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Option Volatility & Pricing: Advanced Trading Strategies and Techniques
  

Option Volatility & Pricing: Advanced Trading Strategies and Techniques [Kindle Edition]

Sheldon Natenberg (Author)
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Product Details

  • Format: Kindle Edition
  • File Size: 10198 KB
  • Publisher: McGraw-Hill; 2nd edition (August 1, 1994)
  • Sold by: Amazon Digital Services
  • ASIN: B001C34HN0

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An important characteristic of volatility is that it is proportional to the square root of time. As a result of this, we can approximate a volatility over some period of time shorter than a year by dividing the annual volatility by the square root of the number of trading periods in a year. &quote;
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&quote;
If we assume that prices are distributed along a normal distribution curve, the value of an underlying contract depends on where the peak of the curve is located, while the value of an option depends on how fast the curve spreads out. &quote;
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&quote;
A large gamma number, whether positive or negative, indicates a high degree of risk; a low gamma number indicates a low degree of risk. Every option trader learns to look carefully not only at current directional risk (the delta), but also at how that directional risk will change if the underlying market begins to move (the gamma). &quote;
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