{"product_id":"volatility-trading-website-isbn-9780470181997","title":"Volatility Trading, + website","description":"In \u003ci\u003eVolatility Trading\u003c\/i\u003e, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your 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. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader.\u003cbr\u003e \u003cbr\u003e Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals.\u003cbr\u003e \u003cbr\u003e As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines. \u003cp\u003eIntroduction 1\u003c\/p\u003e \u003cp\u003eThe Trading Process 3\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Option Pricing 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Black-Scholes-Merton Model 7\u003c\/p\u003e \u003cp\u003eSummary 14\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Volatility Measurement and Forecasting 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefining and Measuring Volatility 15\u003c\/p\u003e \u003cp\u003eDefinition of Volatility 16\u003c\/p\u003e \u003cp\u003eAlternative Volatility Estimators 22\u003c\/p\u003e \u003cp\u003eClose-to-Close Estimator 26\u003c\/p\u003e \u003cp\u003eParkinson Estimator 26\u003c\/p\u003e \u003cp\u003eGarman-Klass Estimator 27\u003c\/p\u003e \u003cp\u003eRogers-Satchell Estimator 27\u003c\/p\u003e \u003cp\u003eYang-Zhang Estimator 27\u003c\/p\u003e \u003cp\u003eUsing Higher-Frequency Data 27\u003c\/p\u003e \u003cp\u003eForecasting Volatility 31\u003c\/p\u003e \u003cp\u003eMaximum Likelihood Estimation 36\u003c\/p\u003e \u003cp\u003eForecasting the Volatility Distribution 39\u003c\/p\u003e \u003cp\u003eSummary 43\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Implied Volatility Dynamics 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVolatility Level Dynamics 48\u003c\/p\u003e \u003cp\u003eInformal Definition 50\u003c\/p\u003e \u003cp\u003eMore Formal Definition 50\u003c\/p\u003e \u003cp\u003eA Traders’ Definition 50\u003c\/p\u003e \u003cp\u003eSmile Dynamics 54\u003c\/p\u003e \u003cp\u003eSummary 62\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Hedging 63\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAd Hoc Hedging Methods 65\u003c\/p\u003e \u003cp\u003eHedging at Regular Intervals 65\u003c\/p\u003e \u003cp\u003eHedging to a Delta Band 65\u003c\/p\u003e \u003cp\u003eHedging Based on Underlying Price Changes 65\u003c\/p\u003e \u003cp\u003eUtility-Based Methods 66\u003c\/p\u003e \u003cp\u003eThe Asymptotic Solution of Whalley and Wilmott 71\u003c\/p\u003e \u003cp\u003eThe Double Asymptotic Method of Zakamouline 74\u003c\/p\u003e \u003cp\u003eEstimation of Transaction Costs 78\u003c\/p\u003e \u003cp\u003eAggregation of Options on Different Underlyings 83\u003c\/p\u003e \u003cp\u003eSummary 85\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Hedged Option Positions 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscrete Hedging and Path Dependency 87\u003c\/p\u003e \u003cp\u003eVolatility Dependency 93\u003c\/p\u003e \u003cp\u003eSummary 99\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Money Management 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAd Hoc Schemes 101\u003c\/p\u003e \u003cp\u003eThe Kelly Criterion 103\u003c\/p\u003e \u003cp\u003eAlternatives to the Kelly Criterion 113\u003c\/p\u003e \u003cp\u003eTrade Sizing in a Continuously Changing Setting 118\u003c\/p\u003e \u003cp\u003eA Simple Approximation 124\u003c\/p\u003e \u003cp\u003eSummary 126\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Trade Evaluation 127\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Planning Procedures 128\u003c\/p\u003e \u003cp\u003eRisk-Adjusted Performance Measures 134\u003c\/p\u003e \u003cp\u003eThe Sharpe Ratio 135\u003c\/p\u003e \u003cp\u003eAlternatives to the Sharpe Ratio 137\u003c\/p\u003e \u003cp\u003eSetting Goals 140\u003c\/p\u003e \u003cp\u003ePersistence of Performance 142\u003c\/p\u003e \u003cp\u003eRelative Persistence 143\u003c\/p\u003e \u003cp\u003eAbsolute Persistence 144\u003c\/p\u003e \u003cp\u003eSummary 147\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Psychology 149\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSelf-Attribution Bias 151\u003c\/p\u003e \u003cp\u003eOverconfidence 152\u003c\/p\u003e \u003cp\u003eThe Availability Heuristic 155\u003c\/p\u003e \u003cp\u003eShort-Term Thinking 156\u003c\/p\u003e \u003cp\u003eLoss Aversion 157\u003c\/p\u003e \u003cp\u003eConservatism and