Option Volatility Trading Strategies

Sheldon Natenberg is one of the most sought after speakers on the topic of option trading and volatility strategies. This book takes Sheldon’s non-technical, carefully crafted presentation style and applies it to a book—one that you’ll study and carry around for years as your personal consultant.

Learn about the most vital concepts that define options trading, concepts you’ll need to analyze and trade with confidence. In this volume, Sheldon explains the difference between historical volatility, future volatility, and implied volatility. He provides real inspiration and wisdom gleaned from years of trading experience.

Th is book captures the energy of the spoken message direct from the source.

• Learn about implied volatility and how it is calculated
• Gain insight into the assumptions driving an options pricing model
• Master the techniques of comparing price to value
• Realize the important part that probability plays in estimating
  option prices

Meet Sheldon Natenberg vii

Chapter 1: The Most Important Tool for any Options Trader 1

Chapter 2: Probability and Its Role in Valuing Options 9

Chapter 3: Using Standard Deviation to Assess Levels of Volatility 35

Chapter 4: Making Your Pricing Model More Accurate 55

Chapter 5: The Four Types of Volatility and How to Evaluate Them 67

Chapter 6: Volatility Trading Strategies 81

Chapter 7: Theoretical Models vs the Real World 107

Appendix A: Option Fundamentals 115

Appendix B: A Basic Look at Black-Scholes 129

Appendix C: Calendar Spread 133

Appendix D: Greeks of Option Valuation 137

Appendix E: Key Terms 141

Index 149

SHELDON NATENBERG is one of the most sought-after speakers on the topic of option trading and volatility strategies. As a speaker and Co-Director of Education for Chicago Trading Company, Natenberg has helped many of the world's top institutional investors, mutual fund managers, and brokerage analysts better understand volatility and utilize it in valuing and pricing options of all types. He is the author of Option Volatility and Pricing: Advanced Trading Strategies and Techniques, widely considered to be the finest book ever written on the subject. First published in 1988, and revised in 1994, the book established Sheldon as one of the world's most acclaimed authorities on volatility and its impact on pricing and tracing strategies—a reputation he has continued to build ever since.

This print rendition of Sheldon Natenberg's highly successful Mastering Option Trading Volatility Strategies presentation is a must-have. It outlines his personal approach for analyzing and trading options the way the pros do: using option models, estimating option prices, and using key volatility techniques.

From the basis of implied volatility and how it's calculated, to the importance of dynamic hedging through delta and neutral positions, Natenberg delivers a five-star presentation in print that explains critical concepts simply and concisely. Here he proves once again that he's the foremost expert on volatility.

Arming yourself with this book can enhance your trading success in every type of market and allow you to reap considerable rewards by mastering the most effective volatility techniques from an absolute master of the game.

Option Volatility Trading Strategies

This print rendition of Sheldon Natenberg's highly successful Mastering Option Trading Volatility Strategies presentation is a must-have. It outlines his personal approach for analyzing and trading options the way the pros do: using option models, estimating option prices, and using key volatility techniques.

From the basis of implied volatility and how it's calculated, to the importance of dynamic hedging through delta and neutral positions, Natenberg delivers a five-star presentation in print that explains critical concepts simply and concisely. Here he proves once again that he's the foremost expert on volatility.

Arming yourself with this book can enhance your trading success in every type of market and allow you to reap considerable rewards by mastering the most effective volatility techniques from an absolute master of the game.