The Chicago Options Protocol

Brought to you by Opalesque, in partnership with the four Course Directors of Aurora Partnership — 140+ years of combined experience trading the volatility curve from the Chicago pits to the City of London and the Asian volatility desks.

Most options education sits at one of two extremes. Academic programmes teach you the Black–Scholes formula but never how to trade it through a vol shock. Retail alert services sell you signals but no protocol. The Chicago Options Protocol occupies the space between — the live-risk pedagogy that institutional traders actually use, taught by the people who built it.

Our four Course Directors began their careers as floor market makers, quantitative researchers and proprietary risk managers in Chicago, New York, London, Hong Kong and Singapore, ran institutional books across every major derivatives market, and now coach family offices, billionaires and institutional allocators on portfolio construction and risk architecture. What they teach is not theory. It is intelligence combined with muscle memory — the structural understanding of pricing, hedging and risk that comes only from thousands of trades in every volatility regime, paired with the doctoral rigor of a published authority on the volatility surface.

If you trade options for a fund, a family office, a bank desk, or a serious personal book, this is the course catalogue built for you.

THE FOUR COURSE DIRECTORS — A SHARED INSTITUTIONAL MOMENT

Cresvale International, the early 1990s. Dr. Kevin Connolly directed the firm's risk-management architecture. Santo Volpe, Hilton Fay and Michael Hadley traded under it across London, Hong Kong and Singapore. Three decades later, the same four practitioners reunite as Course Directors of The Chicago Options Protocol — bringing together the academic gravitas, the floor pedigree and the institutional risk discipline that are normally acquired only one at a time, and never in the same person.
Santo Volpe, KCSS
Founder, Aurora Partnership

From the Chicago pits to the global risk desk — four decades at the frontier of derivatives.

Santo Volpe's career began where modern options trading itself began: on the floor of the Chicago Board of Trade — the only school that has ever produced generations of great options traders. In 1990 he started as an options market maker on the floor, making markets in U.S. 30-Year Treasury Bond options and Soybean options. He carried that discipline to London, market-making Short Sterling options on the LIFFE and Euromark options at Cresvale — running proprietary books with full responsibility for pricing, hedging, and gamma management.

This is the foundation of what students learn from Santo through The Chicago Options Protocol: not the theory of options, but the mastery that comes only from superior understanding and constant application — thousands of trades, in every volatility regime, over thirty-five years.

The Global Risk Architect

By the late 1990s, Santo had moved from the pit to the centre of institutional risk. At Refco he served as Global Trading and Risk Manager and then Head of Proprietary Trading in London, while concurrently appointed Global Risk Advisor — designing and implementing Refco's worldwide risk management architecture across front and back office, integrating regions and asset classes into a single command structure, reporting directly to the board. This was the global risk management centre where every exposure, every desk, every region converged. In 2002 he co-founded Eden Rock Capital Management as Chief Investment Officer, scaling the platform to approximately USD 3 billion in AUM as a multi-strategy hedge fund integrating equities, fixed income, and derivatives within a single institutional framework. Across his career he has overseen significant assets in excess of USD 5 billion.

Coach to Billionaires and Family Offices

Today Santo advises family offices, ultra-high-net-worth individuals, and institutional allocators on derivatives portfolio construction, risk architecture, and capital preservation. His coaching philosophy rests on a single conviction: sustainable performance comes from the disciplined integration of macro insight, structural portfolio design, and rigorous risk governance — never from prediction, alerts, or signal-following. He treats capital allocation as an architectural problem: balancing opportunity, liquidity, and downside control within frameworks that survive every market regime.

In The Chicago Options Protocol, Santo distills three and a half decades of floor-trading mastery, institutional risk discipline, and private-client coaching into a single curriculum — the lost wisdom of the Chicago pits, codified for the modern professional.

Santo holds an MSc from the University of London and a BA from Northwestern University. He is a Knight Commander of the Order of St Sylvester (KCSS) and holds further honours from the Constantinian Military Order of St George, the Military Order of the Collar, and the Royal House of Aragon.

