- Hardcover: 368 pages
- Publisher: Bloomberg Press; 2 edition (October 2, 2012)
- Language: English
- ISBN-10: 1118133161
- ISBN-13: 978-1118133163
- Product Dimensions: 2.5 x 1.3 x 9.2 inches
- Shipping Weight: 1.4 pounds (View shipping rates and policies)
- Average Customer Review: 60 customer reviews
- Amazon Best Sellers Rank: #201,744 in Books (See Top 100 in Books)
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Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits Hardcover – October 2, 2012
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From the Inside Flap
The financial markets are dynamic, and in order to keepup with them, you need the greeksdelta, gamma, theta, vega,and rhothe best techniques for valuing options and executingtrades regardless of market conditions.
With extensive experience as a market maker, retail trader, andinstructor in this field, nobody understands options better thanauthor Dan Passarelli. And now, with the Second Edition ofTrading Option Greeks, he provides you with the tools you'llneed to succeed in the high-speed, highly technical arena that theoptions market has become.
Written to reflect current market conditions, this reliableguide will put you in a better position to effectively navigatetoday's options market, which includes a host of new products,strategies, and rules. Along the way, it skillfully discussesoption Greeks from both a theoretical and practical perspective,and explains how and when to use them.
Divided into four comprehensive parts, this updated editionoutlines a practical approach to the greekswhich measurechanges in an option's valueand reinforces a trader'sunderstanding of option pricing, volatility, market terminology,and strategy in a way that few other books can. Topics coveredinclude:
Option-specific risk and opportunity, put-call parity andsynthetics, and dividends and option pricing
Vertical spreads, wing spreads, and calendar and diagonalspreads
Delta-neutral tradingincluding the trading of implied andrealized volatility
Advanced option trading issues from straddles and strangles toratio and complex spreads
And much more
Whether you're a professional trader or active individualtrader, comprehensive knowledge of the greeks can help you avoidcommon pitfalls, limit risk, and increase profit potential. Puttingthe insights found here into practice will put you in a betterposition to excel at this challenging endeavor.
From the Back Cover
Trading Option Greeks
In option trading, there are an infinite number of usesfor the "greeks" (delta, gamma, theta, vega, and rho), whichmeasure changes in an option's value. From finding trades tomanaging and adjusting them, the greeks are truly a trader's bestresourcebut only if you know how to properly apply them.
Nobody understands option greeks better than author DanPassarelli. And now, with the Second Edition of TradingOption Greeks, this seasoned options expert provides you withthe tools you'll need to effectively implement them in youreveryday trading endeavors.
Written from Passarelli's unique perspective, traders of alllevels can benefit from this reliable guide. Page by page, itskillfully covers some of the most essential elements of thisdiscipline, including various types of spreads, put-call parity andsynthetic options, trading volatility, and advanced option tradingissues. Along the way, it makes use of new charts and examples, anddiscusses how the proper application of the greeks can lead to moreaccurate pricing and trading as well as alert you to a range ofother opportunities.
Having a comprehensive understanding of the greeks is essentialto long-term trading success. This updated edition of TradingOption Greeks illustrates how you can apply the conceptscontained here to real-world trading scenarios and get the most outof your time in today's dynamic market.
Top customer reviews
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The following resources will help (no particular order or preference). Bottom line, need a option calculator with greeks, list of options strategies and adjustments one can make and see the P/L.
1. Jabbour (option trading handbook), great book, that gives details of all adjustments without greeks. I have the first edition. Second edition is out, I do not have it.
2. Most important spreadsheet is from optiontradingtips.com (awesome to see the plot of profit / loss and play with it) to make new trades or adjustments. Easy to play with. This along with CBOE webinar's explaining expiry profit/loss table that you can hand calculate in 5 minutes will show the exact strategy. Or use the spreadsheet and see all the greeks and P/L. One can add a stock (short or long) in the spreadsheet and what happens. The author of this spreadsheet is generous to give this free spreadsheet.
3. John Hull's book on Options for MBA/Finance and CFA students (textbook, I have an old edition that is good enough), chapter 14 (and solutions are free) on Option sensitivities and Option hedging is excellent. This chapter is pretty much what Trading Option Greeks author (Dan Passarelli) is talking or alluding to. Author Dan's approach is good with lots of examples and practical from a professional trader point of view.
4. Finally get both books from Dr Samir Elias (Generate Thousands and explosive stock trading) to see how to blend technical analysis with Option strategies.
(note: I am not a related party to any of these folks)
I feel the author could add lot more examples in future editions.
- Why I make or lose money because of delta and how to use delta to determine when to take profits or cut bait
- How to calculate a new delta based on gamma
- How to use vega to predict if my trade will make or lose money based on a rise or fall in volatility
- Why sometimes it's important to impose a time stop due to theta eroding the value of a long position
- The importance of measuring your entire position in regards to each of the greeks (because the greeks are cumulative)
As a former market maker, Passarelli used the greeks every day in his trading, and while he takes the time to explain concepts as advanced as gamma scalping, he also breaks things down in simple terms with real-life examples, especially at the beginning. So while there is plenty in here for the advanced trader, novice traders will also find value and have an excellent guide they can use as they grow as traders.
This book has a prominent place in my trading library. Passarelli's other book Market Taker's Edge is also a great book and may be easier to digest for those who are brand new to trading. I highly recommend both.
On top of that, author shares bits of his personal experience, and THAT is valuable. His insight from market maker perspective is worth of buying the entire book, to my mind.
Overall, the book has captured a place in my library and I strongly recommend to have this as a reference text and nice reading.
Congrats to the author on beautiful piece of work he delivered.
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