Trader Mentoring · Options
Volatility, Pricing & Risk
Level III · 16 live sessions · 90 minutes each
Analyze volatility, option pricing and changing Greek exposures to understand how options positions behave before, during and after market moves.
Fee
US$2,400
Payment for every course is 40% at enrolment, 30% after session 4, and 30% after session 8.
US$960 at enrolment · US$720 after session 4 · US$720 after session 8
Cancel before session 4: refund of 50% of the deposit.
Designed for
Advanced options traders who can construct and manage multi-leg strategies and want to understand the volatility and pricing dynamics underlying those strategies.
Prerequisites
Options Level II or demonstrated equivalent competency. Students should be comfortable with payoff diagrams, basic probability, option Greeks and multi-leg positions.
Curriculum
16 live sessions
Each session includes a learning objective, practical work, and a competency demonstration. Session titles below are the full syllabus.
01Understanding Volatility
What you learn. Distinguish realized, historical, implied and expected volatility and understand what each measure actually represents. Understand why volatility is not simply "how much price moves," but a changing market variable with its own dynamics.
Practical work. Compare realized and implied volatility across several instruments and time periods.
Competency. Explain what the different volatility measures are telling you and identify situations where they may disagree.
02Measuring Realized Volatility
What you learn. Understand the construction of realized volatility, return intervals, observation windows, annualization and the limitations of historical volatility estimates.
Practical work. Calculate realized volatility using different lookback periods and compare the results.
Competency. Select an appropriate volatility measurement for a specific analytical question and explain the limitations of the estimate.
03Implied Volatility & Expected Movement
What you learn. Understand how implied volatility is extracted from option prices and how it relates to market-implied expected movement. Study implied move, expected range and the difference between statistical expectation and option-market pricing.
Practical work. Calculate implied moves from real option chains and compare them with subsequent realized movement.
Competency. Evaluate whether an option's implied movement appears high or low relative to the relevant historical and event context.
04Volatility Rank, Percentile & Relative Context
What you learn. Understand IV Rank, IV Percentile and other relative volatility measures, including their assumptions and limitations.
Practical work. Compare current implied volatility with its historical distribution across multiple instruments.
Competency. Determine whether an option is trading in a relatively high- or low-volatility environment without treating percentile as an automatic trading signal.
05The Volatility Surface
What you learn. Understand the three-dimensional structure of option volatility: Strike × Expiration × Implied Volatility. Study smile, skew and term structure, and why implied volatility differs across strikes and maturities.
Practical work. Construct and interpret a volatility-surface snapshot.
Competency. Explain what the surface is communicating about relative option pricing and risk.
06Option Pricing & No-Arbitrage
What you learn. Understand the foundations of option pricing, including intrinsic value, time value, volatility, interest rates, dividends, time to expiration and no-arbitrage relationships. Introduce the logic behind models such as Black-Scholes without turning the course into a mathematical pricing course.
Practical work. Explain why theoretically similar options can trade at different prices.
Competency. Identify whether an apparent pricing discrepancy represents a genuine opportunity or simply a difference in assumptions, liquidity or contract characteristics.
07Delta, Exposure & Dynamic Hedging
What you learn. Go beyond "delta is sensitivity." Understand delta as a dynamic exposure that changes as price, volatility and time change. Explore delta-neutral concepts and hedge ratios.
Practical work. Track delta as the underlying moves through different price levels.
Competency. Explain how and why the directional exposure of an option position changes.
08Gamma & Convexity
What you learn. Understand gamma as the driver of changing delta and the convexity of option positions. Study long versus short gamma and why the path taken by the underlying can matter.
Practical work. Stress-test delta and P&L under different price paths.
Competency. Explain why two positions with similar delta today can have dramatically different risk tomorrow.
09Theta, Time & Path Dependency
What you learn. Understand theta beyond "time decay." Study nonlinear decay, expiration proximity, weekends, event timing and the interaction between theta and gamma.
Practical work. Compare the evolution of positions across different expirations and price paths.
Competency. Explain why the same final underlying price can produce different option outcomes depending on the path taken to get there.
10Vega & Volatility Exposure
What you learn. Understand vega as exposure to changes in implied volatility. Study volatility expansion, contraction, crush, term structure and strike-specific volatility exposure.
Practical work. Model the effect of changes in implied volatility on different positions.
Competency. Explain how a position can lose money despite being directionally correct because of changes in volatility.
11Rates, Dividends & Carry
What you learn. Understand rho, dividends, borrow, carry and early-exercise economics, and when these variables become material.
Practical work. Compare option pricing and synthetic relationships under different rates and dividend assumptions.
Competency. Identify when carry-related variables materially affect an options position.
12Greeks Don't Act Alone
What you learn. Understand the interaction between delta, gamma, theta and vega rather than analyzing each Greek independently.
Practical work. Build scenario matrices showing how price, volatility and time interact.
Competency. Analyze an option position under multiple combinations of underlying move, volatility change and time passage, and explain the resulting P&L and risk.
13Portfolio Greeks & Risk Aggregation
What you learn. Move from analyzing individual legs to analyzing the portfolio as a whole. Understand aggregate delta, gamma, theta, vega and concentration across expirations and underlyings.
Practical work. Build a portfolio Greek dashboard.
Competency. Identify the portfolio's dominant risk exposures and explain how those exposures could change under different market scenarios.
14Hedging, Rebalancing & Hedge Slippage
What you learn. Understand practical hedging and why a theoretical hedge is not necessarily a profitable hedge. Study delta hedging, gamma exposure, vega hedging, rebalancing frequency, transaction costs, bid/ask spreads, hedge slippage, liquidity and model error.
Practical work. Simulate the management of a hedged position through a changing market.
Competency. Evaluate whether the hedge actually reduced portfolio risk after considering its cost and imperfections.
15Volatility Trading, Gamma Scalping & Model Risk
What you learn. Understand the basic mechanics behind volatility trading, gamma scalping and delta-hedged option positions. Explore the relationship between realized volatility, implied volatility, transaction costs and hedge frequency. Introduce model risk and the danger of assuming theoretical relationships hold perfectly in live markets.
Practical work. Analyze a delta-hedged option position through different realized-volatility environments.
Competency. Determine the conditions under which the strategy can work and identify the circumstances under which costs, volatility changes or model assumptions overwhelm the theoretical edge.
16Advanced Greeks, Volatility Lab & Final Assessment
What you learn. Develop working familiarity with second-order Greeks including Charm, Vanna, Vomma, Speed, Zomma and Color. The objective is not memorization—it is understanding what additional risk dimension each measure attempts to describe.
Practical work. Analyze a complex options portfolio and produce volatility analysis, volatility surface, Greek exposure, scenario analysis, stress test, hedge proposal and key failure conditions.
Competency. Defend the portfolio and explain: What is the portfolio actually exposed to, how will those exposures change, and what would make you change the position?
Ready to enrol?
Submit an application for Volatility, Pricing & Risk. Placement and payment instructions follow after review.
Educational content only. Not investment advice. Trading involves substantial risk of loss, including loss exceeding amounts invested. Trade at your own risk. Full educational disclaimer.