This is the Safari online edition of the printed book.

 “Jeff’s analysis is unique, at least among academic derivatives textbooks. I would definitely use this material in my derivatives class, as I believe students would benefit from analyzing the many dimensions of Jeff’s trading strategies. I especially found the material on trading the earnings cycle and discussion of how to insure against price jumps at known events very worthwhile.”

—DR. ROBERT JENNINGS, Professor of Finance, Indiana University Kelley School of Business

“This is not just another book about options trading. The author shares a plethora of knowledge based on 20 years of trading experience and study of the financial markets. Jeff explains the myriad of complexities about options in a manner that is insightful and easy to understand. Given the growth in the options and derivatives markets over the past five years, this book is required reading for any serious investor or anyone in the financial service industries.”

—MICHAEL P. O’HARE, Head of Mergers & Acquisitions, Oppenheimer & Co. Inc.

“Those in the know will find this book to be an excellent resource and practical guide with exciting new insights into investing and hedging with options.”

—JIM MEYER, Managing Director, Sasqua Field Capital Partners LLC

“Jeff has focused everything I knew about options pricing and more through a hyper-insightful lens! This book provides a unique and practical perspective about options trading that should be required reading for professional and individual investors.”

—ARTHUR TISI, Founder and CEO, EXA Infosystems; private investor and options trader

In The Volatility Edge in Options Trading, leading options trader Jeff Augen introduces breakthrough strategies for identifying subtle price distortions that arise from changes in market volatility. Drawing on more than a decade of never-before-published research, Augen provides new analytical techniques that every experienced options trader can use to study historical price changes, mitigate risk, limit market exposure, and structure mathematically sound high-return options positions. Augen bridges the gap between pricing theory mathematics and market realities, covering topics addressed in no other options trading book. He introduces new ways to exploit the rising volatility that precedes earnings releases; trade the monthly options expiration cycle; leverage put:call price parity disruptions; understand weekend and month-end effects on bid-ask spreads; and use options on the CBOE Volatility Index (VIX) as a portfolio hedge. Unlike conventional guides, The Volatility Edge in Options Trading doesn’t rely on oversimplified positional analyses: it fully reflects ongoing changes in the prices of underlying securities, market volatility, and time decay. What’s more, Augen shows how to build your own customized analytical toolset using low-cost desktop software and data sources: tools that can transform his state-of-the-art strategies into practical buy/sell guidance.

An options investment strategy that reflects the markets’ fundamental mathematical properties

Presents strategies for achieving superior returns in widely diverse market conditions

Adaptive trading: how to dynamically manage option positions, and why you must

Includes precise, proven metrics and rules for adjusting complex positions

Effectively trading the earnings and expiration cycles

Leverage price distortions related to earnings and impending options expirations

Building a state-of-the-art analytical infrastructure

Use standard desktop software and data sources to build world-class decision-making tools

Amazon.com® Reader Reviews (Ranked by Helpfulness)

Average Amazon.com® Rating:  Based on 28 Ratings

Very Tedious Reading - 2009-05-01
Reviewer Rating:
Way too much time spent on math formula's; much too little time spent on trading the Greeks. I guess I will have to read it again and get his workbook, but I am interested enough to think about buying his expiry day option trading book. I expected some math, but was disapointed it was not more directed at trading the Greeks. Chp. 8, "Trading the expiry cycle" was probably the most useful info. TOS/Option Planet has a free 8 hour seminar you will learn far more in than this book has to offer.

The Volitility Edge of Option Trading - 2009-04-24
Reviewer Rating:
This is a good book, even for a beginner like myself. Some reviewers complained that it is dry and has too much math or formula. I actually appreciate the dryness probably due to my background. I would rather read a sober analysis than a bunch of rules of thumbs or canned procedures, because it is easier for me to reason than to remember. The book made me better understand the complexity in option trading and the logics behind structuring and managing positions with many examples. There is no doubt that correct applications of the principles discussed in the book requires lots of experience and various tools.

The math and formula are really quite elementary. They are interesting; however, they do not seem to relate to later discussions very much. I would rather like to see more of their applications in the later examples.

The key learning I got from the book is that option positions are very dynamic. This of course is very much true in real life but is often not taught in introductory books. The logics or principles described in the book can be very useful in handling the dynamics. This is just the starting point. Actually applying them, corretly, is much more difficult. But I still think if you want to trade option, you should read this book before doing so. Otherwise, you don't know what you are getting into.

A Detailed Study of Volatility in Options Trading - 2009-10-23
Reviewer Rating:
Jeff Augen has produced a very detailed study of the way in which options are affected by volatility, and offers suggestions and ideas on taking advantage of that same volatility when selecting option strategies. He also presents ideas for managing complex strategies, such as diagonals and calendars, that are difficult to find in other sources. This book is definitely for the intermediate to advanced trader who has a sound understanding of option Greeks. This is an excellent reference to have on the trader's bookshelf.

Sharpening the focus on volatility - 2009-09-19
Reviewer Rating:
I largely purchased the book on the favourable reviews I'd read from other previous readers of this book.

Now, having read the book, for myself, I believe the book has the effect of causing an option trader to sharply focus one's attention on the issue of volatility and how that impacts on option values (including options that are still out-of-the-money).

I particularly found the author's narrative, in Chapter 5 on short strangles, of great interest. For a moment I'd thought I could have written that part of the book since the strategy, the author describes, mimics my own. The author adroitly sets out, in Table 5.4, a clever option trade (i.e. a short strangle with a positive delta of +0.25 and a negative delta of -0.25) and provides all of the relevant data that should be recorded for monitoring daily movements. The Table also includes the necessary adjustments, following adverse movements in the underlying stock price, in order to maintain a delta neutral position throughout the life of the short strangle, as it moves towards expiry.

The book is not intended for novices, and should only be read with those who possess a very thorough understanding of the "Greeks" and a desire to sharpen their understanding of volatility and the impact that increases and decreases in volatility have on option prices and values.

Excellent book - but not for novices - 2009-06-27
Reviewer Rating:
I just finished reading this book and got a lot out of it. It provides just what it advertises, several good strategies that depend on volatility changes. If you do not have a fairly good knowledge of options already (greeks included) and a pretty good knowledge of statistics that includes what a "normal" distribution is and isn't, then you will find this book rather tough going.

The volatility spike graphs were particularly enlightening to me. I already use the main strategies discussed in this book, but Augen's discussion of them showed me why they work, and, more importantly, showed me how to assess how well they should work; i.e., what type of profit target I should be expecting and by how much I should hedge my trades.

The one nit I have to pick with this book is the way trades are explained. The tabular representations of various trades and the corresponding text discussions of them can be a little difficult to follow. I think that supplementing the tables with graphical representations (perhaps 3-D price/volatility/time surfaces) of these model trades might be a good way to go.

Reading this book has made me decide to read the author's other books.

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