| The Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets |  | Author: Jeff Augen
Publisher: FT Press
Category: Book
List Price: $39.99
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Seller: famoussyl2
Rating:  29 reviews
Sales Rank: 11,793
Media: Hardcover
Edition: 1
Pages: 304
Number Of Items: 1
Shipping Weight (lbs): 0.7
Dimensions (in): 8.9 x 6.1 x 1.2
ISBN: 0132354691
Dewey Decimal Number: 332.632283
EAN: 9780132354691
ASIN: 0132354691
Publication Date: January 27, 2008
Availability: Usually ships in 1-2 business days
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| • | ISBN13: 9780132354691 | | • | Condition: NEW | | • | Notes: Brand New from Publisher. No Remainder Mark. |
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Product Description
"Jeff's analysis is unique, at least among academic derivatives textbooks. I would definitely use this material in my derivatives class, as I believe students would benefit from analyzing the many dimensions of Jeff's trading strategies. I especially found the material on trading the earnings cycle and discussion of how to insure against price jumps at known events very worthwhile." --DR. ROBERT JENNINGS, Professor of Finance, Indiana University Kelley School of Business "This is not just another book about options trading. The author shares a plethora of knowledge based on 20 years of trading experience and study of the financial markets. Jeff explains the myriad of complexities about options in a manner that is insightful and easy to understand. Given the growth in the options and derivatives markets over the past five years, this book is required reading for any serious investor or anyone in the financial service industries." --MICHAEL P. O'HARE, Head of Mergers & Acquisitions, Oppenheimer & Co. Inc. "Those in the know will find this book to be an excellent resource and practical guide with exciting new insights into investing and hedging with options." --JIM MEYER, Managing Director, Sasqua Field Capital Partners LLC "Jeff has focused everything I knew about options pricing and more through a hyper-insightful lens! This book provides a unique and practical perspective about options trading that should be required reading for professional and individual investors." --ARTHUR TISI, Founder and CEO, EXA Infosystems; private investor and options trader In The Volatility Edge in Options Trading, leading options trader Jeff Augen introduces breakthrough strategies for identifying subtle price distortions that arise from changes in market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques that every experienced options trader can use to study historical price changes, mitigate risk, limit market exposure, and structure mathematically sound high-return options positions. Augen bridges the gap between pricing theory mathematics and market realities, covering topics addressed in no other options trading book. He introduces new ways to exploit the rising volatility that precedes earnings releases; trade the monthly options expiration cycle; leverage put:call price parity disruptions; understand weekend and month-end effects on bid-ask spreads; and use options on the CBOE Volatility Index (VIX) as a portfolio hedge. Unlike conventional guides, The Volatility Edge in Options Trading doesn't rely on oversimplified positional analyses: it fully reflects ongoing changes in the prices of underlying securities, market volatility, and time decay. What's more, Augen shows how to build your own customized analytical toolset using low-cost desktop software and data sources: tools that can transform his state-of-the-art strategies into practical buy/sell guidance. An options investment strategy that reflects the markets' fundamental mathematical properties Presents strategies for achieving superior returns in widely diverse market conditions Adaptive trading: how to dynamically manage option positions, and why you must Includes precise, proven metrics and rules for adjusting complex positions Effectively trading the earnings and expiration cycles Leverage price distortions related to earnings and impending options expirations Building a state-of-the-art analytical infrastructure Use standard desktop software and data sources to build world-class decision-making tools
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| Customer Reviews:
Showing reviews 1-5 of 29
 Volatility thou art but another name for uncertainty December 31, 2009
Ramal Murali (Boston, MA USA)
Jeff Augen has provided an elegant, effective, analytical presentation of Option trading strategies without eschewing mathematical rigor. Because of its focus on practical trading, this book is readable by most equity and index option traders except those who are allergic to the mere mention of mathematical equations.
The author has provided `statistical insight into the dynamics of price change behavior and volatility', which is useful information for the serious trader. This is true of every chapter except the last one, where the author has indulged himself in a presentation of `Building the Toolset' (an overview of the author's creation of thousands of lines of computer code).
I agree with the author's lament that `the financial world has chosen to substitute careful scientific analysis with something far less precise - the opinions of financial analysts, who tend to be short on accurate predictions but long on after-the-fact analysis. Such an over reliance on `expert opinions' is not all that bad, since it served as the motivation for the author's excellent work.
If you are new to option trading, you would not find the brief 4-page discussion of `Background and Terms' adequate. You might want to read a book such as Guy Cohen's `Options Made easy' before continuing on with Augen's book.
In chapter 1, the author proposes the use of standard deviations to represent price changes in place of usual closing price chart and in the next several chapters makes a clear presentation of why such (standard deviation) charts are superior from a trader's point of view. Although I enjoyed the rigorous presentation of equations for the Black Scholes pricing model, this discussion may not be every reader's `cup of tea'. Such a reader may find Dan Passarelli's book `Trading Option Greeks' more amenable.
