Services
Derivatives
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Derivatives Training |
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Derivatives are new products introduced recently to the market. It deals with history, applications, margin requirements, etc.
Curriculum
of Derivatives Core Module 1.
Introduction to derivatives Derivatives
defined, Products, participants and functions, Types of derivatives,
Development of exchange-traded derivatives, Global derivatives
markets, Exchange-traded vs. OTC derivatives markets, Derivatives
market in India, Approval for derivatives trading, Derivatives
market at NSE, Trading mechanism, Membership criteria, Clearing and
settlement, Risk management system
2.
Market index Understanding
the index number, Economic significance of index movements, Index
construction, Types of indexes, Desirable attributes of an index,
Capturing behavior of portfolios, Including liquid stocks,
Maintaining professionally, The S&P CNX Nifty, Impact cost,
Hedging effectiveness, Applications of index, Index derivatives,
Index funds, Exchange Traded Funds
3.
Introduction to futures and options Forward
contracts, Limitations of forward markets, Introduction to futures,
Distinction between futures and forwards contracts, Futures
terminology, Introduction to options, Option terminology, Futures
and options, Index derivatives, Payoff for derivatives contracts,
Payoff for futures, Payoff for buyer of futures: Long futures,
Payoff for seller of futures: Short futures, Options payoffs, Payoff
profile for buyer of call options: Long call, Payoff profile for
writer of call options: Short call, Payoff profile for buyer of put
options: Long put, Payoff profile for writer of put options: Short
put
4.
Pricing futures The
cost of carry model, Pricing futures contracts on commodities,
Pricing equity index futures, Pricing index futures given expected
dividend amount, Pricing index futures given expected dividend
yield, Pricing stock futures, Pricing stock futures when no dividend
expected, Pricing stock futures when dividends are expected 5.
Using index futures Hedging:
Long security, short Nifty futures, Hedging: Short security, long
Nifty futures, Hedging: Have portfolio, short Nifty futures,
Hedging: Have funds, buy Nifty futures, Speculation: Bullish index,
long Nifty futures, Speculation: Bearish index, short Nifty futures,
Arbitrage: Have funds, lend them to the market, Arbitrage: Have
securities, lend them to the market, F&O market watch: Spot the
mispricing, F&O market watch: Spread trading
6.
Using stock futures Difference
between trading securities and trading futures on individual
securities, Hedging: Long security, sell futures, Speculation:
Bullish security, buy futures, Speculation: Bearish security, sell
futures, Arbitrage: Overpriced futures: buy spot, sell futures,
Arbitrage: Under priced futures: buy spot, sell futures
7.
Pricing options Introduction
to the Black–Scholes formulae, The Black–Scholes option pricing
formulae, Pricing index options, Pricing stock options
8.
Using index options Hedging:
Have portfolio, buy puts, Speculation: Bullish index, buy Nifty
calls or sell Nifty puts, Speculation: Bearish index: sell Nifty
calls or buy Nifty puts, Speculation: Anticipate volatility, buy a
call and a put, Speculation: Bull spreads - Buy a call and sell
another, Speculation: Bear spreads - sell a call and buy another,
Arbitrage: Put-call parity violations, Arbitrage: Beyond option
price bounds
9.
Using stock options Uses
of stock options, Hedging: Have stock, buy puts, Speculation:
Bullish stock, buy calls or sell puts, Speculation: Bearish stock,
buy puts or sell calls, Combination positions using stock futures
and stock options, Early exercise of American options, Early
exercise of calls on non–dividend paying stock, Early exercise of
puts on non–dividend paying stock, Early exercise of calls on
dividend paying stock, Early exercise of puts on dividend paying
stock, Implied volatility 10.
Trading Futures
and options trading system, Entities in the trading system, Basis of
trading, Corporate hierarchy, Order types and conditions, The trader
workstation, The market watch window, Inquiry window, Placing orders
on the trading system, Market spread/combination order entry, Basket
trading, Futures and options market instruments, Contract
specifications for index futures, Contract specification for index
options, Contract specifications for stock futures, Contract
specifications for stock options, Charges
11.
Clearing and settlement Clearing
entities, Clearing members, Clearing banks, Clearing mechanism,
Settlement mechanism, Settlement of futures contracts, Settlement of
options contracts, Risk management, NSE–SPAN, Margins,
Margin/position limit violations
12.
Regulatory framework Securities
Contracts (Regulation) Act, Securities
and Exchange Board of India Act, SEBI (Brokers and Sub–Brokers)
Regulations, Brokers, Regulation for derivatives trading, NSE’s
certification in financial markets, Regulation for clearing and
settlement, Regulation for membership, Regulations for risk
management, Liquid network requirements, Initial margin computation
methodology, Calendar spreads, Short option minimum margin, Net
option value, Premium margin, Initial margin, Exposure limits,
Exposure limit for calendar spreads (only for futures contracts),
Position limits, Real time computation, Eligibility of stocks for
futures and option trading, Adjustments for corporate actions,
Accounting of futures and options, Accounting at the inception of a
contract, Accounting at the time of daily settlement, Accounting for
open positions, Accounting at the time of final settlement,
Accounting in case of a default, Disclosure requirements, Taxation
issues: A discussion
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Cochin Stock Exchange, Kochi, India |