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Option Volatility & Pricing: Advanced Trading Strategies and Techniques
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Option Volatility & Pricing: Advanced Trading Strategies and Techniques

4.21 of 5 stars 4.21  ·  rating details  ·  277 ratings  ·  12 reviews
One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies. It covers pricing models, volatility considerations, basic and advanced trading strategies, and risk management techniques. Written in clear ...more
Hardcover, 470 pages
Published August 1st 1994 by McGraw-Hill (first published 1988)
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I have found that people in finance are prone to referring to books solely by their author (which would be a problem if anyone had yet managed to write two decent books in their career). When I began to learn about options, "Natenberg" was recommended to me more often than any other except for "Hull" (Options, Futures & Other Derivatives with Derivagem CD Value Package), which is of much greater breadth but less depth. Natenberg has very much become the industry standard starting point for t ...more
Although slightly dated, this book is a classic and should be read by almost anyone interested in trading (options or otherwise). Don't start reading this book with the intention of mastering option trading - the market has evolved significantly and the book does not cover newer concepts such as risk reversals, fly and their respective sensitivities such as rega, sega, etc.

What it does well is teach you how to think of trades, rather than just taking a punt Natenberg teaches well the concept of
Dmitri Nesteruk
Shelly's book is the 'Kindergarten book of Options'. It is very entry-level, discusses only simplistic options strategies, and doesn't have any heavy math. Consequently, my advice is to maybe read it once if you're a newbie, or better yet just read PWIQF or some such and give this book a miss altogether. Also, this book doesn't really deserve to have 'Volatility' in its name - if you are interested in volatility, read Sinclair's Volatility Trading, don't bother with this one, it's far too primit ...more
Matt Stirling
Very well written book.

Anyone that that wants to read Hull should read this first.
This is a really hard book to read and understand. It covers a huge amount of fundamental options knowledge, but it does so quickly. I find it difficult to understand because very complex concepts are covered in a single sentence or two and then the author assumes you understand. It requires a lot of rereading and focus, but is worth the work if you're looking for a through understanding of options theory.
Nick Black
Feb 27, 2012 Nick Black rated it 5 of 5 stars
Recommended to Nick by: Bradley Colmer
Fantastic introduction to pricing and volatility theory. Everything I could have asked for.
i suddenly find myself writing trading systems. seems a good idea to learn what the hell i'm trading. this was the advice of a princeton banker friend who pretty much defines the cotillion braintrust, and it looks to be exactly what i wanted.
Carl Yang
The bible on options trading. Mandatory reading for most proprietary firms and derivatives training programs. Uses very little exotic math and illustrates logically many important concepts. Still keep this as a reference and by far the best book on options trading
Shantanu Sharma
Fantastic book on options pricing theory and trading strategies. Sheldon Natenberg is among the most renowned authors on options pricing.
Michael Bond
Very technical and through. Dated, but still applies.
Bill Graham
The most complete work on option theory and practice.
Simply put, THE standard.
Deepak Bhawsinka
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