Professor Kevin B. Connolly, Ph.D.
Course Director, The Chicago Options Protocol

From the academic vanguard of volatility trading to the head of quantitative research and proprietary risk in the City of London — four decades bridging derivatives theory and live market execution.
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Kevin Connolly’s career bridges a divide that few derivatives practitioners ever cross. Trained as a quantitative researcher at the doctoral level and appointed to lectureships at City University Business School (now Bayes Business School) and London Guildhall University, he became one of the City of London’s earliest and most influential authorities on volatility trading and convertible-bond pricing. His two seminal works, both published by John Wiley & Sons in their Wiley Trader’s Exchange and Frontiers in Finance series — Buying and Selling Volatility (1997) and Pricing Convertible Bonds (1998) — were among the first books to translate the structural mathematics of volatility into the working language of an institutional desk, and have remained reference works in the field for almost three decades.

This is the foundation Kevin brings to The Chicago Options Protocol: not theory alone, and not floor instinct alone, but the rare integration of both — the doctoral rigor that produces a published treatise on the volatility surface, and the live-risk authority of having run quantitative research and proprietary derivatives books at institutional scale.

The Quantitative Architect: From James Capel to Cresvale

Kevin served as Head of Quantitative Research at James Capel & Co. — then one of the most influential brokers in the City of London, later fully integrated into HSBC — leading the firm’s mathematical-modelling work for asset pricing and derivatives valuation through a transformative era. From there he moved to Cresvale International Asset Management as Director, charged with instituting rigorous risk-management protocols across the firm’s principal Japanese warrants market-making operation — at the time one of the most volatile and structurally complex segments of the global derivatives market.

It was at Cresvale that Kevin came to oversee the books and risk of three of his fellow Chicago Options Protocol Course Directors. Santo Volpe traded under him in London. Hilton Fay was appointed to Cresvale on Michael Hadley’s recommendation while Mike was running the firm’s Singapore desk. The four of them traded under the same risk architecture, in the same firm, at the same institutional moment — a working relationship that has continued, in one form or another, for more than three decades.

Kevin subsequently conducted specialised research into complex volatility trading at Refco Overseas Ltd. — where Santo had by then become Global Risk Advisor — and led the design of advanced sales and trading systems for Japanese warrants and convertible bonds at Independent Capital Corporation.

Aurora Partnership and the Chicago Options Protocol

Today Kevin serves as a Senior Advisor at Aurora Partnership, where he collaborates with Santo, Hilton and Mike on the institutional training of derivatives professionals and on the management of equity, fixed-income and FX portfolios using sophisticated options structures. Within The Chicago Options Protocol his role is the academic and structural counterweight to the live-risk pedagogy of his fellow Course Directors — the published authority on volatility and convertible-bond pricing whose work has been on derivatives trading-desk reading lists since the late 1990s.

In The Chicago Options Protocol, Kevin contributes the doctoral rigor, the convertible-bond and warrant lineage, and the integrative quantitative perspective that connects volatility theory to live trading risk — closing the loop on a curriculum that no academic course and no retail platform can credibly assemble.


Hilton Fay
Course Director, The Chicago Options Protocol

From the New York commodity rings to the Asian index desks — four decades and three continents trading the volatility curve.

Hilton Fay’s career began in the New York commodity pits at a time when membership on the floor was the only way to truly learn options. He started as a runner and clerk at Rudolf Wolff, moved into derivatives trading at Ronald A. Bernstein and Consensus Commodities Corp, and earned his seat as a member on four of New York’s principal exchanges — COMEX (gold, silver, copper), NYCE (cotton, orange juice, dollar index), NYMEX (natural gas), and the Coffee, Sugar and Cocoa Exchange (CSCE) — trading options across the entire commodity complex through the 1980s and into the early 1990s. It was on the CSCE floor in 1988 that Hilton first met Michael Hadley, then trading on the same exchange — the start of a working relationship that has spanned three decades and three continents, and that today reunites them as Course Directors of The Chicago Options Protocol.

This is the foundation Hilton brings to The Chicago Options Protocol: not a textbook understanding of skew, but the muscle memory of pricing the volatility curve in coffee, oil, sovereign debt, and indices through every regime — from open-outcry pits to electronic screens, across forty years and three time zones.

The London Years: Sovereign Debt and Energy

In 1993 Hilton moved to London as a Senior Derivatives Trader for Cresvale, Refco Overseas, and Westminster Options. The Cresvale appointment came on the recommendation of Michael Hadley, by that time on Cresvale’s Singapore desk. On LIFFE he became one of the larger participants in BTP options, trading the volatility surface on Italian sovereign debt alongside Bund, Gilt, Euro Lira, and Euro Mark options. On the International Petroleum Exchange (IPE) he made markets in Brent Crude and Gas Oil options. His mandate from Cresvale — to qualify for membership on the Hong Kong Futures Exchange and trade the Hang Seng — opened the next chapter of his career.

