Jul 11, 2011

Free Issue of Expiring Monthly

This is a free best of the first year issue of Expiring Monthly magazine. The articles include: 1. The Volatility Risk Premium in Commodity Options - by Jared Woodard. The author reviews existing academic research and adds his original research on the topic of volatility premium in different commodity markets. Overall I am familiar with the most content of the article from JW's Options and The Volatility Risk Premium ebook, which is a lot more thorough. 2. The New Option Trader Risk Management - by Mark D Wolfinger. The article is about emotional aspects of trading and risk management. I found this article be the most interesting to me, even though I am an experienced trader! 3. Interview with Sheldon Natenberg, author of Option Volatility & Pricing - by Mark Sebastian. There are few points about changes in the industry, penny pricing, impact of high frequency trading. I think the book is currently outdated; and the best book for beginner options trader is Option Trading by Euan Sinclair. 4. Bill Luby describes VIX/VXX ATM Calls spread. Note possible typo: I think "short VIX December 44 calls for 3.10" should be "short VXX ..." It is somewhat "messy" way to play seasonality, and I did have a VIX diagonal on at that time. The article is very informative in describing day by day decision process about managing the position. 5. Trading Advice From a Different Perspective -  by Mark D Wolfinger. When do exit? When do you take a loss? MDW provides a framework for answering these (sometimes very difficult) questions. He summarizes it "Your job as trader and risk manager is to make money in the future. You cannot change the past. If you do not believe your current holdings can do the job — or are too risky to take the chance — then your job is to exit now and make a better trade when you find it." If I may add something is that I developed a simple mathematical framework to analyze optimal exit points, and what I found that the optimal decision is always either exit right now, or wait until expiration; it is never something like "wait 2 days, and then exit" 6. Trading The Hard Side - by Mark Sebastian. How to "work" SPX option orders for better execution. I really hope all SPX goes electronic soon so shitty executions will be a thing of the past. 7. An Introduction To Options On Interest Rate Products - by Jared Woodard. 8. Evaluating Volatility Across Asset Classes - by Bill Luby. The author compares behavior of different volatility classes during extreme events. That is an important topic but I disagree with his approach: normalization as described in the article is backwards looking, and results may be misleading. 9. Interview with Tim Andriesen (CME) - by Mark Sebastien 10. On Eating What We Kill - by Jared Woodard

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