FINCAD Analytics Suite: Real-Time Pricing & Risk of 0DTE Options
Learn about the unique risk characteristics of 0DTE options, and how to use FINCAD Analytics Suite for Excel to accurately price these options and assess the related market risks.
Over the last year, options trading volumes hit a record high. Notably, the volumes of same-day options contracts have significantly surpassed those of all other options maturities. Nearly 50% of all S&P 500 options are associated with 0DTE (Zero Days to Expiry) options trading in terms of notional amount.
In this solution webinar, Peter O’Connor of Numerix discusses the unique risk characteristics of same-day options against the backdrop of uncertain markets, fluctuating rates and heightened volatility. Peter also demonstrates how to use FINCAD Analytics Suite for Excel to assess same-day option pricing and obtain precise risk analysis, including detailed Greek monitoring.
Join our webinar for a demo of FINCAD Analytics Suite and discussion on the following:
- What led Nasdaq to recently introduce short-term options in new asset classes
- Requirements that traders must consider with the newly introduced options contracts
- Overview of how FINCAD Analytics Suite for Excel can be used in options trading, including pricing and risk features, and applications for algo trading
- Demo of approaches to pricing using real-time listed options data, including generating a volatility surface and applying it to pricing
Featured Speakers
Udi Sela
Udi Sela has been active in foreign exchange derivatives markets for over 25 years. As a senior derivatives trader and trading manager at Citibank and JPMorgan, he developed expertise in derivatives spanning both vanilla and complex FX options. After his trading career, he has led product development, pre-sales and business development functions within a range of financial software vendors. Mr. Sela is currently responsible for product and field marketing at Numerix.
Peter O’Connor
With over 15 years’ experience in the financial services industry, Peter serves as the Product Manager for FINCAD Analytics Suite at Numerix. In this role, he is charged with ensuring that the FINCAD Analytics Suite library is kept current with evolving market practices and client requirements, and ensuring quality enhancements with a focus on roadmap, development standards and managing client satisfaction.
Prior to joining Numerix, Peter held key derivatives pricing and risk analyst roles at leading financial institutions including HSBC and BNY Mellon among others. He attained a MSc in Financial Services from the University of Limerick and is also FRM certified in Risk Management.
