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Option Volatility and Pricing by Sheldon Natenberg
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Suppose that a trader sells a realized variance contract at a volatility of 20 (percent), equal to a variance of 202 = 400. If the actual realized volatility over the life of the contract is greater than 20 percent, the trader will lose money; if the actual realized volatility is less than 20 percent, the trader will make money. How can a trader hedge this position? A variance position can be replicated by purchasing a strip of options across all exercise prices.
To create a position with a constant-variance exposure, it is necessary to purchase 1/X 2 (where X is the exercise price) of each option. Then, by dynamically hedging the entire position in order to remain delta neutral throughout the life of the variance swap, the total value of the strategy will exactly match the actually realized variance of the variance contract.
It may seem that a volatility position can be replicated using the same approach. But the fact that volatility is the square root of variance means that if the variance exposure is constant, the volatility exposure cannot be constant. Let’s return to an earlier example where a realized volatility contract with a vega exposure of $10,000 was purchased at a price of 20.
We can compare the outcomes in two different cases. In the first case, the contract is settled in variance points, with each point having a value equal to the notional vega divided by twice the volatility price: $10,000/(2 × 20) = $250. In the second case, the contract is settled in volatility points with each point have a value of $10,000.
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Options Volatility & Pricing – Sheldon Natenberg
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Option Volatility and Pricing Book PDF Summary Review
The Option Volatility and Pricing Book by Sheldon Natenberg will teach you everything you need to know about options trading, including how to forecast volatility and figure out the prices of the different types of options contracts. The book includes various examples so that you can learn from other people’s experiences, as well as exercises at the end of each chapter so that you can practice using the lessons you’ve learned in real-life situations. This option volatility book by Natenberg is an essential read for anyone who wants to learn about this particular type of investing.
Option Volatility and Pricing, CFA, is one of the more approachable books on option pricing available in the market today. The subject matter has been well received by both newcomers to the field and experienced traders alike and has received very positive reviews from both sides of the aisle. Some in the community have taken issue with certain points, but this doesn’t really detract from the overall value of the material presented in the book.
Option Volatility and Pricing by Sheldon Natenberg is an excellent and highly-accessible textbook that can help you better understand how options work. After reading this book, you’ll be able to recognize the features of each kind of option and understand how they’re priced, which will be extremely useful as you go through this guide on options trading. Another nice thing about Option Volatility and Pricing is that it has been written in plain English, not the typical academic jargon that plagues many other books on finance and trading concepts.
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