120 of 124 people found the following review helpful
Another book the CBOE should force all traders to read!,
This review is from: Option Volatility & Pricing: Advanced Trading Strategies and Techniques (Hardcover)
If you trade options, you will quickly learn that it is essential to understand the concept of volatility. Natenberg explains the concept of volatility in great detail, and shows how this concept applies to different option positions.
Natenberg not only takes great pains to explain the concept of volatility, in addition to other inputs into an option pricing model, but clearly shows that option pricing isn't the exact science many seem to believe, for the simple reason that we never know if our volatility estimate is correct. I suspect many traders just don't understand the severe limitations current models have in different situations (ie. how the Black-Scholes model underprices options near expiration).
For the mathematically inclined, there are ample formulas and equations in the appendix.
Read it, study it, and apply the concepts to develop your own trading system.