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The New World of Options Trading: Valuation, Risk and Robust Workflows

Speaker: Dr. Misha Fomytskyi

CQF Institute is proud to bring you a free online talk with Misha Fomytskyi on Options Trading

This event can earn you upto 2 CPD credits.

Abstract

Any derivatives trading desk -- for vanilla or exotic, listed or OTC -- needs implied borrow curves and volatility surfaces as fundamental building blocks in their workflow. They have to be calibrated to the listed options market of their underliers. Designing fast and robust pricing and fitting algorithms to solve this problem has never been easy, but has become extremely challenging in the last few years. We show how to detect and fix typical problems arising in practice using real-world examples. We also discuss risk management, the limitations of Black-Scholes greeks and “sticky-strike” scenarios, and what to do instead. We concentrate on the equity options market, but also discuss how many of the challenges it had to deal with for a while are now also showing up in the FX and IR world (e.g. W-shaped vol curves due to events).

Speaker's Bio

Dr. Misha Fomytskyi is an expert in derivatives trading, risk management, and volatility modeling.

Prior to co-founding Vola Dynamics LLC, he spent 12 years working in the derivatives space in trading and quant roles, including head of the options trading team at Getco LLC, as portfolio manager at JD Capital Management, and the founder and CEO of Mivol LLC. Having a deep understanding of trading, modeling, and technology allowed him to be a driving force in adopting quantitative techniques in valuation, risk management and trading analysis in these businesses. He received his Ph.D. in physics from The University of Texas at Austin in 2004.