The Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets (Hardcover)

~ Jeff Augen (Author)
Key Phrases: large price spikes, price change behavior, time decay cost, Managing Basic Option Positions, Managing Complex Positions, Call Put (more...)

Editorial Reviews

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

From the Back Cover

 

‘…a brilliant and thoroughgoing presentation. Five Stars, Highly Recommended.   John A. Sarkett, Stocks, Futures, and Options Magazine.. 

“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

See all Editorial Reviews

Product Details

• Hardcover: 304 pages
• Publisher: FT Press; 1 edition (January 27, 2008)
• Language: English
• ISBN-10: 0132354691
• ISBN-13: 978-0132354691
• Product Dimensions: 8.9 x 6.1 x 1.2 inches
• Shipping Weight: 10.4 ounces (View shipping rates and policies)
• Average Customer Review: 4.3 out of 5 stars  See all reviews (28 customer reviews)
• Amazon.com Sales Rank: #15,037 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

70 of 70 people found the following review helpful:

5.0 out of 5 stars Excellent book for intermediates to advanced readers, February 15, 2008

By	Guy Cohen - See all my reviews

A friend of mine in the trading industry suggested I read this gem of a book ... within a single weekend I did just that ... and what a gem it is!

Jeff Augen has put together a fine body of work in this book within which there are some seriously valuable nuggets of information.

The volatility spike graphs are a novelty in this business that anyone studying and trading volatility should benefit from. Essentially what he's uncovering is "differential volatility", in other words whether the volatility is being caused by buyers or sellers.

Typically, falling prices (due to selling action) will cause greater volatility, but not always. Sometimes the volatility is caused by rising prices. By understanding the direction in which the greater volatility of the underlying is occurring, the trader is able to position trades more appropriate to that skew. For example if the spikes indicate that volatility is caused by buying action then the calls may well be undervalued in advance of the next spike up. The trader can then make a double whammy trade, correct in direction and correctly in volatility.

Other nuggets include Jeff's slant on expiration date and earnings cycle trading, and the concept of stocks pinning to the strike, all of which are essential chapters in the book.

You'll be a more knowledgeable trader for reading this book and you should become a better trader for sure.

20 of 20 people found the following review helpful:

5.0 out of 5 stars EZ Top %5 of all books on How to Trade Options., May 5, 2008

By	Robert S. Riddick "Option Trader" (Oregon) - See all my reviews (REAL NAME)

One of the few trading books that instructs the reader on when, where, why, and how to place an option trade that has an excellent statistical probability of success. His Standard Deviation Spike Graphs are useful in that they can help to identify (by scanning), and capitalize (complete trading plan)on profitable opportunities. There are many more useful bits of info. The author is a professional trader using the techniques he writes about; many of which I (20+ yr option student/vet) use, and can confirm that they work. He is also correct in stating that successful options trading is darn near a full time job. For new traders beware, his advice is geared towards bloodied experienced traders, so practice for a while. Micheal Jordan telling us his secrets on how he drove the lane against Jabbar, Worthy, and Rambus is useful but be careful during practice (a pull-up perimeter jumper might be lower risk at first). As always, any advice on trading without a complete trading plan will fail to help any trader. If you are close to making it, continue to learn all that you can while knowing that this book will definitely help push you over the edge into long term trading success. This book is a must for any trading shelf, and is a steal at this price.

21 of 22 people found the following review helpful:

5.0 out of 5 stars one of the best options books, March 27, 2008

By	Maxim Ross "darkwriter" (Tokyo, Japan) - See all my reviews (REAL NAME)

An excellent book, with some novel ideas and concepts not covered in other books on options. Specifically useful are the following discussions:

- standard deviations and volatility charts
- discussions of liquidity and volatility swings
- hedging with VIX
- trading the earnings cycle
- trading the expiration cycle
- excellent coverage of all the main options strategies and spreads

Not a beginners book, and a year or two of decent options trading experience is recommended to get a good grasp of the concepts, but thats
great as there too many beginners book out there, all mostly the same!