It was during this London chapter that Hilton’s books came under the risk oversight of Santo Volpe — then Global Trading and Risk Manager at Refco — beginning a professional relationship that has continued for more than three decades. Santo, today his fellow Course Director at The Chicago Options Protocol, considers Hilton among the finest options traders he has encountered in a forty-year career.

Hong Kong: Building a Desk Across Asia

From 1998 onward, based in Hong Kong, Hilton traded the full Asian index complex — Hang Seng, KOSPI, Nikkei 225, and TAIEX — through the migration of the Hang Seng from open outcry to fully electronic execution. As Senior Derivatives Trader he ran proprietary books trading the volatility curve and skew in the KOSPI and Nikkei, with full responsibility for pricing, hedging, and gamma management.

Aurora Partnership: The Volatility Curve, Codified

Today Hilton trades equity indices, individual stocks, currencies, and sovereign bonds from the UK as a Partner at Aurora Partnership, with a focus on vanilla and exotic options as well as binary and digital structures. His specialism — pricing the structure and trading the volatility curve and skew — sits at the centre of the Chicago Options Protocol curriculum. Where most modern desks model the surface from screens and back-tested data, Hilton teaches it the way it was learned in the pits: by reading order flow, interpreting term structure in real time, and constructing positions whose payoff geometry survives every regime.

In The Chicago Options Protocol, Hilton distils four decades of pit-traded options, sovereign-debt market making, Asian-index volatility trading, and contemporary screen execution into the curriculum — bringing the live-risk pedagogy that no academic course can replicate.


Michael Hadley
Course Director, The Chicago Options Protocol

From the New York commodity rings to the Asian volatility desks — three and a half decades trading derivatives across three continents and four asset classes.

Michael Hadley began his trading career in 1987 on the floor of the Coffee, Sugar & Cocoa Exchange (CSCE) in New York, where he served as an options market maker for two of the exchange's principal trading firms — Mondo Trading and Consensus Trading. In that capacity he made markets in options on coffee, sugar and cocoa while simultaneously carrying and managing positions across a remarkably broad range of commodity markets including gold, silver, copper, WTI crude oil, unleaded gasoline and fuel oil. It was on the CSCE floor that Michael developed the market-maker's instinct that would define his career — the ability to price risk accurately, manage exposure across multiple positions simultaneously, and perform under pressure in some of the world's most volatile commodity markets.

In 1990, Michael moved to London to trade on the London International Financial Futures and Options Exchange (LIFFE), then at the height of its influence as one of the world's premier derivatives exchanges. There he traded options on German Bunds, Short Sterling and UK Gilts — three of the most technically demanding and heavily traded interest rate derivatives markets in existence — further broadening his expertise from commodity options into the complex world of fixed income derivatives.

In 1992, Michael relocated to Singapore and joined the Singapore International Monetary Exchange (SIMEX) — one of Asia's most significant and pioneering derivatives markets. He was among the first market makers in the Nikkei 225 options pit, a distinction that placed him at the forefront of Asia's emerging equity derivatives landscape at a time when the rules of the game were still being written. He went on to trade options on the Taiwan MSCI and the Singapore index, building a deep, multi-market expertise in Asian equity derivatives across nearly a decade on the SIMEX floor.

Such was the depth of Michael's expertise that SIMEX retained him as their exclusive trainer for new brokers and exchange members — a formal institutional endorsement that few practitioners in the region could claim. In that capacity he designed and delivered training programmes covering options theory, order execution, risk management, and exchange protocol, equipping an entire generation of Asian derivatives professionals with the foundational knowledge required to operate on one of Asia's most dynamic trading floors.
Following his years as a floor trader, Michael maintained active engagement with the markets and market participants while simultaneously building several successful business ventures in Singapore. He returned to institutional-grade trading in 2006 as a Senior Derivatives Trader with TransMarket Group LLC, where he was responsible for expanding the firm's trading operations across Asian equity index futures and options — including the Nikkei 225, TOPIX, KOSPI 200, MSCI, SiMSCI, Hang Seng, and Hang Seng China Enterprise options — while simultaneously developing inter-Asian equity volatility arbitrage and dispersion strategies and the proprietary risk management systems required to support them.

