{"product_id":"volatility-trading-website-isbn-9781118347133","title":"Volatility Trading, + Website","description":"\u003cb\u003ePopular guide to options pricing and position sizing for quant traders\u003c\/b\u003e  \u003cp\u003eIn this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eFilled with volatility models including brand new option trades for quant traders\u003c\/li\u003e \u003cli\u003eOptions trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003e\u003ci\u003eVolatility Trading, Second Edition + Website\u003c\/i\u003e outlines strategies for defining a true edge in the market using options to trade volatility profitably.\u003c\/p\u003e \u003cp\u003eAcknowledgments xi\u003c\/p\u003e \u003cp\u003eIntroduction to the Second Edition xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Option Pricing 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Black-Scholes-Merton Model 1\u003c\/p\u003e \u003cp\u003eModeling Assumptions 7\u003c\/p\u003e \u003cp\u003eConclusion 11\u003c\/p\u003e \u003cp\u003eSummary 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Volatility Measurement 13\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefining and Measuring Volatility 13\u003c\/p\u003e \u003cp\u003eDefinition of Volatility 14\u003c\/p\u003e \u003cp\u003eAlternative Volatility Estimators 20\u003c\/p\u003e \u003cp\u003eUsing Higher-Frequency Data 29\u003c\/p\u003e \u003cp\u003eSummary 33\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Stylized Facts about Returns and Volatility 35\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefinition of a Stylized Fact 35\u003c\/p\u003e \u003cp\u003eVolatility Is Not Constant 36\u003c\/p\u003e \u003cp\u003eCharacteristics of the Return Distribution 40\u003c\/p\u003e \u003cp\u003eVolume and Volatility 43\u003c\/p\u003e \u003cp\u003eDistribution of Volatility 45\u003c\/p\u003e \u003cp\u003eSummary 46\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Volatility Forecasting 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAbsence of Transaction Costs 50\u003c\/p\u003e \u003cp\u003ePerfect Information Flow 50\u003c\/p\u003e \u003cp\u003eAgreement about the Price Implications of Information 50\u003c\/p\u003e \u003cp\u003eMaximum Likelihood Estimation 54\u003c\/p\u003e \u003cp\u003eVolatility Forecasting Using Fundamental Information 60\u003c\/p\u003e \u003cp\u003eThe Variance Premium 62\u003c\/p\u003e \u003cp\u003eSummary 65\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Implied Volatility Dynamics 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVolatility Level Dynamics 70\u003c\/p\u003e \u003cp\u003eThe Smile and the Underlying 80\u003c\/p\u003e \u003cp\u003eSmile Dynamics 82\u003c\/p\u003e \u003cp\u003eTerm Structure Dynamics 90\u003c\/p\u003e \u003cp\u003eSummary 91\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Hedging 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAd Hoc Hedging Methods 95\u003c\/p\u003e \u003cp\u003eUtility-Based Methods 96\u003c\/p\u003e \u003cp\u003eEstimation of Transaction Costs 109\u003c\/p\u003e \u003cp\u003eAggregation of Options on Different Underlyings 113\u003c\/p\u003e \u003cp\u003eSummary 115\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Distribution of Hedged Option Positions 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscrete Hedging and Path Dependency 117\u003c\/p\u003e \u003cp\u003eVolatility Dependency 123\u003c\/p\u003e \u003cp\u003eSummary 129\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Money Management 131\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAd Hoc Sizing Schemes 131\u003c\/p\u003e \u003cp\u003eThe Kelly Criterion 133\u003c\/p\u003e \u003cp\u003eTime for Kelly to Dominate 143\u003c\/p\u003e \u003cp\u003eEffect of Parameter Mis-Estimation 144\u003c\/p\u003e \u003cp\u003eWhat is Bankroll? 