Options Trading. Pricing & Volatility Strategies & Technique

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Euan Sinclair - Options Trading Pricing Volatility Strategies Technique

An A to Z options trading guide for the new millennium and the new economy

Written by professional trader and quantitative analyst Euan Sinclair, Option Trading is a comprehensive guide to this discipline covering everything from historical background, contract types, and market structure to volatility measurement, forecasting, and hedging techniques.

This comprehensive guide presents the detailed and practical information that professional options traders need, whether they're using options to hedge, manage money, arbitrage, or engage in structured finance deals. It contains information essential to anyone in this field, including option pricing and price forecasting, the Greeks, implied volatility, volatility measurement, and forecasting, and specific option strategies.

• Explains how to break down a typical position, and repair positions
• Other titles by Sinclair: Volatility Trading
• Addresses the various concerns of the professional options trader

Option trading will continue to be an important part of the financial landscape. This book will show you how to make the most of these profitable products, no matter what the market does.

Table of Contents

Preface.

Professional Trading.

The Role of Mathematics.

The Structure of this Book.

Acknowledgments.

Chapter 1 History.

• Summary.

Chapter 2 Introduction to Options.

• Options.
• Specifications for an Option Contract.
• Uses of Options.
• Market Structure.
• Summary.

Chapter 3 Arbitrage Bounds for Option Prices.

• American Options Compared to European Options.
• Absolute Maximum and Minimum Values.
• Summary.

Chapter 4 Pricing Models.

• General Modeling Principles.
• Choice of Dependent Variables.
• The Binomial Model.
• The Black-Scholes-Merton (BSM) Model.
• Summary.

Chapter 5 The Solution of the Black-Scholes-Merton (BSM) Equation.

• Delta.
• Gamma.
• Theta.
• Vega.
• Summary.

Chapter 6 Option Strategies.

• Forecasting and Strategy Selection.
• The Strategies.
• Summary.

Chapter 7 Volatility Estimation.

• Defining and Measuring Volatility.
• Forecasting Volatility.
• Volatility in Context.
• Summary.

Chapter 8 Implied Volatility.

• The Implied Volatility Curve.
• Parameterizing and Measuring the Implied Volatility Curve.
• The Implied Volatility Curve as a Function of Expiration.
• Implied Volatility Dynamics.
• Summary.

Chapter 9 General Principles of Trading and Hedging.

• Edge.
• Hedging.
• Trade Sizing and Leverage.
• Scalability and Breadth.
• Summary.

Chapter 10 Market Making Techniques.

• Market Structure.
• Market Making.
• Trading Based on Order-Book Information.
• Summary.

Chapter 11 Volatility Trading.

• Hedging.
• Hedging in Practice.
• The P/L Distribution of Hedged Option Positions.
• Summary.

Chapter 12 Expiration Trading.

• Pinning.
• Pin Risk.
• Forward Risk.
• Exercising the Wrong Options.
• Irrelevance of the Greeks.
• Expiring at a Short Strike.
• Summary.

Chapter 13 Risk Management.

• Example of Position Repair.
• Inventory.
• Delta.
• Gamma.
• Vega.
• Correlation.
• Rho.
• Stock Risk: Dividends and Buy-in Risk.
• The Early Exercise of Options.
• Summary.
• Conclusion.

Appendix A Distributions.

• Example.
• Moments and the “Shape” of Distributions.

Appendix B Correlation.

• Glossary.

Index.

Author Information

EUAN SINCLAIR is an options trader with fifteen years of professional trading experience. He specializes in the design and implementation of quantitative trading strategies. Sinclair is currently a proprietary option trader for Bluefin Trading, where he trades based on quantitative models of his own design. He holds a Ph.D. in theoretical physics from the University of Bristol. Sinclair is also the author of the Wiley title Volatility Trading.

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