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Course Otam32

This document outlines the course content for an advanced options trading module offered by the National Stock Exchange of India. The course covers option valuation models including binomial and Black-Scholes models, the Greeks, volatility measures, basic and exotic option strategies, and market indicators. Key topics include option pricing theories, factors that influence option prices, quantitative concepts underlying options, and practical applications of options in trading.

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Sushil Mundel
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61 views4 pages

Course Otam32

This document outlines the course content for an advanced options trading module offered by the National Stock Exchange of India. The course covers option valuation models including binomial and Black-Scholes models, the Greeks, volatility measures, basic and exotic option strategies, and market indicators. Key topics include option pricing theories, factors that influence option prices, quantitative concepts underlying options, and practical applications of options in trading.

Uploaded by

Sushil Mundel
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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NATIONAL STOCK EXCHANGE OF INDIA LIMITED

DEPARTMENT : SBU EDUCATION


NCFM COURSE OUTLINE

OPTIONS TRADING (ADVANCED) MODULE


Options A Backgrounder
A.

Derivative Types

B.

Continuous Compounding

C.

Option Valuation

D.

Option Pricing Band


1.

Upper Bound: Call Option

2.

Upper Bound: Put Option

3.

Lower Bound: Call Option

4.

Lower Bound: Put Option

E.

Put-Call Parity: European Options


1.

Position A undervalued

2.

Position B Undervalued

F.

Put-Call Parity: American Options

G.

Dividends

Quantitative Concepts A Backgrounder


A.

Normal Distribution

B.

Share Prices Lognormal Distribution

C.

Linkages that arise from the Distribution

D.

Volatility (s)

Binomial Option Pricing Model


A.

Single Period Binomial

B.

Multiple Period Binomial

C.

European Put Option

D.

Binomial Model for American Options

E.

Role of Volatility in u and d

Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai 400 051

Page 1 of 4

Black-Scholes Option Pricing Model


A.

European Call Option

B.

European Put Option

C.

Dividends

D.

American Options

Option Greeks
A.

Delta
1.

European Call on non-dividend paying stock

2.

European Put on non-dividend paying stock

3.

European Call on asset paying a yield of q

4.

European Put on asset paying a yield of q

B.

Gamma
1.

European Call / Put on non-dividend paying stock

2.

European Call / Put on asset paying a yield of q

C.

Theta
1.

European Call on non-dividend paying stock

2.

European Put on non-dividend paying stock

3.

European Call on asset paying yield of q

4.
D.

European Put on asset paying yield of q


Vega

1.

European Call / Put on non-dividend paying stock

2.

European Call / Put on asset paying yield of q

E.

Rho
1.

European Call on non-dividend paying stock

2.

European Put on non-dividend paying stock

Volatility
A.

Historical Volatility (s)

B.

ARCH(m) Model

C.

Exponentially Weighted Moving Average (EWMA)

D.

GARCH Model

E.

Implied Volatility

Basic Option & Stock Positions


A.

Pay-off Matrix for Basic Option Positions


1.

Long Call

Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai 400 051

Page 2 of 4

2.

Short Call

3.

Long Put

4.

Short Put

B.

Pay-off Matrix for Position in the Share


1.
2.

Long Stock
Short Stock

C.

Assumptions

D.

A Few Option Contract Intricacies

Option Trading Strategies


A.

The Strategies
1.

Single Option, Single Stock


i.

Protective Put

ii. Covered Put


iii. Covered Call
iv. Protective Call
2.

Multiple Options of Same Type


i.

Bull Spread

ii. Bear Spread


iii. Butterfly Spread
iv. Calendar Spread
v. Diagonal Spread
3.

Multiple Options of Different Types


i.

Straddle

ii. Strangle
iii. Collar
iv. Range Forward - Long
v. Range Forward - Short
vi. Box Spread
vii. Condor
B.

Option Chain

C.

Contract Fundamentals

D.

Option Trading Intricacies


1.

Choice of Strike Price

2.

Choice of Expiry

3.

Roll Over and Covered Calls

Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai 400 051

Page 3 of 4

Exotic Options
A.

Asian Option

B.

Bermudan Option

C.

Compound Option

D.

Binary Option

E.

Barrier Option

F.

Look back Option

G.

Shout Option

H.

Chooser Option

Market Indicaters
A.

Put-Call Ratio

B.

Open Interest

C.

Roll-over

D.

Volatility

Regd. Office : Exchange Plaza, BandraKurlaComplex, Bandra (E), Mumbai 400 051

Page 4 of 4

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