146\u003c\/p\u003e \u003cp\u003eAlternatives to Kelly 148\u003c\/p\u003e \u003cp\u003eSummary 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Trade Evaluation 163\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Planning Procedures 164\u003c\/p\u003e \u003cp\u003eRisk-Adjusted Performance Measures 171\u003c\/p\u003e \u003cp\u003eSetting Goals 178\u003c\/p\u003e \u003cp\u003ePersistence of Performance 180\u003c\/p\u003e \u003cp\u003eRelative Persistence 180\u003c\/p\u003e \u003cp\u003eSummary 184\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Psychology 187\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSelf-Attribution Bias 191\u003c\/p\u003e \u003cp\u003eOverconfidence 193\u003c\/p\u003e \u003cp\u003eThe Availability Heuristic 197\u003c\/p\u003e \u003cp\u003eShort-Term Thinking 199\u003c\/p\u003e \u003cp\u003eLoss Aversion 199\u003c\/p\u003e \u003cp\u003eConservatism and Representativeness 201\u003c\/p\u003e \u003cp\u003eConfirmation Bias 203\u003c\/p\u003e \u003cp\u003eHindsight Bias 206\u003c\/p\u003e \u003cp\u003eAnchoring and Adjustment 207\u003c\/p\u003e \u003cp\u003eThe Narrative Fallacy 208\u003c\/p\u003e \u003cp\u003eProspect Theory 209\u003c\/p\u003e \u003cp\u003eSummary 212\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Generating Returns through Volatility 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Variance Premium 214\u003c\/p\u003e \u003cp\u003eReasons for the Variance Premium 220\u003c\/p\u003e \u003cp\u003eSummary 222\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 The VIX 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe VIX Index 224\u003c\/p\u003e \u003cp\u003eVIX Futures 225\u003c\/p\u003e \u003cp\u003eVolatility ETNs 227\u003c\/p\u003e \u003cp\u003eOther VIX Trades 229\u003c\/p\u003e \u003cp\u003eSummary 230\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Leveraged ETFs 231\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLeveraged ETFs as a Trade-Sizing Problem 234\u003c\/p\u003e \u003cp\u003eA Long-Short Trading Strategy 234\u003c\/p\u003e \u003cp\u003eOptions on Leveraged ETFs 235\u003c\/p\u003e \u003cp\u003eSummary 237\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Life Cycle of a Trade 239\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePretrade Analysis 239\u003c\/p\u003e \u003cp\u003ePosttrade Analysis 245\u003c\/p\u003e \u003cp\u003eSummary 247\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Conclusion 249\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSummary 252\u003c\/p\u003e \u003cp\u003eResources 253\u003c\/p\u003e \u003cp\u003eDirectly Applicable Books 253\u003c\/p\u003e \u003cp\u003eThought-Provoking Books 256\u003c\/p\u003e \u003cp\u003eUseful Websites 257\u003c\/p\u003e \u003cp\u003eReferences 261\u003c\/p\u003e \u003cp\u003eAbout the Website 273\u003c\/p\u003e \u003cp\u003eAbout the Author 279\u003c\/p\u003e \u003cp\u003eIndex 281\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eEUAN SINCLAIR\u003c\/b\u003e is an option trader with fifteen years' experience. He specializes in the design and implementation of quantitative trading strategies. Sinclair is currently a proprietary option trader for Bluefin Trading, where he trades based on quantitative models of his own design. He holds a PhD in theoretical physics from the University of Bristol.\u003c\/p\u003e  \u003cp\u003eVolatility, by definition, is indicative of underlying randomness. But there are patterns within the noise that can be measured and exploited. No one knows this better than author Euan Sinclair, a highly successful options trader with a doctorate in quantum chaos.\u003c\/p\u003e \u003cp\u003eBut the \u003ci\u003eSecond Edition\u003c\/i\u003e of \u003ci\u003eVolality Trading\u003c\/i\u003e isn't just about the numbers. Drawing upon his fifteen years as a professional trader, Sinclair provides a fully fleshed-out approach to trading that relies as much on the all-important \"human element\" and the psychological and emotional biases that drive trading decisions, as it does on quantitative analysis.\u003c\/p\u003e \u003cp\u003eUltimately, says Sinclair, trading is about having a coherent trading philosophy and developing a rigorous system. It's about setting a goal that can be clearly expressed in one sentence, and about finding trades with a clear statistical edge. And, finally, it's about capturing that edge and sizing each trade in a way that is consistent with your goal. Everything you do as a trader must be done within this framework.\u003c\/p\u003e \u003cp\u003eTaking an accessible, straightforward approach, Sinclair provides you with the knowledge and tools you need to create just such a framework. He walks you through the basics of option pricing, volatility measurement, hedging, money management, and performance evaluation. And he develops a Black-Scholes-Merton-based quantitative model for measuring volatility that can easily can be adapted to trading virtually any type of financial instrument.