Passarelli Trading Option Greeks

How Time, Volatility, and Other Pricing Factors Drive Profit
1. Auflage 2010
ISBN: 978-0-470-88319-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 330 Seiten, E-Book

Reihe: Bloomberg Professional

Veteran options trader Dan Passarelli explains a new methodologyfor option trading and valuation. With an introduction to optionbasics as well as chapters on all types of spreads, put-call parityand synthetic options, trading volatility and studying volatilitycharts, and advanced option trading, Trading Option Greeksholds pertinent new information on how more accurate pricing candrive profit.
Most options traders focus on strategies such as covered calls,vertical spreads, butterflies and condors, and so on. But tradersoften don't know how to use the "greeks"--the five factorsthat influence an option's price--to trade moreeffectively.
The "greeks" (Delta, Gamma, Theta, Vega, Rho) are tools tomeasure minute changes in an option's price based on correspondingchanges in:
* Interest rates
* Time to expiration
* Price changes in the underlying security
* Volatility
* Dividends
Using the greeks can lead to more accurate pricing informationthat will alert an option trader to mispriced derivatives that canbe exploited for profit. In straightforward language and making useof charts and examples, Passarelli explains how to use the greeksto be a better options trader.

Autoren/Hrsg.

Passarelli, Dan

Weitere Mitwirkende

Brodsky, William J.

Inhaltsverzeichnis

Acknowledgments.
Foreword (William J. Brodsky).
Introduction.
Part I The Basics of Option Greeks.
1 The Basics.
2 Greek Philosophy.
3 Understanding Volatility.
4 Option-Specific Risk and Opportunity.
5 An Introduction to Volatility-Selling Strategies.
6 Put-Call Parity and Synthetics.
7 Rho.
8 Dividends and Option Pricing.
Part II Spreads.
9 Vertical Spreads.
10 Wing Spreads: Condors and Butterflies.
11 Calendar and Diagonal Spreads.
Part III Volatility.
12 Delta-Neutral Trading: Trading Implied Volatility.
13 Delta-Neutral Trading: Trading Realized Volatility.
14 Studying Volatility Charts.
Part IV Advanced Option Trading.
15 Straddles and Strangles.
16 Complex Spreads.
17 The Trader's Thought Process.
Index.

Über Autor(innen)

Dan Passarelli began his career as a floor trader at the Chicago Board Options Exchange (CBOE), trading equity options and later agricultural options and futures on the floor of the Chicago Board of Trade (CBOT). He currently provides options education to retail and institutional traders at a premier brokerage firm. Passarelli was an instructor at the Options Institute, which is the educational arm of the CBOE. He also worked with the Options Industry Council (OIC), educating retail traders via podcasts, webcasts, live seminars, and has written numerous published articles.