In 2010, Michael founded John Galt Trading Consultants, through which he continued to trade futures and options on Asian equity indexes as well as the precious metals markets — Gold, Silver, Platinum and Palladium — as both Senior Trader and Risk Manager until 2022.
With a trading career spanning nearly four decades across three continents and three of the world's most influential derivatives exchanges — the CSCE, LIFFE, and SIMEX — Michael's experience encompasses options market-making across soft commodities, energy, metals, fixed income and equity indexes. Few practitioners anywhere in the world can claim market-making credentials across such a breadth of asset classes and exchanges.

He now teaches financial instrument theory and applications with a specific focus on options — their structure, pricing, behaviour, and real-world application across multiple asset classes and market conditions. His curriculum is grounded not in textbook abstraction but in the lived experience of someone who has traded and made markets in options professionally through multiple market cycles, global crises, and periods of extreme volatility — and who was trusted by one of Asia's foremost derivatives exchanges to pass that knowledge on.

For serious students of the markets, there is no substitute for learning from someone who was there.


Matthias Knab
Founder & Publisher, The Chicago Options Protocol

Three decades at the intersection of finance, technology and institutional publishing — the founder of one of the most established information networks in alternative investments and family offices, and the architectural partner of The Chicago Options Protocol.

Matthias Knab is the Founder and CEO of Opalesque, the publishing house specialising in alternative investments and family offices since 2003. With a global team of journalists, analysts and experts, Opalesque produces newsletters, videos, roundtables, research, webinars and podcasts that reach over 90,000 users in 160 countries, including HORIZONS: Family Office & Investor Magazine — the world’s largest quality family-office and investor publication. Across more than 35 years in finance, Matthias has interviewed many of the most influential investors and asset managers in the industry, moderated 400+ panels at 250+ conferences, hosted 200+ webinars and podcasts, edited more than 27,000 articles on alternative investments, judged dozens of pitch competitions, analysed over 5,000 pitch decks, and helped fund managers raise billions in assets.

This is the foundation Matthias brings to The Chicago Options Protocol: the publishing reach, institutional credibility and distribution architecture that ensure the work of the four Course Directors meets the audience it deserves — the high / ultra high net-worth individuals, family offices, allocators, fund managers, institutional desks who deploy derivatives as instruments of risk, return, and portfolio architecture.

From the trading academy to the founding of Opalesque
Matthias began his career in the late 1980s in information technology and consulting at Generali and later Allianz, two of the largest insurance groups in continental Europe, where he spent more than a decade running large-scale operations and managing the IT and billing systems handling hundreds of thousands of clients and hundreds of millions of Deutschmarks in monthly premia.

In 1999 he moved into financial-markets education as CEO of Börsenakademie AG, a Munich-based stock-market academy where he built and ran training modules for trading and investing — a structural precedent for what he is now building, on a far larger scale, with The Chicago Options Protocol. During this period he earned two Chartered Institute for Securities & Investment (CISI) qualifications — the Securities Representative (May 2000) and the Futures & Options Representative (June 2000) — alongside the Xetra Funktionales Member Training of the Deutsche Börse Group. He then served as Director at TradeStream Global AG (2001–2003), responsible for the international distribution of global electronic trading applications.

In February 2003 he launched the Opalesque Alternative Market Briefing — the first daily internet-based news service focused on hedge funds and alternative investments — and built around it, over two decades, what is today one of the most established information networks in the field.

In 2024 he became Group CEO of Fundmanager.tools, the digital training and asset-raising platform built on the Opalesque infrastructure. As one of ten VIP tutors of the Opalesque Digital Master Class, he and his colleagues codified more than two decades of asset-raising and business-building practice into a structured curriculum of 27 videos, 92 workbook pages and 54 Guerrilla Tactics — a direct sibling, in form and method, to the educational architecture of The Chicago Options Protocol.

