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Comprehensive Derivatives Trading Strategies from Professor André Farber at Solvay Business School

Explore advanced derivatives trading strategies taught by Professor André Farber at the Solvay Business School, Université Libre de Bruxelles. This course covers key concepts including covered calls, protective puts, various spreads (bull, bear, butterfly, calendar), and combinations like straddles, strips, straps, and strangles. Learn about initial costs, maximum profits and losses, breakeven prices, and market outlooks to effectively analyze trading strategies and manage risks in derivatives trading.

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Comprehensive Derivatives Trading Strategies from Professor André Farber at Solvay Business School

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  1. DerivativesTrading Strategies Professor André Farber Solvay Business School Université Libre de Bruxelles

  2. Trading strategies • A single option and a stock: covered call, protective put • Covered call: S-C • Protective put: S+P • Spreads: bull, bear, butterfly, calendar • Bull: +C(X1) – C(X2) X1<X2 • Bear: +C(X1) – C(X2) X1>X2 • Butterfly: +C(X1) + C(X3) – 2C(X2) X1<X2<X3 • Calendar: +C(T1)-C(T2) T1>T2 • Combinations: straddle, strips and straps, strangle • Straddle: +C+P • Strip: +C + 2P • Strap: +2C+P • Strangle: +C(X2)+P(X1) X1<X2 Derivatives 09 Strategies

  3. Analyzing a strategy • Initial cost • Maximum profit: limited, unlimited • Maximum loss: limited, unlimited • Breakeven price: when do you recover initial price • Standstill return: quid if stock price does not change? • Market outlook: bearish, neutral, bullish • Risk posture Derivatives 09 Strategies

  4. Covered Call Profit At maturity Immediate Stock Price Derivatives 09 Strategies

  5. Protective Put Derivatives 09 Strategies

  6. Bull Call Spread Derivatives 09 Strategies

  7. Bear Call Spread Derivatives 09 Strategies

  8. Butterfly Derivatives 09 Strategies

  9. Straddle Derivatives 09 Strategies

  10. Strip Derivatives 09 Strategies

  11. Strap Derivatives 09 Strategies

  12. Strangle Derivatives 09 Strategies

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