\u003c\/p\u003e \u003cp\u003eResponding to major changes in the markets since the first edition, Sinclair has expanded his scope in this \u003ci\u003eSecond Edition\u003c\/i\u003e to include coverage of the many new opportunities available in VIX futures, ETNs, and leveraged ETFs. He also:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eAnalyzes the benefits and shortcomings of an array of historical volatility measurements\u003c\/li\u003e \u003cli\u003eClearly shows how volatility behaves in the real world and how it relates to returns on underlying assets\u003c\/li\u003e \u003cli\u003eOutlines methods for forecasting volatility over the lifetime of a trade\u003c\/li\u003e \u003cli\u003eSupplies proven techniques for knowing when to hedge and by how much\u003c\/li\u003e \u003cli\u003eDelivers strategies for aggregating positions so as to reduce the need to hedge\u003c\/li\u003e \u003cli\u003eShares priceless tips on how to boost returns through trade sizing—including techniques borrowed from the worlds of futures trading and professional gambling\u003c\/li\u003e \u003cli\u003eArms you with powerful tools for evaluating the ongoing performance of your trading activity\u003c\/li\u003e \u003cli\u003eFills you in on the latest research on cognitive and emotional biases that influence trading decisions and how to leverage them to your advantage\u003c\/li\u003e \u003cli\u003eDelineates time-tested strategies for trading VIX futures, ETNs, and leveraged ETFs\u003c\/li\u003e \u003cli\u003eProvides access to a companion website containing valuable spreadsheets, models for calculating volatility cones for different time periods, and simulation engines\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eBringing volatility trading down to earth for even the most numbers-shy traders, as well as hard-nosed quants interested in acquiring a deeper understanding of options trading, \u003ci\u003eVolatility Trading, Second Edition\u003c\/i\u003e is an indispensable \"tool of the trade.\"\u003c\/p\u003e  \u003cp\u003ePraise from experts for the Second Edition of \u003ci\u003eVolatility Trading\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"Benefitting from his experience as an option trader and his background as a physicist, Euan Sinclair gives a comprehensive and detailed treatment of theoretical and practical aspects involved in volatility trading. The style is to-the-point, focused, and honest. The book includes something rarer than a CD-ROM: humor. Heartily recommended for the practitioner, as well as the academic who wants to know.\"\u003cbr\u003e \u003cb\u003e—JESPER ANDREASEN\u003c\/b\u003e, Danske Markets, Copenhagen\u003c\/p\u003e \u003cp\u003e\"Over the last five years, this has become the classic work on practical options trading. It has been updated to cover innovations in markets as well as additional material on behavioral finance and capturing risk premium Everyone who trades options should read this book.\"\u003cbr\u003e \u003cb\u003e—AARON BROWN\u003c\/b\u003e, Risk Manager, AQR Capital Management, and author of \u003ci\u003eRed-Blooded Risk\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"Practical, engaging, and concise, Euan Sinclair's \u003ci\u003eVolatility Trading\u003c\/i\u003e remains the best book I have seen about options trading from the practitioner's standpoint. A far cry from the standard textbook treatment, Sinclair's discussion of practical topics such as trade sizing, exit criteria, and P\u0026amp;L management—peppered with relevant trading anecdotes—educates while countering many of the trader myths and fallacies one hears over the years. New material on trading the VIX and volatility ETFs is particularly timely and useful.\"\u003cbr\u003e \u003cb\u003e—STEVE CRUTCHFIELD\u003c\/b\u003e, Head of U.S. Options, NYSE Euronext\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990462054629,"sku":"NP9781118347133","price":76.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118347133.jpg?v=1761787923","url":"https:\/\/k12savings.com\/es\/products\/volatility-trading-website-isbn-9781118347133","provider":"K12savings","version":"1.0","type":"link"}