Senior advisory at the institutional edge of alternative investments
Matthias serves in a number of senior advisory and board roles spanning the institutional and emerging segments of alternative investments:

  • Senior Advisor at Castle Hall, where he contributes to the expansion of the firm’s DiligenceExchange platform — the industry-standard infrastructure for verified due-diligence data, supporting investors across 5,000+ funds and $10 trillion in assets;

  • Senior Advisor to the Greenwich Economic Forum, the geo-economics conference at the intersection of geopolitics, economics and global investments;

  • Member of the Executive Council at Mintus, the first UK-regulated platform fractionalising access to multi-million-dollar artworks by artists such as Andy Warhol and George Condo;

The Chicago Options Protocol

In The Chicago Options Protocol, Matthias serves as Founder and Publisher alongside the four Course Directors of Aurora Partnership. His role is the architectural and institutional counterpart to the directors’ teaching faculty: building the platform, structuring the certification ecosystem, and connecting the curriculum to the Opalesque global audience of family offices, allocators and institutional investors.

It is also the natural extension of a career thesis Matthias has built across three decades — that financial education at its best is rigorously sourced, durably published, and institutionally serious rather than retail noise. The Chicago Options Protocol applies that thesis to the most structurally complex segment of the institutional toolkit: the volatility surface, the convertible bond, and the live-risk hedging architecture of the professional desk.

THE PATHWAY

The Chicago Options Protocol is structured as a clear progression — from foundational fluency to professional certification.

Level I — The Foundations of the Protocol. 

Available now. The complete vocabulary, mechanics and strategy structures every options trader must master at expiry. Live cohort or self-paced online.

Includes 6 months Practitioner-tier community access.

Level II — Advanced Volatility & Surface Trading. 

Available now. How professional options traders price the surface, read the skew and hedge in motion — taught hands-on, with the proprietary risk model. 

Includes 6 months Practitioner-tier community access. 

The COPC Qualifying Test — Free.

Free. Two parts. Pass Part I (Foundation Assessment) and you are placed on the Protocol pathway and unlock eligibility for Practitioner community membership — the most exclusive and best-curated online options forum available today. Pass both parts and you are confirmed ready to sit the COPC certification examination directly, without any prerequisite course.

The COPC Examination. 

The Chicago Options Protocol Certified designation (COPC). A credential built to institutional assessment-integrity standards: independently accredited by the CPDUK / The CPD Certification Service and delivered under live, fully-proctored remote examination with identity verification, secure browser lockdown and session recording. The institutional benchmark qualification — a designation earned, not awarded for attendance.

Accredited Membership.

Once Chicago Options Protocol Certified, members can maintain — under continued professional standards as defined and supervised by the CPDUK / The CPD Certification Service and thus recognized in 100+ countries — active registry status, maintained annually, Practitioner- and Accredited-tier access to the Chicago Options Protocol community, Townhalls with the Course Directors, and the global network of COPC-credentialed practitioners. The annual maintenance cycle — twenty hours of structured learning, including two hours in market ethics — mirrors the CFA Institute's Professional Learning programme, so dual designation holders (CFA + COPC) can satisfy both with a single set of hours.

COURSE CATALOGUE

Level I ONLINE
The Foundations of the Protocol

EUR 995 Founding Member price - discount reserved for founding cohort · Self-paced · Lifetime access · Available now

The complete Level I curriculum, structured as on-demand video lessons with full Excel models, downloadable materials and post-module reviews.

Lifetime access. Designed for professionals who need to fit foundational mastery around an existing trading mandate, research workload, or coverage responsibility.


This is the same curriculum, taught by the same Course Directors, as our Live Course. The Founding Member price reflects launch pricing for the first 100 members and will not be repeated.

Includes:

  1. All materials and Excel models for the chosen level(s), Lifetime access to all updates
  2. 12 months COPC Annual Membership — includes full community access
  3. On completion of both levels: COPC (Chicago Options Protocol Certification) 
  4. COPC (Chicago Options Protocol Certification) Exam Fee (a EUR 495 value)
  5. If passed, 3 years COPC Accreditation

Level I LIVE
The Foundations of the Protocol

EUR 1,995 · 10 hours live / online · Limited to 10 participants per class
Ten hours of live, small-group instruction taught by the Aurora Partnership Course Directors. We work through the complete foundation — the language of options, the four basic positions, vertical and ratio spreads, straddles, strangles, butterflies and condors — and the structural logic of debits, credits, break-evens, and payoff geometry at expiry.

Sessions are recorded and made available for those who cannot attend live, and the cohort cap of ten ensures every participant gets direct access to the instructor for their own questions and trade structures.

