Option Volatility & Pricing
Updated Edition

Description:

Written in a clear, easy-to-understand fashion, 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. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance.

New sections include:

• Expanded coverage of stock option
• Strategies for stock index futures and options
• A broader, more in-depth discussion volatility
• Analysis of volatility skews
• Intermarket spreading with options

Contents:

• Preface to the First Edition
• Preface to the Second Edition
• 1 The Language of Options 1
• 2 Elementary Strategies 13
• 3 Introduction to Theoretical Pricing Models 35
• 4 Volatility 51
• 5 Using an Option's Theoretical Value 81
• 6 Option Values and Changing Market Conditions 95
• 7 Introduction to Spreading 127
• 8 Volatility Spreads 137
• 9 Risk Considerations 173
• 10 Bull and Bear Spreads 199
• 11 Option Arbitrage 213
• 12 Early Exercise of American Options 241
• 13 Hedging with Options 257
• 14 Volatility Revisited 273
• 15 Stock Index Futures and Options 301
• 16 Intermarket Spreading 331
• 17 Position Analysis 353
• 18 Models and the Real World 385
• Appendix A A Glossary of Option and Related Terminology 419
• Appendix B The Mathematics of Option Pricing 431
• Appendix C Characteristics of Volatility Spreads 449
• Appendix D What's the Right Strategy? 451
• Appendix E Synthetic and Arbitrage Relationships 453
• Appendix F Recommended Reading 457
• Index 463