This is the Safari online edition of the printed book.

Equity and index options expire on the third Friday of each month. As that moment approaches, unusual market forces create option price distortions, rarely understood by most investors. These distortions give rise to outstanding trading opportunities with enormous profit potential. In Trading Options at Expiration, leading options trader Jeff Augen explores this extraordinary opportunity with never-before published statistical models, minute-by-minute pricing analysis, and optimized trading strategies that regularly deliver returns of 40%--300% per trade.

You’ll learn how to structure positions that profit from end-of-contract price distortions with remarkably low risk. These strategies don’t rely on your ability to pick stocks or predict market direction and they only require one or two days of market exposure per month.

If you’re looking for an innovative new way to reignite your returns no matter where the markets move, you’ve found it in Trading Options at Expiration.

• Why traditional option pricing calculations always break down in the final days before expiration
  Three powerful end-of-cycle effects not comprehended by contemporary pricing models

• Reducing your risk by reducing your market exposure
  Trading only one or two days each month and avoiding overnight exposure

• Structuring trades that reflect true expiration-day behavior
  Leveraging the surprising power of expiration-day pricing dynamics

Capture Enormous Profits from End-of-Contract Options Trading!

•  How to profit from option price distortions that occur near expiration

• New strategies that can return as much as 300% per trade!

• Direction-neutral techniques that reduce risk and limit market exposure

In the final days and hours before option contracts expire, their behavior veers wildly away from the predictions of standard pricing models. These last-minute price distortions offer immense profit opportunities to those who can recognize and trade them. In this book, Jeff Augen illumintes these opportunities with new statistical models, minute-by-minute pricing analysis, and optimized trading strategies. You’ll learn to exploit expiration pricing forces to structure trades that return from 40%--300% while limiting market exposure to just one or two days each month. Unlike other trading strategies that offer large profits in exchange for increased risk, expiration trading reduces risk by limiting market exposure to just two trading sessions per month.

Amazon.com® Reader Reviews (Ranked by Helpfulness)

Average Amazon.com® Rating:  Based on 10 Ratings

Detailed and Insightful - 2009-09-03
Reviewer Rating:
I'm a professional trader and hedge fund manager, and I can confidently report that this book has added more value to my business than any of the dozens of other option trading books currently on my shelf. Many different people have written and talked about expiration trading, but Augen's book is the first to provide this level of detail and analysis. His discussion of the forces that drive expiration pricing - accelerated time decay, implied volatility collapse, and strike price pinning go way beyond anything ever written before. The description of implied volatility collapse on expiration Friday is especially important. Augen provides detailed charts and explanations that reveal a specific shape to the price collapse - rapid when the market opens, flat during the middle of the day, and very fast after 2:00. I was able to use this information to time my trades by going long during the midday stability window and short after 2:00. Augen also describes the effect that market efficiency has on expiration trading. He correctly points out that as the final day approaches, the market compensates for overnight time decay by collapsing option prices near the closing bell. I've been using this information to place trades late in the day that I close the next morning. This small piece of market insight would have been worth the price of 100 books for me. I plan to continue allocating more money to this strategy because, in terms of risk:reward, it eclipses everything else I am aware of.

al lot of info but not concise enough - 2009-08-14
Reviewer Rating:
The book is interesting but not concrete and concise: based on the explanations, motivationd and the historical data I expected practical and concise recepees for traders, especially at the end. Now the clues are somewhat hidden in / all over the book and you may get lost in the explanations. There are better books on the option trading subject available.

Lots of Information, but Utterly Useless - 2009-11-19
Reviewer Rating:
It is clear that Mr. Augen has done a lot of work and research in preparing this book. Through great data analysis he has narrowed the universe of stocks to 5 that best fit his philosophies / approach, and he walks through some theoretical trades that he could have maybe made around these stocks.

The problem is that all of the trades are just that - theoretical. They are all created based on old data. No insight is really given on how to make trades in real time. No information is given on safe stop levels (he merely mentions in passing that some trades may get stopped out). Worse, he will give contradictory information - that this trade works in one situation but not another - but no real basis to determine which is which. The "trading strategies" in chapter 3 are not really strategies at all, nor are any of the conditions for the trades spelled out. Even if you took the time to mine data like he did, and prepare your own universe of stocks, there is nothing in this book to guide real-time trading decisions. You'd just have some great tools to look back in time and see great trades you could have made.

This is not to mention that he completely ignores market realities like bid/ask spreads, rapid price movements, and the possibility that his trades may go against him (his examples are very cherry picked to show positive results - never does he show a losing trade, but he picks seemingly random expiration months as examples - probably those that best fit his data).

I would not recommend this book to anyone, as interesting as it was to read from an aesthetic point of view. There are tons of better books that give much more meaningful guidance on either trading options, or on specific trading strategies, than this waste of space.

I'm shocked that there are some positive review on this book. I can only assume they are friends or colleagues of the author.

The only way I could profit from this book now would be to resell it. I'm sorry I spent my hard-earned money on it.

It is the nature of the beast - 2009-10-23
Reviewer Rating:
First let me say that the strategies in this book are not easy to apply for the average or even the advanced trader.High quality minute by minute option data is needed to construct volatilty decay curves.The data is often plagued by "noise" as a result of unwinding of large positions that tend to form spikes in the curves that makes quantitative application of the concepts difficult. This is just the nature of option behavior near expiration and not the fault of the author's presentation.
The average trader can still extract useful information from this book , some of which I will mention here. Options are excerciesed the third Saturday and not Friday of the month, so it's possible that a high implied volatility option may still carry a high premium at the close on Friday. Lesson learned: do not sell high volatility options near the strike or in the money thinking a collapse will occur at expiration. Most large open position are unwound by 2PM, so it is better to wait after that to buy back a short option. The reason is that unwinding such positions will create spikes and artificially increases volatility and premiums.
Another tidbit I came out with is that stocks tend to migrate towards the strike price with the largest open position and highest volume on expiration day. This peice of information when applied correctly can help a trader in evaluating a potential stock trade.Other useful information can also be extracted.

Can't afford to miss it - 2009-11-19
Reviewer Rating:
This book is a rarity in that the author actually presents original thinking, detailed research (actually down to a minute by minute analysis of price behavior), and proven strategies that he has used for years to succeed trading options. I can only assume that some of the content simply flies over the head of some of the other reviewers who may be looking for simple profits rather than solid well documented insights. In any case, if you are a serious options trader it strikes me that you can't afford not to read this book. There is too much here to help you become a better trader.

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