You will learn to:
  • Learn the four primary positions — long call, long put, short call, short put — and their break-even mechanics
  • Construct and price vertical spreads, ratio spreads, straddles and strangles, butterflies and condors — long and short, calls and puts
  • Distinguish between American and European exercise and the strategic implications of each
  • Recognise the expiry payoff geometry of every basic structure — the investment risk and where the inflection points sit at expiry

Includes: Full course materials, Excel models for every strategy, lifetime access to session recordings, and 6 months Practitioner-tier access to the Chicago Options Protocol community.


Level II LIVE — Advanced Options Trading and Risk Management

EUR 2,995 · 12 hours live online via Zoom
Where Level I codifies the structures, Level II teaches the pricing engine that runs underneath them. Volatility is the single most important determinant of option value, and this course covers all the major elements of advanced options trading and pricing. 

We work through the Greeks not as abstract terms but as the working vocabulary of a live risk book. We dissect the volatility surface — skew, term structure, volatility shifts — and the hedging techniques that protect investment capital through every market. Participants are given access to proprietary options pricing software customisable to any tradable underlying, and trained on its application.

You will learn to:
  • Derive any one of call price, put price, strike or underlying from the other three, and construct conversions and reversals from the parity relationship
  • Read implied volatility as a standard deviation, scale it across time horizons, and set it against realised volatility
  • Quantify position risk through Delta, Gamma, Theta, Vega and Rho — and through Vanna, Charm and Volga, where risk actually sits
  • Identify which of the four skew regimes a market is in, and what that implies for the next move
  • Hedge a live book through delta, gamma and vega, and manage volatility exposure.
  • Configure and run the risk model on any tradable options market — inputs, positions and trades

Level II is most commonly taken after Level I, but is open to experienced traders with equivalent foundational knowledge — please get in touch if you are unsure whether to begin at Level I or Level II.

Includes:

  1. Complete Level II video curriculum, all course materials and Excel models
  2. Lifetime access to all updates
  3. 12 months COPC Annual Membership — includes full community access
  4. COPC (Chicago Options Protocol Certification) Exam Fee (a EUR 495 value)
  5. If passed, 3 years COPC Accreditation

Private Level I, Level II, or Combined — For Individuals & Teams

Price on enquiry · For individuals or teams of up to four
A bespoke delivery of the Level I curriculum, the Level II curriculum, or both — scheduled around your timezone, your team's calendar, and your trading mandate. Most clients choose to take both levels back-to-back, but each can be booked independently.

This is the format chosen by family-office investment teams, bank desks onboarding junior traders, and sophisticated individual practitioners who want the full curriculum delivered to their own questions, on their own pace, and with direct work on their own positions and structures.

Three booking options:

  • Private Level I — the complete foundations curriculum, normally five 2-hour sessions, fully flexible.
  • Private Level II — the advanced options trading and risk management, fourteen hours, seven 2-hour lessons, fully flexible.
  • Private Level I + Level II combined — both levels delivered as a continuous engagement; the most commonly chosen option, and the most cost-effective per hour.

Includes: All materials and Excel models for the chosen level(s), proprietary pricing software training (Level II and combined bookings), 6 months Practitioner-tier access to the Chicago Options Protocol community (all booking options), and — on completion of both levels — eligibility for the COPC certification examination.


Bespoke Individual Mentoring

Price on enquiry
For practitioners who want one-to-one coaching alongside or in place of the formal curriculum. Scope is set with the Course Director and typically covers: configuration of the participant's actual trading account for optimal options execution; deployment and customisation of professional risk-management software; live coaching on active positions; and the development of an independent options trading practice.

This is the format Santo, Hilton and Mike have used for years with family offices and ultra-high-net-worth clients.


WHAT LEVEL I COVERS — IN DETAIL

The Chicago Options Protocol Level I is a structured progression through every fundamental options strategy a serious practitioner must master. Each lesson builds on the last, and every structure is taught at expiry — the geometric foundation on which Level 2 then layers the pricing dynamics of the volatility surface.

Lesson 1 

The Four Foundations. Securities, derivatives, futures and options. Calls and puts, long and short, debits and credits. Strike prices and expiry. American versus European exercise. The four primary positions — long call, long put, short call, short put — their payoff diagrams, their break-even mechanics, and the structural logic of what each is for. The options calculator spreadsheet is introduced here and used in every lesson that follows.

