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

4.23  ·  Rating details ·  847 ratings  ·  34 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, ea ...more
Hardcover, 470 pages
Published August 1st 1994 by McGraw-Hill (first published 1988)
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Average rating 4.23  · 
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 ·  847 ratings  ·  34 reviews

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Sep 05, 2009 rated it really liked it
Shelves: finance, non-fiction
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 teach ...more
Feb 05, 2010 rated it liked it
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.
Ben Cook
Aug 19, 2020 rated it really liked it
A huge tome which takes some serious time to wade through; however as a very in-depth introduction to pricing models it is really effective at getting across the key concepts; particularly IV which is an often overlooked metric in pricing of options.
Grace Cao
Mar 12, 2019 rated it it was amazing
The best options book I have read. Wish I read it earlier in my career. Feel I understand Black-Scholes for the first time.

Option traders job: find an edge, control risk; find an edge, control risk; find an edge, control risk ... goal is to realize and monetize the edge in all market scenarios.

Control risk: what do I do when market moves against me? What do I do when it moves in my favor? What do I do now to avoid future loss?
Manish Gupta
Aug 14, 2018 rated it it was amazing
Absolutely brilliant. Option strategies and their risks explained in the most lucid manner. Once one is through with this book, options become much more easier and intuitive.

Must read for a serious derivative trader.
Gabriel Moreno
Jul 02, 2019 rated it it was amazing
This is a must read if you are trading options. Don't make it your first book on options but when you got the basics down and need to reach another level, this is your guide. Well written and easy to read.
Mar 16, 2020 added it
Good as a fundamental reference for someone in my line of work (agricultural commodity and currency hedging for commercial buyers and sellers). In the 2nd edition, at least, there are many typographical errors that an attentive reader will notice.
shai khadka
Feb 22, 2018 rated it really liked it
read majority of it until the lessons got directed more for institutions/HNWI than retail amateur traders.
Ray Ruffin
Jun 07, 2018 rated it really liked it
Must read if you want to trade options.
Caitlin Dickerboom
Amazing book for those interested in options trading. You’ll definitely find yourself rereading a few sections as the author quickly covers each subject.
Dec 31, 2018 rated it really liked it
Shelves: wall-street
the strategies are not "Advanced", the mathematics is incorrect, but this is real, accurate information on options market making.
Rajesh Gaddipati
Apr 25, 2019 rated it it was amazing
The bible of options !!
Avram Meitner
Jan 04, 2020 rated it it was amazing
Required reading for anyone who wants to trade volatility.
Mike Bridge
Jun 02, 2020 rated it really liked it
Shelves: trading
Excellent material to ground an understanding of vol and trading strategies. Need some dedicated time to focus on the material to get through and process it all.
Stanislav Botan
Jun 08, 2020 rated it liked it
A great book for introduction to some fundamentals behind option trading and introduction to some basic strategies, but this is nowhere close to being an "advanced" book. For someone looking to research the maths behind option pricing and strategy modelling this book covers almost nothing, which I personally found it extremely underwhelming. A book for someone looking to go more into depth of mathematical modelling of option trading is "Volatility Trading" by Sinclair
Jun 24, 2020 rated it it was amazing
The option trading bible, excellent book with an appropriate progression from beginner to intermediate-advanced.
Cord Stafford
Feb 06, 2017 rated it it was amazing
Great introduction + detail
Mar 06, 2017 rated it it was amazing
An awesome book about option trading. In-depth explanation and full of details. Mr Natenberg is an awesome man, his book is considered as the The bible of option trading.
Rahul Jana
Dec 23, 2019 rated it it was amazing
Amongst all the Options book i have read, this is one of the finest book of all. Advanced strategies and more specifically it deals with Volatility in a smoother way.
Mar 11, 2014 rated it it was amazing
Shelves: finance, trading
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
Jan 17, 2013 rated it liked it
Shelves: finance
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
Nick Black
Jan 09, 2012 rated it it was amazing
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
Aug 16, 2012 rated it it was amazing
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
Bill Graham
The most complete work on option theory and practice.
Michael Bond
Jun 26, 2013 rated it really liked it
Very technical and through. Dated, but still applies.
Deepak Bhawsinka
Aug 20, 2013 rated it it was amazing
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Shantanu Sharma
Dec 02, 2013 rated it it was amazing
Shelves: finance, options
Fantastic book on options pricing theory and trading strategies. Sheldon Natenberg is among the most renowned authors on options pricing.
Matt Stirling
Jan 04, 2015 rated it it was amazing
Very well written book.

Anyone that that wants to read Hull should read this first.
Dec 25, 2015 rated it really liked it
If you trade options, read this book. Literally anyone who's worked as a market maker has read this book.
Aditya Mittal
Jul 28, 2018 rated it it was amazing  ·  review of another edition
Pros: Great book! Must read for anyone trading options. Well written and insightful.

Cons: Typos and mistakes in some tables, calculations etc.
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