Representativeness 158\u003c\/p\u003e \u003cp\u003eConfirmation Bias 160\u003c\/p\u003e \u003cp\u003eHindsight Bias 161\u003c\/p\u003e \u003cp\u003eAnchoring and Adjustment 162\u003c\/p\u003e \u003cp\u003eSummary 162\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Life Cycle of a Trade 165\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePretrade Analysis 165\u003c\/p\u003e \u003cp\u003eJune 25, 2007 165\u003c\/p\u003e \u003cp\u003eJune 26, 2007 169\u003c\/p\u003e \u003cp\u003eJune 27, 2007 169\u003c\/p\u003e \u003cp\u003eJune 28, 2007 170\u003c\/p\u003e \u003cp\u003eJune 29, 2007 170\u003c\/p\u003e \u003cp\u003eJuly 2, 2007 170\u003c\/p\u003e \u003cp\u003eJuly 3, 2007 170\u003c\/p\u003e \u003cp\u003ePost-Trade Analysis 171\u003c\/p\u003e \u003cp\u003eSummary 173\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Conclusion 175\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eExecution Ability 176\u003c\/p\u003e \u003cp\u003eConcentration 177\u003c\/p\u003e \u003cp\u003eProduct Selection 177\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A: Model-Free Implied Variance and Volatility 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe VIX Index 180\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix B: Spreadsheet Instructions 183\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGARCH 183\u003c\/p\u003e \u003cp\u003eVolatility Cones and Skew and Kurtosis Cones 184\u003c\/p\u003e \u003cp\u003eDaily Option Hedging Simulation 184\u003c\/p\u003e \u003cp\u003eTrade Evaluation 185\u003c\/p\u003e \u003cp\u003eTrading Goals 185\u003c\/p\u003e \u003cp\u003eCorrado-Su Skew Curve 185\u003c\/p\u003e \u003cp\u003eMean Reversion Simulator 186\u003c\/p\u003e \u003cp\u003eResources 187\u003c\/p\u003e \u003cp\u003eEssential Books 187\u003c\/p\u003e \u003cp\u003eThought-Provoking Books 189\u003c\/p\u003e \u003cp\u003eUseful Web Sites 190\u003c\/p\u003e \u003cp\u003eReferences 193\u003c\/p\u003e \u003cp\u003eAbout the CD-ROM 201\u003c\/p\u003e \u003cp\u003eIndex 203\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eEUAN SINCLAIR\u003c\/b\u003e is an option trader with over ten years of experience trading options professionally. 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\u003eSuccessful trading, says Euan Sinclair, is about developing a consistent process. You must have a goal; you must find trades with a clear statistical edge; you must capture that edge and size each trade in a way that is consistent with your goal. Everything else you do must be done within this framework. \u003c\/p\u003e\u003cp\u003eIn \u003ci\u003eVolatility Trading,\u003c\/i\u003e Sinclair offers you a quantitative model for measuring volatility in or- der to gain an edge in your 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. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of—and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. \u003c\/p\u003e\u003cp\u003eYour goal, Sinclair explains, must be clearly defined and easily expressed—if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. \u003c\/p\u003e\u003cp\u003eAs the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.\t   \u003c\/p\u003e\u003cp\u003e\u003cb\u003eVOLATILITY TRADING\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003eSuccessful trading, says Euan Sinclair, is about developing a consistent process. You must have a goal; you must find trades with a clear statistical edge; you must capture that edge and size each trade in a way that is consistent with your goal. Everything else you do must be done within this framework. \u003c\/p\u003e\u003cp\u003eIn \u003ci\u003eVolatility Trading\u003c\/i\u003e, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your 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. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of—and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. \u003c\/p\u003e\u003cp\u003eYour goal, Sinclair explains, must be clearly defined and easily expressed—if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. \u003c\/p\u003e\u003cp\u003eAs the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CDROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990462251237,"sku":"NP9780470181997","price":73.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470181997.jpg?v=1761787923","url":"https:\/\/k12savings.com\/products\/volatility-trading-website-isbn-9780470181997","provider":"K12savings","version":"1.0","type":"link"}