Option Volatility and Pricing: Advanced Trading Strategies and Techniques

Sheldon Natenberg · 2015 · McGraw-Hill

BeginnerIntradayLFTBook

The market maker's introduction to options: greeks, volatility, spreads and risk. A good first read for index-options traders.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: Intraday, LFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Options & volatility
Assets: Options
Market: Global

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Options and volatility for index-options traders

The Pricing of Options and Corporate Liabilities →

Cite

@book{natenberg2015option,
  author = {Natenberg, Sheldon},
  title = {{Option Volatility and Pricing: Advanced Trading Strategies and Techniques}},
  publisher = {McGraw-Hill},
  year = {2015},
  url = {https://openlibrary.org/works/OL4774036W}
}

Natenberg, S. (2015). Option Volatility and Pricing: Advanced Trading Strategies and Techniques. McGraw-Hill. https://openlibrary.org/works/OL4774036W