Volatility Trading Website 2nd Edition by Euan Sinclair ISBN 978-1118416723 1118416723
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Product details:
ISBN 10: 1118416723
ISBN 13: 978-1118416723
Author: Euan Sinclair
Popular guide to options pricing and position sizing for quant traders
In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets.
Filled with volatility models including brand new option trades for quant traders
Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies
Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.
Table of contents:
CHAPTER 1: Option Pricing
The Black-Scholes-Merton Model
Modeling Assumptions
Conclusion
Summary
CHAPTER 2: Volatility Measurement
Defining and Measuring Volatility
Definition of Volatility
Alternative Volatility Estimators
Using Higher-Frequency Data
Summary
CHAPTER 3: Stylized Facts about Returns and Volatility
Definition of a Stylized Fact
Volatility Is Not Constant
Characteristics of the Return Distribution
Volume and Volatility
Distribution of Volatility
Summary
CHAPTER 4: Volatility Forecasting
Absence of Transaction Costs
Perfect Information Flow
Agreement about the Price Implications of Information
Maximum Likelihood Estimation
Volatility Forecasting Using Fundamental Information
The Variance Premium
Summary
CHAPTER 5: Implied Volatility Dynamics
Volatility Level Dynamics
The Smile and the Underlying
Smile Dynamics
Term Structure Dynamics
Summary
CHAPTER 6: Hedging
Ad Hoc Hedging Methods
Utility-Based Methods
Estimation of Transaction Costs
Aggregation of Options on Different Underlyings
Summary
CHAPTER 7: Distribution of Hedged Option Positions
Discrete Hedging and Path Dependency
Volatility Dependency
Summary
CHAPTER 8: Money Management
Ad Hoc Sizing Schemes
The Kelly Criterion
Time for Kelly to Dominate
Effect of Parameter Mis-Estimation
What is Bankroll?
Alternatives to Kelly
Summary
CHAPTER 9: Trade Evaluation
General Planning Procedures
Risk-Adjusted Performance Measures
Setting Goals
Persistence of Performance
Relative Persistence
Summary
CHAPTER 10: Psychology
Self-Attribution Bias
Overconfidence
The Availability Heuristic
Short-Term Thinking
Loss Aversion
Conservatism and Representativeness
Confirmation Bias
Hindsight Bias
Anchoring and Adjustment
The Narrative Fallacy
Prospect Theory
Summary
CHAPTER 11: Generating Returns through Volatility
The Variance Premium
Reasons for the Variance Premium
Summary
CHAPTER 12: The VIX
The VIX Index
VIX Futures
Volatility ETNs
Other VIX Trades
Summary
CHAPTER 13: Leveraged ETFs
Leveraged ETFs as a Trade-Sizing Problem
A Long-Short Trading Strategy
Options on Leveraged ETFs
Summary
CHAPTER 14: Life Cycle of a Trade
Pretrade Analysis
Posttrade Analysis
Summary
CHAPTER 15: Conclusion
Summary
Additional Sections
Resources
Directly Applicable Books
Thought-Provoking Books
Useful Websites
References
About the Website
About the Author
Index
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