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Book Description

Raise your options investing game to a new level through smart, focused practice

For decades, Sheldon Natenberg’s Option Volatility & Pricing has been helping investors better understand the complexities of the option market with his clear and comprehensive explanation of trading strategies and risk management.

Now, you can raise your performance to a higher level by practicing Natenberg’s methods before you enter the market.

Filled with hands-on exercises designed to dramatically increase your knowledge and build your confidence, The Option Volatility and Pricing Workbook provides the necessary tools from which to build a successful options portfolio. Each exercise is preceded by clear description of the principle at hand, and each concludes with in-depth explanations of the correct answers. Hundreds of exercises cover such topics as:

•Contract Settlement and Cash Flow
•Expiration Profit & Loss
•Theoretical Pricing
•Volatility
•Dynamics of Risk
•Synthetic Pricing and Arbitrage
•Hedging Strategies
•Models and the Real World

Success in option markets requires the ability to adapt to constantly changing market conditions. This ability can only be achieved through a full and intimate understanding of the principles of option evaluation, strategy selection, risk management, and market dynamics.

Whether you’re a professional or novice trader, a market maker or training manager—The Option Volatility and Pricing Workbook is an invaluable tool for achieving success in this famously tough market.


Table of Contents

  1. Cover
  2. Title Page
  3. Copyright Page
  4. Contents
  5. Introduction
  6. 1 Contract Settlement and Cash Flow
  7. 2 Forward Pricing
  8. 3 Contract Specifications and Terminology
  9. 4 Expiration Profit and Loss
  10. 5 Theoretical Evaluation
  11. 6 Volatility
  12. 7 Risk Measurement
  13. 8 Delta Neutral Positions and Dynamic Hedging
  14. 9 The Dynamics of Risk
  15. 10 Spreading Strategies
  16. 11 Synthetic Equivalents
  17. 12 Synthetic Pricing and Arbitrage
  18. 13 Early Exercise of American Options
  19. 14 The Black-Scholes Model
  20. 15 Binomial Pricing
  21. 16 Hedging Strategies
  22. 17 Models and the Real World
  23. 18 Skewness and Kurtosis
  24. 19 Stock Indexes
  25. 20 Risk Analysis
  26. Appendix: Useful Formulas and Relationships
  27. Answer Key