Commodities, Derivatives and Structured Products

Options - Part 1 (2018)


This eCourse consists of three modules. Module 1 looks at the key inputs into option valuation and the different techniques, such as binomial expansion, Black-Scholes, and Monte Carlo techniques that are used to value options.

Module 2 looks at key inputs of the valuation of options and sensitivity measures and it also looks at the importance of put-call parity in exploiting potential option mispricings through arbitrage.

Module 3 looks at the basic dynamics of option values, exploring the relationship between option prices and forward prices, the concept of option moneyness, and the breakdown of option prices into time value and intrinsic value.


On completion of this course, you will be able to:
- Recognize how the type and width of an option’s payoff distribution affects its valuation
- Recall how to value an option using techniques such as binomial expansion, the Black-Scholes formula, and Monte Carlo simulation
- Recall how options that are in the money at expiration are automatically exercised while those that are out of the money lapse
- List the key inputs into option pricing, including the underlying stock price, the strike, time, volatility, risk-free rate, and dividends (or other asset income)
- Recognize the difference between realized volatility, implied volatility, and expected volatility
- Identify the main option pricing sensitivities, including delta, gamma, and theta
- Recognize the importance of put-call parity in identifying option arbitrage opportunities
- Recognize the importance of moneyness and measures of option sensitivity such as delta
- Identify how forward prices are connected to option prices and how forwards are priced in Excel


Module 1: Option Valuation – An Introduction
Topic 1: Basics of Option Valuation
Topic 2: Option Pricing Techniques

Module 2: Option Valuation – Key Concepts
Topic 1: Options Decision-Making & Outcomes
Topic 2: Option Pricing Influences: Underlying Price & Strike

Module 3: Option Valuation – Sensitivities & Outcomes
Topic 1: Moneyness
Topic 2: Option Pricing & Forwards
Topic 3: Option Pricing Influences: Time & Volatility
Topic 4: Option Pricing Inputs & Sensitivities
Topic 5: Put-Call Parity


Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
SFC:2.50, PWMA:2.50
Non-Member: HK$1050
Staff of Corporate Member: HK$710
All Member: HK$710