Option Volatility and Pricing: Advanced Trading Strategies and Techniques

Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. 

Introduction:

As with any living language, market terminology, and more specifically, op-tion terminology, has changed over time. Some terms that were common when the first edition appeared have gone out of favor or disappeared completely. Other terms that did not previously exist have gained wide acceptance. This is reflected in small changes to the vocabulary used in this text.

It is almost impossible to keep up with the amount of information that is available on options. Not only do new books appear with greater frequency, but the Internet has enabled traders to find relevant source material almost instan-taneously. For this reason, the Bibliography has been eliminated. This should not be construed as an attempt to discourage readers from consulting other sources.

Option Volatility & Pricing represents only one approach to options—that of a pro-fessional trader. Many excellent option books are available, and any aspiring option trader will want to consult a broad range of texts in order to understand the many different ways one can approach option markets. F0r those who are interested in the mathematics of option pricing, this text is in no way meant to take the place of a good university textbook on financial engineering.

Contents:

• Financial Contracts
• Forward Pricing
• Contract Specifications and Option Terminology
• Expiration Profit and Loss
• Theoretical Pricing Models
• Volatility
• Risk Measurement I
• Dynamic Hedging
• Risk Measurement II
• Introduction to Spreading
• Volatility Spreads
• Bull and Bear Spreads
• Risk Considerations
• Synthetics
• Option Arbitrage
• Early Exercise of American Options
• Hedging with Options
• The Black-Scholes Model
• Binomial Option Pricing
• Volatility Revisited
• Position Analysis
• Stock Index Futures and Options
• Models and the Real World
• Volatility Skews
• Volatility Contracts

Option Volatility & Pricing: Advanced Trading Strategies and Techniques By Sheldon Natenberg pdf