Derivatives: futures, spreads, forex and options.

Futures in depth

• 3.1.1 Main contracts: indices (ES, NQ, Euro Stoxx 50, IBEX and Mini IBEX), rates (ZN, Bund), energy (CL, NG), metals (GC), agriculturals (ZC, ZS), currencies (6E), micros.
• 3.1.2 The futures curve: basis, cost of carry, contango and backwardation, roll yield.
• 3.1.3 Roll management; initial and maintenance margin, SPAN, implicit leverage.
• 3.1.4 Diversified futures systems (Carver's approach): forecasts, scaling, combination.

Futures spreads

• 3.2.1 Calendar spreads (intra-commodity): construction, reduced margins, calendar butterflies and condors.
• 3.2.2 Intercommodity spreads: crack spread, spark spread, soybean crush, gold/silver, wheat/corn.
• 3.2.3 Rate spreads (NOB, 2s10s) and index spreads (NQ/ES, Europe versus the US).
• 3.2.4 Hedge ratios: by notional value, by DV01, by volatility.
• 3.2.5 Data (exchange-listed versus synthetic spreads; CME via Databento) and leg-by-leg backtesting, legging risk, combination orders.
• 3.2.6 Spread seasonality: multi-year analysis, patterns and traps.

Advanced forex

• 3.3.1 FX microstructure: OTC, ECN, last look, sessions.
• 3.3.2 Carry trade and crash risk; momentum and value in currencies; baskets.
• 3.3.3 Currency risk in multi-currency portfolios; execution via OANDA, IBKR or MT5.

Option theory and pricing

• 3.4.1 Payoffs, put-call parity, arbitrage bounds.
• 3.4.2 Binomial trees; Black-Scholes-Merton; Black-76 for options on futures; Monte Carlo.
• 3.4.3 Greeks: delta, gamma, vega, theta, rho; second order (vanna, volga, charm).
• 3.4.4 Implied volatility: numerical computation (Newton-Raphson, Brent), py_vollib, QuantLib.
• 3.4.5 Smile, skew and term structure; volatility surface (SVI, interpolation).
• 3.4.6 Realised versus implied volatility; volatility risk premium; VIX and VSTOXX.
• 3.4.7 Advanced models (concept and code): Heston, SABR, local volatility.

Option structures in Python

• 3.5.1 Directional (long call and put, covered call, protective put, collar) and verticals (debit and credit bull and bear spreads).
• 3.5.2 Volatility and ranges: straddle, strangle, iron condor, iron butterfly, butterfly, condor, broken-wing butterfly.
• 3.5.3 Time spreads (calendar, diagonal, double calendar), ratios, backspreads, risk reversals, jade lizard.
• 3.5.4 Your own tool: payoff diagrams, aggregate Greeks, scenario P&L (price × volatility × time).
• 3.5.5 Management: adjustments, roll, early close, early assignment, pin risk.

Systematic volatility and options strategies

• 3.6.1 Systematic premium selling (put-write, short strangles) and its tail risk; sizing by margin and stress.
• 3.6.2 Delta hedging and gamma scalping; dispersion, term structure and skew trades.
• 3.6.3 Strategies with VIX and VSTOXX (futures and volatility ETPs).
• 3.6.4 Options backtesting: data (OPRA, historical chains), fills at mid versus bid/ask, event adjustments.

Crypto derivatives and specific strategies

• 3.7.1 Perpetuals: funding mechanics, mark price, liquidations.
• 3.7.2 Funding arbitrage (cash-and-carry), basis with futures and cross-exchange arbitrage (counterparty risk).
• 3.7.3 Crypto options (Deribit) and on-chain and DeFi data (AMMs, MEV) as background and a source of signals.
• 3.7.4 ccxt for multi-exchange: orders, balances, websockets.
• 3.7.5 EU regulatory framework: MiCA and authorised providers (CASPs).