In The Volatility Edge, options trader and researcher Jeff Augen introduces a breakthrough strategy for fully leveraging the immense opportunities that arise from market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques and visual tools that every experienced options trader can use. For the first time, Augen bridges the gap between pricing theory mathematics and market realities, providing new data visualization tools and analytical techniques for studying historical price change behavior, making more profitable trading…mehr
In The Volatility Edge, options trader and researcher Jeff Augen introduces a breakthrough strategy for fully leveraging the immense opportunities that arise from market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques and visual tools that every experienced options trader can use. For the first time, Augen bridges the gap between pricing theory mathematics and market realities, providing new data visualization tools and analytical techniques for studying historical price change behavior, making more profitable trading decisions, and systematically managing and mitigating risk. Augen covers topics addressed in no other options trading book, introducing innovative new strategies for exploiting rising volatility that precedes most earnings releases; trading the monthly options expiration cycle; leveraging put:call price parity disruptions; understanding the impact of weekend and end-of-month timeframes on bid-ask spreads; and using the CBOE Volatility Index (VIX) more effectively. Unlike conventional guides, The Volatility Edge doesn't rely on oversimplified, artificial positional analyses: it reflects ongoing changes in the prices of underlying securities, market volatility, and time decay.
JEFF AUGEN, currently a private investor and writer, has spent over a decade building a unique intellectual property portfolio of algorithms and software for technical analysis of derivatives prices. His work includes over one million lines of computer code refl ecting powerful new strategies for trading equity, index, and futures options. As co-founding executive of IBM’s Life Sciences Computing business, Augen defined a growth strategy resulting in $1.2B of new revenue and managed a large portfolio of venture capital investments. From 2002 to 2005, he was President and CEO of TurboWorx, Inc., a technical computing software company founded by the chairman of the Department of Computer Science at Yale University. He is author of Bioinformatics in the Post-Genomic Era: Genome, Transcriptome, Proteome, and Information-Based Medicine (Addison-Wesley, 2004).
Inhaltsangabe
Acknowledgments . . . xi About the Author . . . xii Preface . . . xiii A Guide for Readers . . . xv 1. Introduction . . . 1 Price Discovery and Market Stability . . . 6 Practical Limitations of Technical Charting . . . 9 Background and Terms . . . 12 Securing a Technical Edge . . . 16 Endnote . . . 21 2. Fundamentals of Option Pricing . . . 23 Random Walks and Brownian Motion . . . 25 The Black-Scholes Pricing Model . . . 29 The Greeks: Delta, Gamma, Vega, Theta, and Rho . . . 32 Binomial Trees: An Alternative Pricing Model . . . 42 Summary . . . 45 Further Reading . . . 45 Endnotes . . . 46 3. Volatility . . . 47 Volatility and Standard Deviation . . . 48 Calculating Historical Volatility . . . 50 Profiling Price Change Behavior . . . 61 Summary . . . 75 Further Reading . . . 76 4. General Considerations . . . 77 Bid-Ask Spreads . . . 79 Volatility Swings . . . 82 Put-Call Parity Violations . . . 89 Liquidity . . . 91 Summary . . . 95 Further Reading . . . 97 Endnotes . . . 97 5. Managing Basic Option Positions . . . 99 Single-Sided Put and Call Positions . . . 100 Straddles and Strangles . . . 118 Covered Calls and Puts . . . 137 Synthetic Stock . . . 143 Summary . . . 146 Further Reading . . . 148 Endnotes . . . 149 6. Managing Complex Positions . . . 151 Calendar and Diagonal Spreads . . . 152 Ratios . . . 162 Ratios That Span Multiple Expiration Dates . . . 175 Complex Multipart Trades . . . 182 Hedging with the VIX . . . 195 Summary . . . 202 Further Reading . . . 203 Endnotes . . . 204 7. Trading the Earnings Cycle . . . 205 Exploiting Earnings-Associated Rising Volatility . . . 207 Exploiting Post-Earnings Implied Volatility Collapse . . . 21
