Volatility Trading Analysis with R

Course details

Learn volatility trading analysis through a practical course with R statistical software using CBOE®, S&P 500®, VelocityShares® 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®, S&P 500®,VelocityShares® 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, and Yang-Zhang metrics.
• Calculate forecasted volatility through random walk, historical mean, simple, exponentially weighted, autoregressive integrated moving averages 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 and volatility tail hedge futures trading strategies historical risk adjusted performance using related hedged equity volatility futures strategy benchmark indexes replicating ETFs. 
• Approximate options call and put prices through Black and Scholes and 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 volatility options strategy benchmark indexes and replicating ETFs or ETNs.

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®, S&P 500®, VelocityShares® 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®, S&P 500®, VelocityShares® 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 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 stocks realized or historical volatility monthly differences probability distribution non-normality. Next, you'll evaluate volatility hedge and volatility tail hedge futures trading strategies historical risk adjusted performance using related hedged equity volatility futures strategy benchmark indexes replicating ETFs.

After that, you'll estimate option call and put prices through Black and Scholes and binomial trees models together with related option Greeks. Next, you'll assess returns risk through historical stock prices monthly changes 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 volatility tail hedge options strategy benchmark indexes and replicating ETFs or ETNs.