Lesson 2 

Vertical Spreads. The first multi-leg structures. Long and short call spreads, long and short put spreads. How a spread caps both the loss and the gain, why the maximum value of any vertical equals the strike differential, and the strategic logic of choosing one over an outright option.

Lesson 3 

Straddles and Strangles. Long and short straddles, long and short strangles. The two break-even points that frame any non-directional structure, and the conditions under which each becomes profitable or unprofitable.

Lesson 4 

Ratio Spreads. Where multi-leg structures stop being asymmetric. One-by-two ratios in calls and in puts, long and short, extended to ladders and to the wider numeric ratios traded in practice — together with the variations in terminology the market uses for the same structures, so that a practitioner can transact in the language of the desk rather than the language of the textbook. Why open-ended legs change the risk profile fundamentally, and how to read the inflection points that separate a good ratio from a dangerous one.

Lesson 5 

Butterflies and Condors. The four-legged structures. Long and short butterflies, long and short condors, with a structural note on iron variants. The three- and four-strike geometries that let a trader express a precise view on where price will sit at expiry — and the symmetric reward profiles that make these strategies very attractive with the iron butterfly and iron condor variants worked through in full.
Throughout, every strategy is taught with full Excel models that let participants work through the numbers themselves and adapt them to any underlying.

WHAT LEVEL II COVERS — IN DETAIL

Level II begins where the expiry diagrams of Level I end — at the harder question of how an option is priced, and how its risk moves from the moment the trade is opened to the moment it expires.

It opens with put/call parity: the three states of an option through its life, the separation of intrinsic value from time value, the introduction of Delta, and the arithmetic relationship that binds every put to every call at the same strike and expiry — including what interest rates and the cost of carry do to a deep in-the-money option. From that relationship come synthetics, conversions and reversals, and the working fact that any one of call price, put price, strike and underlying can be derived from the other three.

Volatility is then built from the ground up: volatility as a standard deviation, the properties of the lognormal distribution, and the scaling of volatility across time horizons — daily, weekly, monthly. Realised volatility is set against implied, and implied volatility is understood as the marketplace’s standing consensus on the volatility yet to come.

The Greeks follow, as working instruments rather than abstractions. Delta taught four ways: rate of change, hedge ratio, equivalent underlying position, and probability of finishing in the money. Gamma as the curvature of that delta, at its steepest at the money. Theta as the cost of time. Rho as the interest-rate sensitivity. And the second-order Greeks that institutional desks run on and most curricula never reach — Vanna, Charm and Volga.

Skew is treated as a taxonomy rather than a phenomenon: the smile of calm markets, the reverse skew of equity indices, the forward skew of energy and physical commodities, and the frown that appears when a market is under stress. Each shape is a statement by the market about what the next move will do to volatility, and how fast. Reading that statement correctly is what separates a position from a punt.

Lesson 6 turns to risk in motion: delta hedging and the effects of gamma, and vega management — including volatility spreading across expiries, where the scaling of Lesson 2 becomes a position and the term structure of implied volatility is traded rather than merely observed. It closes on the reading of a risk model that displays in detail the exposures of any options position and its underlying, which is the information a desk needs in order to manage risk deliberately rather than reactively.

The final lesson is given over entirely to operating that model: configuring it for different markets, setting ATM volatility and skew inputs, and entering live positions and trades. Participants finish the level not having seen a professional risk system demonstrated, but having run one.

Fourteen hours across seven lessons, dense and hands-on, built on the assumption that participants either come from Level I or hold equivalent foundational fluency.

WHO THIS IS FOR

  • Family-office investment teams and CIOs who want their derivatives capability built on a verified protocol rather than improvisation. 

  • Bank, fund and proprietary trading-desk professionals at the junior-to-mid level who have the mathematics but not the floor sense — the structural intuition that comes from having actually traded the surface.

  • Sophisticated private practitioners managing serious personal capital who have outgrown retail education and need the institutional infrastructure that sits behind it.

  • Allocators, advisors and risk professionals who need to evaluate, oversee or construct options exposure as part of a wider mandate.

This course is not for traders looking for signals or shortcuts. It is for practitioners who want to understand the structure beneath the screen.
For Institutions — The Chicago Derivatives Protocol
Frequently asked

What practitioners ask before they enrol.

