Objective:
a
comprehensive programme available as a fully customisable in-house
seminar providing not only rules and conventions for trade idea
generation, trading styles, and position management, but also providing
detailed rebalance-by-balance calculations of position keeping issues
which illustrate real world "on-the-trading floor" practices and implications as well as holding
period P&L and risk and comparison to real world trading results.
Please
note that this seminar assumes that the audience is already quite familiar
with the contracts and at least standard valuation methods that are used
in the case studies, as the intention is to focus on how to trade and the
real world implication to P&L, rather than on the description of
securities/derivatives and pricing models (which are available in other ARTSchool
Seminars).
Audience:
·
Market makers, prop traders, structurers
·
Risk Management
This is a fully customisable programme
that may include any and all aspects as you require, and the following is only
an illustration of one of the possibilities.
1) Examination
of
the Trade Cycle:
This section covers all of the basic components of the trade cycle:
Trade
Idea Generation: Technicals, fundamentals, statistical, and other
methods, and importantly covering "trading discipline" such as
setting exit conditions (and sticking to them) etc., "know your
contract", dynamic vs. static strategies, and risk/return/funding
criteria.
Structuring
and Execution: once a trade idea is accepted, how is it best
implemented? What are the best strikes/expirations etc? What size
to trade, how to implement exit conditions and limits, and alternative
strategies and implications for capital, funding, credit, etc.
Position
keeping: the detailed (and real world) account of the actions required once the position
is established, and all of the details associated on rebalance-by-rebalance
basis both
with market convention methods, and alternative methods.
Audit:
did we make/lose money? Why/where did we make/lose money? Were
these gains/losses consistent with the original plan? If not, how to
improve? Did we make more money than expected, and if so is this a
good thing? Are these
profits consistent with the risk expected vs. the actual risk?
What was the risk adjusted return on capital, and will management let me
do this trade again, and under what conditions?
2) Case
Studies: each
case study applies a detailed look at the Trade Cycle for a specific
trade, and includes three components:
a)
a detailed step-by-step "work-through" of a real position with
real market conditions including detailed rebalance assessment and calculations
at any number of rebalance dates.
b)
Forward testing the trade against other possible strategies to examine
the impact on the entire holding period risk/return.
c)
Backward testing the trade against real market data to see how it would
have actually performed on those real market conditions for the entier
holding period of the trade.
The
case studies focus on trades specific to your needs. Just a few of
the possibilities are:
(i)
A directional view on the US 30 yr yield: generating the
"view", considering alternative structures (bonds, futures,
total return swaps), examining contract implications (delivery, balance
sheet, credit etc), planning the rebalance strategy, detailed examination
of running the trade, forward/backward testing of results and alternate
strategies. Review and audit of P&L, and where it might have
been done "better" on a holding P&L/risk and ROC basis.
(ii)
Directional view on the S&P Index under volatile conditions:
generating a view based on large movements in price and volatility, structuring
the trade (SPYDERS, futures, vanilla options, exotic options), managing
the position with delta/gamma vs., profile rebalances, auditing the
strategy with forward/backward testing and reviewing the holding period
P&L/Risk and ROC for the directional trade and also for
"volatility arbitrage", and how certain trading styles can
result in transforming this trade from a predominantly equity position
into a predominantly interest rate position.
(iii)
Market making vanilla swaps: setting return criteria (how much of your
bid/offer spread can you "give up"), examination of
alternative strategies (swaps, bonds, futures) with a look it specific implications for capital, short squeeze on roles, short end rebalances
vs. long rebalances with detailed rebalance calculations, and
importantly what "product" does the hedged position actually behave like. Auditing the performance of the market making book
via forward/backward testing and reviewing holding period P&L/Risk
and ROC, and did we actually run a hedged book or a punt on the
spread(s).
(iv)
Convertible Bond Trading: generating a view of long dated equity
markets, structuring a CB position (stripping the bond, asset/default
swapping the bond), creating synthetic long dated options with short
dated options and replication. Detailed look a
rebalance points including both equity and bond rebalances with examination
of bond/equity correlation, bond/LIBOR spread/correlation, and synthetic
long dates options vs. strips of short dated options. Auditing the
performance of the market making book via forward/backward testing and
reviewing holding period P&L/Risk and ROC from not only the total
P&L/risk perspective, but also from the P&L/risk of the equity
and bond legs as well as considerations of "volatility
arbitrage".
(v)
Model arbitrage in FX options: comparison of market convention
assumptions to real world observation for FX options to arrive at
alternative options valuation/rebalance strategies. Structure the
"position" by comparing synthetic dynamic replication of the
real world traded option with the "arbitrage model"
delta/gamma process, and examine the rebalances in detail. Review
the resulting holding period P&L and examine the "true"
nature of this "arb", and compare to forward and backward
testing holding period P&L/risk results.
811
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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