option volatility & pricing advanced trading strategies and techniques pdf

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Sep 05, 2009 Austin rated it really liked it

I have found that people in finance are prone to referring to books solely by their author (which would be a problem if anyone had yet managed to write two decent books in their career). When I began to learn about options, "Natenberg" was recommended to me more often than any other except for "Hull" (Options, Futures & Other Derivatives with Derivagem CD Value Package), which is of much greater breadth but less depth. Natenberg has very much become the industry standard starting point for teach I have found that people in finance are prone to referring to books solely by their author (which would be a problem if anyone had yet managed to write two decent books in their career). When I began to learn about options, "Natenberg" was recommended to me more often than any other except for "Hull" (Options, Futures & Other Derivatives with Derivagem CD Value Package), which is of much greater breadth but less depth. Natenberg has very much become the industry standard starting point for teaching intuition for the behavior of options. Its strength and weakness are both wrapped up in the fact that it is exceptionally qualitative and easy to read. That is, it is accessible because it doesn't delve into some of the necessarily complex details of managing nonlinear risks on a full portfolio of options, but this is not its aim. What it does very well is to convey the intuition for how to think about the "Greeks" -- the mathematical derivatives of the option value with respect to various market factors. While written as an introduction to the subject, its target audience is the budding professional trader who will actually be trading volatility more often than market direction. I would recommend this as an excellent starting point to anyone who wants to understand options at a fairly sophisticated level. More detailed material will fall nicely into place with Natenberg as a background. ...more

Feb 05, 2010 Emily rated it liked it

This is a really hard book to read and understand. It covers a huge amount of fundamental options knowledge, but it does so quickly. I find it difficult to understand because very complex concepts are covered in a single sentence or two and then the author assumes you understand. It requires a lot of rereading and focus, but is worth the work if you're looking for a through understanding of options theory. This is a really hard book to read and understand. It covers a huge amount of fundamental options knowledge, but it does so quickly. I find it difficult to understand because very complex concepts are covered in a single sentence or two and then the author assumes you understand. It requires a lot of rereading and focus, but is worth the work if you're looking for a through understanding of options theory. ...more

Mar 12, 2019 Grace Cao rated it it was amazing

The best options book I have read. Wish I read it earlier in my career. Feel I understand Black-Scholes for the first time.

Option traders job: find an edge, control risk; find an edge, control risk; find an edge, control risk ... goal is to realize and monetize the edge in all market scenarios.

Control risk: what do I do when market moves against me? What do I do when it moves in my favor? What do I do now to avoid future loss?

Aug 19, 2020 Ben Cook rated it really liked it

A huge tome which takes some serious time to wade through; however as a very in-depth introduction to pricing models it is really effective at getting across the key concepts; particularly IV which is an often overlooked metric in pricing of options.

Jan 25, 2021 Satish rated it really liked it

This is not an easy read by any measure (at least for me) but don't let that stop you from reading this book. I would urge you to read up on the basics of greeks (delta, gamma, theta, rho, vega) before you start reading this book, as that will give you some much needed background and understanding before you dive into complex analysis in this book. This book covers, basic strategies to advanced strategies and explains the concept of each one of those, and how they can be used in different scenar This is not an easy read by any measure (at least for me) but don't let that stop you from reading this book. I would urge you to read up on the basics of greeks (delta, gamma, theta, rho, vega) before you start reading this book, as that will give you some much needed background and understanding before you dive into complex analysis in this book. This book covers, basic strategies to advanced strategies and explains the concept of each one of those, and how they can be used in different scenarios with detailed diagrams. Additionally, it provides a couple of chapters dedicated to volatility, which is an important concept if you want to trade and understand markets in general. ...more

The book offers a solid primer—intuitive, and not excessively mathematical—on the theory underlying option pricing and trading. It could be reductively said that the book devotes many hundreds of pages to visualizing the various sensitivities of the partial differential equation described by Black and Scholes (aka the Greeks) to changing market conditions, and the remaining pages to addressing the epistemological concerns that (rightfully) ought to prevent blind faith in such models. On this lat The book offers a solid primer—intuitive, and not excessively mathematical—on the theory underlying option pricing and trading. It could be reductively said that the book devotes many hundreds of pages to visualizing the various sensitivities of the partial differential equation described by Black and Scholes (aka the Greeks) to changing market conditions, and the remaining pages to addressing the epistemological concerns that (rightfully) ought to prevent blind faith in such models. On this latter point, I found the chapters "Volatility, Revisited" and "Models and the Real World" most helpful in describing the opportunities that arise from the systemic overuse of option pricing models. ...more

Aug 14, 2018 Manish Gupta rated it it was amazing

Absolutely brilliant. Option strategies and their risks explained in the most lucid manner. Once one is through with this book, options become much more easier and intuitive.

Must read for a serious derivative trader.

This is a must read if you are trading options. Don't make it your first book on options but when you got the basics down and need to reach another level, this is your guide. Well written and easy to read. This is a must read if you are trading options. Don't make it your first book on options but when you got the basics down and need to reach another level, this is your guide. Well written and easy to read. ...more

Good as a fundamental reference for someone in my line of work (agricultural commodity and currency hedging for commercial buyers and sellers). In the 2nd edition, at least, there are many typographical errors that an attentive reader will notice.