Should I start with Level I, or can I jump straight to Level II?

Most practitioners start with Level I — it builds the structural foundations on which Level II's volatility surface work depends. The investment is in fluency, not novelty: even experienced traders often discover gaps in the foundations layer that Level II would otherwise expose under live-risk pressure.

Senior practitioners with deep active options backgrounds sometimes enter directly at Level II.

What's the difference between Levels I & II Online and Levels I & II Live?

Level I and Level II Online are the self-paced video curricula — the full Level I and Level II content, Excel models, and Practitioner-tier community access — taken on your own schedule.

Level I and Level II are the same curriculum delivered as an interactive group with live sessions led by the Course Directors. It includes live Q&A, interactive peer discussions, and direct work on participants' own questions and structures. All participants receive the recordings for review.

Live is the more bandwidth-intensive option in every sense — the scheduled commitment is real, but so is the depth of engagement.

What is the time commitment for each level?

Level I Online: roughly 10 hours, including video lesson content, exercises and completed at your own pace.

Level I Live: 5 sessions of two hours each, typically delivered weekly over six weeks.

Level II Online: roughly 12 hours, including video lesson content, exercises and completed at your own pace.

Level II Live: 6 sessions of two hours each, typically delivered weekly over six weeks.

Combined Level I + II: 24 hours of contact time, plus self-study.

What's included with each course?

All courses include the curriculum lessons, Excel models, and Practitioner-tier access to the closed Chicago Options Protocol community for six months, as well as the COPC Exam Fee, and if passed, 3 years COPC Accreditation.

Level II and combined bookings include training on proprietary options-pricing software customisable to any tradable underlying. Full inclusions are listed against each product on the booking page.

Do the courses prepare me for the COPC examination? Is the exam included?

The Level I and Level II curriculum is the structured preparation track for the COPC examination — the assessment is calibrated to the same territory the courses cover.

The examination itself is included in your course. There is no requirement to sit the examination to complete the courses; many practitioners take the courses purely for the curriculum and the community access.

Do I get CPD credit just for completing the courses, without sitting the exam?

Yes. The curriculum is recognised by the CPDUK (The CPD Certification Service) for Continuing Professional Development. You receive a formal completion certificate with documented CPD hours regardless of whether you go on to sit the COPC examination.

CFA charterholders may self-report COPC qualifying activity toward their annual Professional Learning attestation. Holders of CISI, CAIA, FRM and other designations should consult their respective bodies; in our experience the curriculum is widely accepted as relevant CE.

What do I need on my end — prior knowledge, software, hardware?

Prior knowledge. Level I assumes very basic financial-markets knowledge, and little, if any, options background — analysts, junior traders, family-office investment teams and experienced practitioners new to options can all start here. Level II assumes Level I or equivalent fluency.

Hardware and software. A desktop or laptop computer, a recent version of Microsoft Excel, and a stable broadband connection. Access to the proprietary pricing software is provided for Level II and combined bookings.

How long do I have access to the course materials after completion?

Lifetime access of access to the recorded sessions, and Excel models from the date of enrolment. Practitioner-tier community access continues for the period stated in your enrolment (12 months COPC Annual Membership on every course), after which it can be renewed annually.

Holders of the COPC designation retain community access through the COPC Annual Membership (EUR 295/year).

What is the cancellation and refund policy?

A 14-day cooling-off period applies from the date of purchase. A full refund is available within this window provided no more than 20% of the course content has been accessed.

After the cooling-off period, refunds are at the discretion of the team and typically prorated against content consumed. For live cohorts, transfers to a later cohort are usually accommodated without charge if requested before the cohort opens.

Are there group discounts, corporate billing or payment plans?

Yes to all three. Group discount tiers begin at five enrolees on the same course. Corporate invoicing and procurement-friendly billing are available on request. Multi-month payment plans are offered for the live and combined cohorts.

For larger institutional roll-outs — bespoke in-house delivery, white-label licensing, or COPC certification cohorts — see For Institutions.

KNOW YOUR OPTIONS

Begin with the Foundations.

The Level I Online is open now at EUR 995 — a pricing tier reserved for our founding member participants and not repeated at general release. Level I Live and Level II Live classes are open for application; private engagements and bespoke mentoring are bookable directly with the Course Directors.