Chapter 3 on `Volatility' notes how in falling markets volatility tends to rise and in rising markets volatility tends to fall. However, volatility alone is a poor indicator of price change behavior. Therefore, it is important to have a balanced view of historical volatility and price change behavior in terms of size and frequency of spikes (large standard deviations).
Chapter 4 `General Considerations' includes valuable information such as this: ` an interesting strategy involves structuring a long position that benefits from increasing volatility and closing the trade just before earnings are released.' This chapter also illustrates with a clear example how `much information can be gleaned from a level II quote'. After reading this chapter, traders should no longer be surprised if call prices drop despite a rise in the underlying stock, since they would learn to attribute such effect to falling volatility that accompanies an increasingly stable rising stock.
In Chapter 5 `Managing Basic Option Positions' the author makes another excellent point: `Treating option positions as static entities that have a range of values at expiration has been the downfall of many books on the subject'. Despite this view, I wish the author chose to include Profit & Loss profile diagrams (such as the ones in Passarelli's book), for at least the basic option positions, indicating the profile at trade date, an intermediate date and at expiry. I hold this view despite my total agreement with the author's statement that `opening a position and leaving it until expiration is rarely the best strategy.' The author's admonition to `focus on trading the option and not the underlying' does not necessarily apply to (my favorite strategy) deep in the money calls, which behave like synthetic stocks at a fraction of the cost. Of course, the author is well aware of this, since he observes that long call positions perform better than short put positions as a (synthetic) replacement for stock.
The author goes on to discuss `Managing Complex Option Positions', and how to trade the earnings cycle and expiration cycle. I believe that a trader should trade only at the level of complexity that he can fully understand and profit from. If he wishes to indulge in more complex positions he should thoroughly soak in the knowledge exhibited in Augen's book before venturing beyond his normal reach.
Ultimately, a trader wins if he is right (whether he bets on higher/lower prices or higher/lower volatility) and loses if he is wrong. The only thing he can do is improve the odds of being right and hold the losses to manageable levels when he is wrong.
Options Made Easy: Your Guide to Profitable Trading (2nd Edition)Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profit
 A Detailed Study of Volatility in Options Trading October 23, 2009
Bill Thomas (San Antonio TX USA)
Jeff Augen has produced a very detailed study of the way in which options are affected by volatility, and offers suggestions and ideas on taking advantage of that same volatility when selecting option strategies. He also presents ideas for managing complex strategies, such as diagonals and calendars, that are difficult to find in other sources. This book is definitely for the intermediate to advanced trader who has a sound understanding of option Greeks. This is an excellent reference to have on the trader's bookshelf.
Sharpening the focus on volatility September 19, 2009
Richard Bobb (Sydney, Australia)
I largely purchased the book on the favourable reviews I'd read from other previous readers of this book.
Now, having read the book, for myself, I believe the book has the effect of causing an option trader to sharply focus one's attention on the issue of volatility and how that impacts on option values (including options that are still out-of-the-money).
I particularly found the author's narrative, in Chapter 5 on short strangles, of great interest. For a moment I'd thought I could have written that part of the book since the strategy, the author describes, mimics my own. The author adroitly sets out, in Table 5.4, a clever option trade (i.e. a short strangle with a positive delta of +0.25 and a negative delta of -0.25) and provides all of the relevant data that should be recorded for monitoring daily movements. The Table also includes the necessary adjustments, following adverse movements in the underlying stock price, in order to maintain a delta neutral position throughout the life of the short strangle, as it moves towards expiry.
The book is not intended for novices, and should only be read with those who possess a very thorough understanding of the "Greeks" and a desire to sharpen their understanding of volatility and the impact that increases and decreases in volatility have on option prices and values.
Excellent book - but not for novices June 27, 2009
D. Cash (Virginia)
I just finished reading this book and got a lot out of it. It provides just what it advertises, several good strategies that depend on volatility changes. If you do not have a fairly good knowledge of options already (greeks included) and a pretty good knowledge of statistics that includes what a "normal" distribution is and isn't, then you will find this book rather tough going.
The volatility spike graphs were particularly enlightening to me. I already use the main strategies discussed in this book, but Augen's discussion of them showed me why they work, and, more importantly, showed me how to assess how well they should work; i.e., what type of profit target I should be expecting and by how much I should hedge my trades.
The one nit I have to pick with this book is the way trades are explained. The tabular representations of various trades and the corresponding text discussions of them can be a little difficult to follow. I think that supplementing the tables with graphical representations (perhaps 3-D price/volatility/time surfaces) of these model trades might be a good way to go.
Reading this book has made me decide to read the author's other books.
 Very Tedious Reading May 1, 2009
StockMeister (USA)
3 out of 10 found this review helpful
Way too much time spent on math formula's; much too little time spent on trading the Greeks. I guess I will have to read it again and get his workbook, but I am interested enough to think about buying his expiry day option trading book. I expected some math, but was disapointed it was not more directed at trading the Greeks. Chp. 8, "Trading the expiry cycle" was probably the most useful info. TOS/Option Planet has a free 8 hour seminar you will learn far more in than this book has to offer.
Showing reviews 1-5 of 29
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