Feb 22, 2018 shai khadka rated it really liked it

read majority of it until the lessons got directed more for institutions/HNWI than retail amateur traders.

Amazing book for those interested in options trading. You'll definitely find yourself rereading a few sections as the author quickly covers each subject.

Dec 31, 2018 Chris rated it really liked it

the strategies are not "Advanced", the mathematics is incorrect, but this is real, accurate information on options market making. the strategies are not "Advanced", the mathematics is incorrect, but this is real, accurate information on options market making. ...more

Jun 02, 2020 Mike Bridge rated it really liked it

Excellent material to ground an understanding of vol and trading strategies. Need some dedicated time to focus on the material to get through and process it all.

A great book for introduction to some fundamentals behind option trading and introduction to some basic strategies, but this is nowhere close to being an "advanced" book. For someone looking to research the maths behind option pricing and strategy modelling this book covers almost nothing, which I personally found it extremely underwhelming. A book for someone looking to go more into depth of mathematical modelling of option trading is "Volatility Trading" by Sinclair A great book for introduction to some fundamentals behind option trading and introduction to some basic strategies, but this is nowhere close to being an "advanced" book. For someone looking to research the maths behind option pricing and strategy modelling this book covers almost nothing, which I personally found it extremely underwhelming. A book for someone looking to go more into depth of mathematical modelling of option trading is "Volatility Trading" by Sinclair ...more

Jun 24, 2020 MagnusPopper rated it it was amazing

The option trading bible, excellent book with an appropriate progression from beginner to intermediate-advanced.

Very hard to follow if you're not a professionist Very hard to follow if you're not a professionist ...more

This book covers various and broad concepts for modeling option positions. I would totally recommend this book to trading beginners.

Nov 27, 2021 Saroj rated it really liked it

Must read book for any derivative trader.In-depth explanation of pricing models and options trading strategies.

Mar 06, 2017 Tianyi rated it it was amazing

An awesome book about option trading. In-depth explanation and full of details. Mr Natenberg is an awesome man, his book is considered as the The bible of option trading.

Dec 23, 2019 Rahul Jana rated it it was amazing

Amongst all the Options book i have read, this is one of the finest book of all. Advanced strategies and more specifically it deals with Volatility in a smoother way.

Mar 11, 2014 Jeffrey rated it it was amazing

Although slightly dated, this book is a classic and should be read by almost anyone interested in trading (options or otherwise). Don't start reading this book with the intention of mastering option trading - the market has evolved significantly and the book does not cover newer concepts such as risk reversals, fly and their respective sensitivities such as rega, sega, etc.

What it does well is teach you how to think of trades, rather than just taking a punt Natenberg teaches well the concept of

What it does well is teach you how to think of trades, rather than just taking a punt Natenberg teaches well the concept of risk-return of a trade - don't go for the home run every trade, otherwise you might go broke before getting it right, at the same time picking up pennies in front of a bulldozer will probably blow you up as well. What the book will teach you is finding the best way to express a trade idea and also trading styles - for examples, butterflies, boxes, etc. It also teaches how to analyse your trade and positions and identify its weaknesses. It won't make you a good trader, but the book will teach you the tools to learn to become one.

...more

Jan 17, 2013 Dmitri rated it liked it

Shelly's book is the 'Kindergarten book of Options'. It is very entry-level, discusses only simplistic options strategies, and doesn't have any heavy math. Consequently, my advice is to maybe read it once if you're a newbie, or better yet just read PWIQF or some such and give this book a miss altogether. Also, this book doesn't really deserve to have 'Volatility' in its name - if you are interested in volatility, read Sinclair's Volatility Trading, don't bother with this one, it's far too primit Shelly's book is the 'Kindergarten book of Options'. It is very entry-level, discusses only simplistic options strategies, and doesn't have any heavy math. Consequently, my advice is to maybe read it once if you're a newbie, or better yet just read PWIQF or some such and give this book a miss altogether. Also, this book doesn't really deserve to have 'Volatility' in its name - if you are interested in volatility, read Sinclair's Volatility Trading, don't bother with this one, it's far too primitive and doesn't really describe any volatility-related math. ...more

Jan 09, 2012 Nick Black rated it it was amazing

Recommended to Nick by: Bradley Colmer

Fantastic introduction to pricing and volatility theory. Everything I could have asked for.
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i suddenly find myself writing trading systems. seems a good idea to learn what the hell i'm trading. this was the advice of a princeton banker friend who pretty much defines the cotillion braintrust, and it looks to be exactly what i wanted. Fantastic introduction to pricing and volatility theory. Everything I could have asked for.
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i suddenly find myself writing trading systems. seems a good idea to learn what the hell i'm trading. this was the advice of a princeton banker friend who pretty much defines the cotillion braintrust, and it looks to be exactly what i wanted. ...more

Aug 16, 2012 Carl Yang rated it it was amazing

The bible on options trading. Mandatory reading for most proprietary firms and derivatives training programs. Uses very little exotic math and illustrates logically many important concepts. Still keep this as a reference and by far the best book on options trading

The most complete work on option theory and practice.

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