Options & Volatility – Presentation to Queen’s University

It’s been my pleasure to give an introductory presentation/course on options and volatility to a select group of students at Queen’s University.

Download the slide deck here.

Main discussion points:

• The basics: forward pricing theory, quanto vs. local forwards

• Alternatives to the Black-Scholes model

• Skew and term structure

• Put-Call Parity

• Sensitivities (“Greeks”)

• The GME gamma squeeze

• VIX, VSTOXX

• Correlation & basket options

The key to learning is asking the right questions (and, in return, receiving useful answers). I hope you’ll learn something when you think about some of the questions in this presentation – it seems the students at Queen’s University did.