LEVEL II · SELF-PACED ONLINE · CPD ACCREDITED

Advanced Options Trading and Risk Management

Level I shows how a position behaves at expiry. Level II shows how options behave during their lifetime and how their values are affected by: market movement, volatility, skew and time. 
  • 7 lessons, 12 hour course

  • The Aurora risk model

  • CIOPC exam fee included

  • Six months on The Floor included
LEVEL II ONLINE

EUR 1995

One payment. Start immediately.
14-day cooling-off period: full refund if you have accessed no more than 20% of the content.
Ready for Level II?
It assumes Level I fluency. Check yours with the free 15-minute qualifying test.
Take the test

What you will be able to do

The Level II course teaches all the market risks of an options portfolio.
Rebuild any option from its parts
Use put/call parity to find a missing price, spot a mispriced pair, and build synthetics, conversions and reversals.
Turn volatility into price moves
Translate an annual implied volatility into the daily, weekly or monthly range it implies, and judge it against what the market has actually delivered.
Know where the risk sits
Delta, Gamma, Theta, Vega and Rho, plus the second-order Greeks most courses never reach: Vanna, Charm and Volga.
Run a book, not a trade
Hedge delta and gamma, manage vega across expiries, and read a professional risk model that shows every exposure at once.

The curriculum

Seven lessons of about two hours each, ending at the controls of the model the Course Directors use themselves.
LESSON 1
Put/call parity and synthetics
In, at and out of the money; intrinsic against time value; a first look at Delta. How interest rates and the cost of carry move deep in-the-money options, and how parity yields conversions and reversals.
LESSON 2
Volatility
Volatility as a standard deviation, the lognormal distribution and time scaling. Realised against implied. Vega, and Volga as the change in Vega itself.
LESSON 3
Delta, Gamma and Vanna
Delta four ways: rate of change, hedge ratio, equivalent position and probability. Why Gamma peaks at the money. How out-of-the-money deltas move when implied volatility does.
LESSON 4
Theta, Charm and Rho
The cost of time, the drift of deltas as expiry approaches, and sensitivity to interest rates. Closes with a first look at the volatility curve.
LESSON 5
Skew
The four shapes of the volatility curve, shown below, and what each tells you about the market's anticipation of future volatility.
LESSON 6
Risk and position management
Delta hedging and the effects of Gamma; Vega management and volatility spreads across expiries; reading the risk model's signals.
LESSON 7
Running the Aurora risk model
Setting the model up for different markets, adjusting ATM volatility and skew inputs, and entering positions and trades.
FROM LESSON 5

Four shapes of skew

Implied volatility plotted by strike for a single expiry. Each shape is the market's forecast of what a move in the underlying will do to volatility, and how fast.
Smile
Calm, low-volatility markets.
Reverse
Equities and equity indices.
Forward
Energy and physical commodities.
Frown
Markets under stress or disruption.

What is included

  • All seven video lessons, with lifetime access

  • The Aurora risk model: the Course Directors' proprietary pricing and risk tool in Microsoft Excel, configurable for any tradable options market

  • All course materials, course test and certificate of completion

  • CPD-accredited by The CPD Certification Service, 12 hours of learning

  • The CIOPC exam fee: sit the proctored certification exam at no extra cost

  • If you pass: three years of CIOPC certification, with the first 12 months of the Annual Maintenance Fee included

  • Six months' membership of The Floor, including the monthly Town Halls with the Course Directors

Is Level II right for you?

Take it if you are actively trading options and not only just concerned with expiry pay-offs: desk traders, risk managers, portfolio managers and allocators overseeing options exposure, and private practitioners running a real book.
Start with Level I if you still have difficulty working out a position's break-even points. Level II assumes it. Already certain of your Level II knowledge? Go straight to the exam.
About Level II

Taught by

Santo Volpe
Course Director, former market maker, founder of Aurora Partnership
Hilton Fay
Course Director, senior options trader, traded on many exchanges around the world, floor and screen-based
Read the full Course Director profiles

After Level II

Level II completes the course pathway. What follows is certification and practice.
INCLUDED
The CIOPC exam
Your exam fee is covered. Pass the proctored exam to earn the Chicago International Options Protocol Certification.
About Level II
INCLUDED
The Floor
Six months in the gated community of options practitioners. Bring your positions and your questions to the Course Directors and your peers.
ON ENQUIRY
Bespoke mentoring
One-to-one work with a Course Director on your own account, your risk software and your live positions.
Enquire

Questions

Do I have to take Level II first?

No, but Level II assumes everything in it. If you are unsure, the free qualifying test covers that ground in about 15 minutes.

How long does it take?

About 12 hours of video across seven lessons, at your own pace. Allow extra time to work in the risk model.

What do I need to run the risk model?

A desktop or laptop with Microsoft Excel. The model is configured in Lesson 7 for whichever market you trade.

Does Level II include the CIOPC exam?

Yes. Your exam fee is included. The Level II course test leads to a certificate of completion; the CIOPC is a separate, proctored examination. If you pass, you hold the certification for three years, with the first 12 months of the Annual Maintenance Fee included.

Is there a live version?

Yes. Level II Live is the same curriculum taught over Zoom by the Course Directors, for EUR 2,995. See all formats

Can my employer pay?

Yes. We can invoice your company directly. Contact us

Manage the risk before expiry.

Level II Online · EUR 1,995 · CIOPC exam and six months on The Floor included