---
title: "Level 3: futures, spreads, forex and options"
description: "Level 3 of the Python Trading Course: futures and spreads, advanced forex, option pricing, Greeks, volatility surfaces and crypto derivatives."
url: "https://pythonparatrading.com/en/python-trading-course/level-3/"
lang: "en"
image: "https://pythonparatrading.com/og/en/python-trading-course/level-3.png"
---

# Level 3: Derivatives: futures, spreads, forex and options

> Derivatives as a system: the futures curve and roll, calendar and intercommodity spreads, currency carry, option pricing and Greeks, structures and volatility strategies.

- Hours: 110–120
- Prerequisite: Level 2; basic calculus
- Profile: Futures or options trader who wants to systematise
- Course: [Python Trading Course](https://pythonparatrading.com/en/python-trading-course/)

## 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).

## Level project

Your choice: a futures spread system (calendar or intercommodity) with a leg-by-leg backtest and seasonality; an options structure analyser with a volatility surface and a backtest of a premium strategy with tail risk management; or a funding arbitrage bot in paper trading.

## Practice

Research on this site to practise this level

1. [Uses of Volatility and Current Volatility - VIX1D](https://pythonparatrading.com/en/uses-of-volatility/)
2. [Volatility Estimators for Trading](https://pythonparatrading.com/en/volatility-estimators-for-trading/)

Previous level: [Level 2: Systematic strategies and rigorous backtesting](https://pythonparatrading.com/en/python-trading-course/level-2/)

Next level: [Level 4: Portfolios, risk, execution and live trading](https://pythonparatrading.com/en/python-trading-course/level-4/)