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Option Volatility Trading Strategies

Option Volatility Trading Strategies

Sheldon Natenberg

ISBN: 978-1-118-53844-9

Oct 2012

176 pages



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 : Th e 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 : Th e Four Types of Volatility and How to Evaluate Them 67

Chapter 6 : Volatility Trading Strategies 81

Chapter 7 : Th eoretical 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

Trading Resource Guide 157