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Preview — Option Volatility & Pricing by Sheldon Natenberg
One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies. It covers pricing models, volatility considerations, basic and advanced trading strategies, and risk management techniques. Written in clear...more
Published August 1st 1994 by McGraw-Hill (first published 1988)
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Sep 05, 2009Austin 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 t...more
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.
Mar 12, 2019Grace 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?
Jul 24, 2018Yury rated it liked it · review of another edition
Неплохая книга для систематизации основных знаний. Но имеет один большой недостаток, очень уж она давно написана - в начале 90-х. Многие современные тенденции затронуты весьма поверхностно, или даже просто вскользь упомянуты. Список литературы, к которой идет отсылка тоже достаточно староват. Например много отсылок к статьям 'Journal of Finance' конца 80-х, и порой даже 70-х годов...
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.
read majority of it until the lessons got directed more for institutions/HNWI than retail amateur traders.
Dec 31, 2018Chris rated it really liked it
the strategies are not 'Advanced', the mathematics is incorrect, but this is real, accurate information on options market making.
Nov 18, 2018Caitlin Dickerboom rated it it was amazing · review of another edition
Amazing book for those interested in options trading. You’ll definitely find yourself rereading a few sections as the author quickly covers each subject.
Must read if you want to trade options.
Feb 02, 2019Mykyta Kuzmenko rated it really liked it · review of another edition
Про опционы с дозой хорошего житейского опыта, хорошая книга.
Apr 25, 2019Rajesh Gaddipati rated it it was amazing
Great introduction + detail
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.
Mar 11, 2014Jeffrey 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...more
Jan 17, 2013Dmitri 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...more
Fantastic introduction to pricing and volatility theory. Everything I could have asked for. --- 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.
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
Very well written book. Anyone that that wants to read Hull should read this first.
Jul 28, 2018Aditya Mittal rated it it was amazing · review of another edition
Pros: Great book! Must read for anyone trading options. Well written and insightful. Cons: Typos and mistakes in some tables, calculations etc.
The most complete work on option theory and practice.
Option Strategy For Volatility
If you trade options, read this book. Literally anyone who's worked as a market maker has read this book.
Very technical and through. Dated, but still applies.
Dec 02, 2013Shantanu Sharma, Ph.D. rated it it was amazing
Fantastic book on options pricing theory and trading strategies. Sheldon Natenberg is among the most renowned authors on options pricing.
Aug 20, 2013Deepak Bhawsinka rated it it was amazing
Tadas Talaikis rated it really liked it Apr 02, 2015
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A unique, in-depth guide to options pricing and valuing their greeks, along with a four dimensional approach towards the impact of changing market circumstances on options
How to Calculate Options Prices and Their Greeks is the only book of its kind, showing you how to value options and the greeks according to the Black Scholes model but also how to do this without consulting a model. You'll build a solid understanding of options and hedging strategies as you explore the concepts of probability, volatility, and put call parity, then move into more advanced topics in combination with a four-dimensional approach of the change of the P&L of an option portfolio in relation to strike, underlying, volatility, and time to maturity. This informative guide fully explains the distribution of first and second order Greeks along the whole range wherein an option has optionality, and delves into trading strategies, including spreads, straddles, strangles, butterflies, kurtosis, vega-convexity , and more. Charts and tables illustrate how specific positions in a Greek evolve in relation to its parameters, and digital ancillaries allow you to see 3D representations using your own parameters and volumes.
The Black and Scholes model is the most widely used option model, appreciated for its simplicity and ability to generate a fair value for options pricing in all kinds of markets. This book shows you the ins and outs of the model, giving you the practical understanding you need for setting up and managing an option strategy.
• Understand the Greeks, and how they make or break a strategy
• See how the Greeks change with time, volatility, and underlying
• Explore various trading strategies
• Implement options positions, and more
Representations of option payoffs are too often based on a simple two-dimensional approach consisting of P&L versus underlying at expiry. This is misleading, as the Greeks can make a world of difference over the lifetime of a strategy. How to Calculate Options Prices and Their Greeks is a comprehensive, in-depth guide to a thorough and more effective understanding of options, their Greeks, and (hedging) option strategies.
