Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets Book

Acknowledgments     xi
About the Author     xii
Preface     xiii
A Guide for Readers     xv
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
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
Volatility     47
Volatility and Standard Deviation     48
Calculating Historical Volatility     50
Profiling Price Change Behavior     61
Summary     75
Further Reading     76
General Considerations     77
Bid-Ask Spreads     79
Volatility Swings     82
Put-Call Parity Violations     89
Liquidity     91
Summary     95
Further Reading     97
Endnotes     97
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
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
Trading the Earnings Cycle     205
Exploiting Earnings-Associated Rising Volatility     207
Exploiting Post-Earnings Implied Volatility Collapse     216
Summary     222
Endnote     223
Trading the Expiration Cycle     225
The Final Trading Day     226
The Days Preceding Expiration     237
Summary     240
Further Reading     242
Endnotes     242
Building a Toolset     243
Some Notes on Data Visualization Tools     245
Database Infrastructure Overview     248
Data Mining     252
Statistical Analysis Facility     258
Trade Modeling Facility     264
Summary     268
Endnotes     269
Index     271