Here are some books that I have found useful or informative for volatility trading, or trading in general, and a few that I suggest to skip. If you have questions about these book, or want me to review a different publication email me or leave a comment.
Dynamic Hedging - before NN Taleb became a philosopher he wrote an excellent book on options. There are no formal theories here, but a lot of helpful heuristics (in the best sense of the word) and good intuition.
The Volatility Surface - solid, no-nonsense introduction to all major topics in volatility modelling. Review TOC before purchasing - this book is more for market makers, exotic traders, and probably unnecessary for regular retail trader.
Another "academic" book is Multiscale Stochastic Volatility - the model described is summarized in this paper, the book elaborates on the details and provides detailed applications. Again, this is probably not for a regular retail trader.
Two excellent books from Euan Sinclair. Perfect for someone who is starting out in volatility trading. If someone told you to buy Natenberg's Option Volatility And Pricing, save your money and buy one of these instead!
Two books from Dr Eric Falkenstein, whos blog I read regularly. Finding Alpha is more general, The Missing Risk Premium is more academically focused. I own both books, and think of them as philosophy / foundations of risk-taking: both books cover topics far beyond low volatility anomaly. There is significant topic overlap between the books; if I had to recommend one I would probably go with Finding Alpha.
I have already reviewed Trading VIX Derivatives on my blog.
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And below are few books that I recommend to skip reading.
I don't know why everyone recommends this book for beginners - I think it is too general, hand-wavy, and sometimes outdated.
Inside Volatility Arbitrage - lofty title, however poor on practical content. Most of the book is about filtering historical price time series to fit volatility models.
Forecasting Financial Market Volatility thorough covers modelling and forecasting realized volatility - but somehow I see it applicable to (maybe?) risk management, more than trading.
Dynamic Hedging - before NN Taleb became a philosopher he wrote an excellent book on options. There are no formal theories here, but a lot of helpful heuristics (in the best sense of the word) and good intuition.
The Volatility Surface - solid, no-nonsense introduction to all major topics in volatility modelling. Review TOC before purchasing - this book is more for market makers, exotic traders, and probably unnecessary for regular retail trader.
Another "academic" book is Multiscale Stochastic Volatility - the model described is summarized in this paper, the book elaborates on the details and provides detailed applications. Again, this is probably not for a regular retail trader.
Two excellent books from Euan Sinclair. Perfect for someone who is starting out in volatility trading. If someone told you to buy Natenberg's Option Volatility And Pricing, save your money and buy one of these instead!
I have already reviewed Trading VIX Derivatives on my blog.
----------------------------------------------
And below are few books that I recommend to skip reading.
I don't know why everyone recommends this book for beginners - I think it is too general, hand-wavy, and sometimes outdated.
Inside Volatility Arbitrage - lofty title, however poor on practical content. Most of the book is about filtering historical price time series to fit volatility models.
Forecasting Financial Market Volatility thorough covers modelling and forecasting realized volatility - but somehow I see it applicable to (maybe?) risk management, more than trading.
I read about Sinclair's volatility trade from the library in changde, China, and I agree that it applies to new scholars.
ReplyDeleteHow about Trading Volatility by Bennet?
ReplyDelete