  Types of hedge
-Cash flow management
-Assets allocation using futures
-Synthetic funds

Content Day 2: Options

Overview of Options

-Put and Call Explanation. 
-Option Types.
-Options on futures

Pricing Options

-Intrinsic and time value
-Calculating expected loss
-Review of probability theory
-Volatility types
-Types of option pricing models
-Use of models

Option Sensitivities

-Explaining the sensitivities
-Delta, gamma, theta, vega and rho
-How the sensitivities are used

Options Strategies

-Distinguishing between volatility and direction trades
-Main strategies explored
-Call/put spreads
-Straddle, strangles, butterflies
-Hedging applications



Todays Date:

Duration 2 days
Available as an in-house course

Investment Education PLC
45 Old Hall Road, Manchester M7 4JF, United Kingdom
Tel:+44 (0)161 832 3800
Registered in England Number 2129160
VAT Registered Number GB 480 2112 85

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