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Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profit (Bloomberg Financial) Hardcover – June 1, 2008


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Product Details

  • Series: Bloomberg Financial (Book 35)
  • Hardcover: 352 pages
  • Publisher: Bloomberg Press; 1 edition (June 1, 2008)
  • Language: English
  • ISBN-10: 157660246X
  • ISBN-13: 978-1576602461
  • Product Dimensions: 6.3 x 1 x 9.3 inches
  • Shipping Weight: 1.4 pounds
  • Average Customer Review: 4.6 out of 5 stars  See all reviews (21 customer reviews)
  • Amazon Best Sellers Rank: #648,742 in Books (See Top 100 in Books)

Editorial Reviews

Review

“A must-read for individuals who are serious about trading options.”—James Bittman, author, "Trading Options as a Professional"



“Dan’s book is a primer for options aficionados. Without bogging you down

with super-heavy math, he walks you through the key principles and shows you

what matters the most to your trading portfolio."—Fari Hamzei, founder, Hamzei Analytics, LLC

Review

"A must-read for individuals who are serious about trading options."
James Bittman
Author, Trading Options as a Professional

"Dan's book is a primer for options aficionados. Without bogging you down with super-heavy math, he walks you through the key principles and shows you what matters the most to your trading portfolio."
Fari Hamzei
Founder, Hamzei Analytics, LLC


More About the Author

Dan Passarelli, is the author of the book Trading Option Greeks and founder of Market Taker Mentoring LLC. Market Taker Mentoring is an options education company that provides personalized one-on-one mentoring for option traders. The company website is www.MarketTaker.com.

Dan started his option trading career on the floor of the Chicago Board Options Exchange (CBOE) as an equity options market maker. He also traded agricultural options and futures on the floor of the Chicago Board of Trade (CBOT). In 2005, Dan joined CBOE's Options Institute and began teaching both basic and advanced option trading concepts to retail traders, brokers, institutional traders, financial planners and advisors, money managers, employees of the Federal Reserve Bank, and market makers. In addition to his work with CBOE, Dan taught option trading strategies at the Options Industry Council (OIC). Dan has written numerous articles in the financial press. Dan can be followed on Twitter at www.twitter.com/Dan_Passarelli.

Customer Reviews

This is an excellent book on options especially because of how easy it is to understand complex concepts.
Elias M.
In the discussion of the Historical Volatility, the author is a little unclear regarding the normal vs. log normal distribution assumption in the Black-Scholes model.
Ramal Murali
As a long-term trader (and presenter) of options I've read mostly all of the serious options books that would be used as teaching resources.
Peter J. Hewson

Most Helpful Customer Reviews

123 of 131 people found the following review helpful By Aniruddha Pant on September 17, 2008
Format: Hardcover Verified Purchase
When I bought this book, I was expecting really in-depth analysis of various Greeks and their effects on basic option positions as well as complex spreads. However, I was bit disappointed.

If you have read any decent preliminary option trading books (Natenberg, McMillan et al) or if you have been trading option spreads for say 1+ year, this book would be useless. In aggregate there would be about 10-12 page material which may useful for such people. Last chapter on relationships between implied and realized volatility is OK.

For some reason the author has morbid fear for graphs of positions and greeks. He ends up giving tables after tables to illustrate effect of various greeks on option position.

If you are at a stage where you think I buy call option when I am bullish and I buy put option when I am bearish, this book will help you understand the effects of other equally important variables in pricing and trading, but then there are so many other which give this information in a better fashion in my opinion.
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30 of 33 people found the following review helpful By Ramal Murali on December 26, 2009
Format: Hardcover
I believe that a mentor's aim is to impart his knowledge based on many years' experience so that his scholar student excels the mentor. Mr. James B. Bittman must be a great mentor, since Passarelli's book not only matches the excellence of Bittman's book (`Trading Options as a Professional') but exceeds that lofty level.

This book is not for the Beginner in Options Trading. Options are derivative instruments; their prices are derived from the prices of the underlying securities. The theoretical price of options may be calculated using the Nobel Prize winning Black-Scholes model with six inputs: stock price, strike price, time to expiration, risk-free interest rate, dividends, and annual volatility of stock price (the standard deviation of the short-term returns over one year). The Greeks (delta, gamma, theta, vega and rho) express the sensitivity of the options price with respect to the price of the underlying, time to expiration, volatility, and interest rate. The establishment of options on VIX (CBOE's Volatility Index, popularly known as the Fear Index) enabled traders to trade volatility itself; Passarelli's book provides an excellent guide for such traders to understand the Greeks (including volatility Vega, an adopted Greek!).

In Chapter 1, Passarelli imparts the Basic knowledge to the reader interested in option trading, in a mere 20 pages of crisp, crystal clear exposition of the basic option strategies and the profit and loss diagrams (the risk profile). I strongly recommend that this chapter be read at least twice to ensure that the concepts presented are well understood.
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18 of 19 people found the following review helpful By MCM on April 21, 2009
Format: Hardcover
If you are interested in trading options and have some basic options knowledge, this book is well worth the small investment to gain insight into options trading mechanics. Most options books I have bought do not cover greeks in this amount of detail. When setting up a spread, this book gives a detailed analysis on the effect of each greek in the position. It covers many of the common types of trades.
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15 of 16 people found the following review helpful By Peter J. Hewson on January 25, 2011
Format: Hardcover Verified Purchase
"In my top half dozen options books worth buying".

As a long-term trader (and presenter) of options I've read mostly all of the serious options books that would be used as teaching resources. Whilst Natenberg, McMillan, Hull et al are all good there is something particularly honest about this book in it's style: the humor with which the topics are presented. The author carefully explains the greeks over dozens of pages with excellent examples then goes back over the elements of an option's price when a particular strategy is used. He derives and explains the changes as the underlying changes. His description rivals the computer-generated pay-offs. Excellent!

For a while now I have run courses in advanced retail trading (no, that's not a contradiction) but in these elite courses I teach strategies without using the words 'Put' or 'Call'. I'll just use expressions like long delta etc. as, in the end, all options trades are an arrangement of the greeks. Once that is understood positions can be conceptionalised instantly and a trader's probability of success shyrockets. Ultimately this is where this book takes us.

This book is a good introduction to trading by understanding the greeks and, yes, the author uses strategies with puts and calls.

Incidentally buying a good book is, essentially, a low long delta position with very low theta. Gamma this one to your success. But beware: the IV will keep you awake at night thinking of strategies!
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4 of 4 people found the following review helpful By Christopher on August 10, 2010
Format: Hardcover Verified Purchase
After starting to trade options I got burned on some bad decisions. Typical of starting out but what really killed me was not accounting for/understanding Theta. The "intro" book I read didn't cover this. Trading Option Greeks is perfect in that it's easy enough to follow but comprehensive enough to cover the Greeks...integral to options. Looking back I now see how option trading without understanding these concepts was foolish. This book covers some complex concepts which sometimes meant reading sections twice. This said, it's worth every penny. Just buy this book.
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