The Volatility Edge In Options Trading, Book by Jeff Augen

Volatility Edge In Options Trading Review

Full title of this book is The Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets.

The book goes logically from basic (but rather quantitatively explained) option pricing theory over practical trading remarks to more unique discussion on possible sources of edge. At the beginning it covers the Black-Scholes model, option Greeks, and binomial models. Then it discusses practical issues like liquidity and bid-ask spreads. The next chapters discuss managing simple and complex option positions, also briefly touching the VIX index (although the book was first published in 2008 when the market for VIX derivatives and exchange traded products was much different from now). Among the most interesting parts of the book are the chapters about trading of the earnings and expiration cycles. The final chapter provides several ideas regarding technology, discussing topics such as data mining or trade modeling (these topics are covered in greater detail in Jeff Augen’s other book, Microsoft Excel for Stock and Option Traders).

Jeff Augen, previously an IBM executive, is obviously a rather quantitative options trader and author. His background includes, in his own words, “writing hundreds of thousands of lines of computer code, constructing numerous financial-history databases, creating new data visualization tools, and, most important, executing more than 3,000 trades.” His book is directed at intermediate or advanced option traders. If you are a beginner willing to learn the basic terms, this book is not the best to start with. But if you already know something about options (and even if you think you know a lot), you will most likely find this book interesting at least.

You can get it on Amazon:


Related pages


delta option formulameasuring skewnessticker vixmsft stock price historyskewness in statisticsannualized volatility formulastd deviation and varianceadvantages and disadvantages of mean mode and medianhow is the dividend yield calculateds&p correlationintrinsic value stockshow to measure skewnessrsi indicator explainedthe black-scholes equationpercentile coefficient of kurtosisexcel calculator formulaadvantages and disadvantages of mean median modeblack scholes normal distributionexcel formula for square rootblack scholes with dividend calculatornotepad stylesoptions pricing black scholesdirectional hedge fund strategyblack scholes valuehow to calculate stdev in exceldow jones highest ever closingweighted average inventory calculatorwacc market value of debtrsi indicator interpretationmomentum indicators technical analysisstock calculation in excelexcel stdevstrike price stock optionexample of stock indexoptions puts and calls for dummiessharpe ratio for stocksnormdistaverage true range stop losssd formula in excelhow to calculate average percentage in excel2x vixstdev calculatordow jones industrial average divisorcredit suisse nassau branchcommitment of traders chartstraddle strategy in optionsweighted price index formulamarket value weighted index3x volatility etfsquare root of negative numbers calculatorhow to calculate thetacalculating option deltahow to compute skewnesssharpe ratio interpretationoption trading greek symbolsdefine macdstock rsi calculatorstock price volatility formulahow to annualize standard deviationcalculating standard deviation excelspx options settlementetracswhen do vix options expirekurtosis of normal distributionwacc market value of debt13f securitiesvix historical averageblack scholes calculationquote downloaderhow to calculate formulas in excelvix index chartstandard deviation equation in excelnegatives squaredstandard deviance