38,99 €
Mehr erfahren.
- Herausgeber: John Wiley & Sons
- Kategorie: Fachliteratur
- Serie: Wiley Trading Series
- Sprache: Englisch
Now you can learn directly from Sheldon Natenberg! In this unique multimedia course, Natenberg will explain the most popular option pricing strategies. Follow along as this trading legend walks you through the calculations and key elements of option volatility in this video, companion book, and self-test combination. Get The Full Impact Of Every Word Of This Traders' Hall Of Fame Presentation. You'll learn: Implied volatility and how it is calculated, so you can find the best positions; What assumptions are driving an options pricing model to be ahead of the trade; Proven techniques for comparing price to value to increase your number of winning trade; How you can use probability to estimate option prices to increase trading income. Spending time with a trading legend is usually a dream for most traders, but this is your opportunity to get the inside tactics of one of the most sought-after educators in options. With the personal touch of his presentation, Natenberg's educational tool gives all traders, beginner to advanced, access to the powerful insights that can bring ongoing option trading success.
Sie lesen das E-Book in den Legimi-Apps auf:
Seitenzahl: 150
Veröffentlichungsjahr: 2012
Ähnliche
Table of Contents
Publisher’s Preface
How to Use this Book
Meet Sheldon Natenberg
Chapter 1: The Most Important Tool for Any Options Trader
Your Goal Is Not to Cut off Your Hand
Black-Scholes: The Grandfather of Pricing Models
The Fundamental Elements of Any Pricing Model
Chapter 2: Probability and Its Role in Valuing Options
Overcoming the Subjective Nature of the Process
The Problem with Probabilities
You Can Agree to Disagree
Expanding the Realm of Probabilities
What Constitutes a Normal Distribution?
How Distribution Assumptions Affect Option Pricing
The Symmetrical Nature of Distribution Curves
Chapter 3: Using Standard Deviation to Assess Levels of Volatility
Standard Deviation
Volatility Numbers Are Fluid
Adjusting Volatility for Differing Time Periods
Examples of a Standard Deviation Conversion
Verifying Volatility
Chapter 4: Making Your Pricing Model More Accurate
Some Essential Adjustments to Your Volatility Input
Key Differences in a Lognormal Distribution
When the Market Disagrees With the Models
Chapter 5: The Four Types of Volatility and How to Evaluate Them
The First Interpretation: Future Volatility
The Second Interpretation: Historical Volatility
The Third Interpretation: Forecast Volatility
The Fourth Interpretation: Implied Volatility
Checking the Inputs: How to Correct Your Valuation
Simplifying the Volatility Assessment
Chapter 6: Volatility Trading Strategies
The Fundamentals of Volatility Trading
Further Adjustments Required
A Black-Scholes Anecdote
The Risks of Volatility Trading
Are You Naked—Or Are You Covered?
A Visual Picture of Volatility
Using Volatility to Improve Your Predictions
A Quick Look at Volatility Cones
The Two Primary Models for Predicting Volatility
Margin Requirements and Commissions
Chapter 7: Theoretical Models vs the Real World
Summary
Appendix A: Option Fundamentals
Appendix B: A Basic Look at Black-Scholes
Appendix C: Calendar Spread: Putting Time on Your Side
Appendix D: Greeks of Option Valuation
Appendix E: Key Terms
Index
Copyright © 2007 by Sheldon Natenberg
Published by John Wiley & Sons, Inc., Hoboken, New Jersey
Published simultaneously in Canada
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at www.wiley.com/go/permissions.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with the respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor the author shall be liable for damages arising herefrom.
For general information about our other products and services, please contact our Customer Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993 or fax (317) 572-4002.
Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com.
Library of Congress Cataloging-in-Publication Data:
PUBLISHER’S PREFACE
What you have in your hands is more than just a book. A map is simply a picture of a journey, but the value of this book extends well beyond its pages. The beauty of today’s technology is that when you own a book like this one, you own a full educational experience. Along with this book’s author and all of our partners, we are constantly seeking new information on how to apply these techniques to the real world. The fruit of this labor is what you have in this educational package; usable information for today’s markets. Watch the video, take the tests, and access the charts—FREE. Use this book with the online resources to take full advantage of what you have before you.
If you are serious about learning the ins and outs of trading, you’ve probably spent a lot of money attending lectures and trade shows. After all the travel, effort, expense, and jet lag, you then have to assimilate a host of often complex theories and strategies. After thinking back on what you heard at your last lecture, perhaps you find yourself wishing you had the opportunity to ask a question about some terminology, or dig deeper into a concept.
You’re not alone. Most attendees get bits and pieces out of a long and expensive lineage of lectures, with critical details hopefully sketched out in pages of scribbled notes. For those gifted with photographic memories, the visual lecture may be fine; but for most of us, the combination of the written word and a visual demonstration that can be accessed at will is the golden ticket to the mastery of any subject.
Marketplace Books wants to give you that golden ticket. For over 15 years, our ultimate goal has been to present traders with the most straightforward, practical information they can use for success in the marketplace.
Let’s face it, mastering trading takes time and dedication. Learning to read charts, pick out indicators, and recognize patterns is just the beginning. The truth is, the depth of your skills and your comprehension of this profession will determine the outcome of your financial future in the marketplace.
This interactive educational package is specifically designed to give you the edge you need to master this particular strategy and, ultimately, to create the financial future you desire.
To discover more profitable strategies and tools presented in this series, visit www.traderslibrary.com/TLEcorner.
As always, we wish you the greatest success.
President and Owner
Marketplace Books
HOW TO USE THIS BOOK
The material presented in this guide book and online video presentation will teach you profitable trading strategies personally presented by Sheldon Natenberg. The whole, in this case, is truly much greater than the sum of the parts. You will reap the most benefit from this multimedia learning experience if you do the following.
Watch the Online Video
The online video at www.traderslibary.com/TLEcorner brings you right into Natenberg’s session, which has helped traders all over the world apply his powerful information to their portfolios. Accessing the video is easy; just log on to www.traderslibrary.com/TLEcorner, click Basic Option Volatility Strategies by Sheldon Natenberg under the video header, and click to watch. If this is your first time at the Education Corner, you may be asked to create a username and password. But, it is all free and will be used when you take the self-tests at the end of each chapter. The great thing about the online video is that you can log on and watch the instructor again and again to absorb his every concept.
Read the Guide Book
Dig deeper into Natenberg’s tactics and tools as this guide book expands upon Natenberg’s video session. Self-test questions, a glossary, and key points help ground you in this knowledge for real-world application.
Take the Online Exams
After watching the video and reading the book, test your knowledge with FREE online exams. Track your exam results and access supplemental materials for this and other guide books at www.traderslibrary.com/TLEcorner.
Go Make Money
Now that you have identified the concepts and strategies that work best with your trading style, your personality, and your current portfolio, you know what to do—go make money!
MEET SHELDON NATENBERG
As you will learn later in this book, volatility is the most nebulous factor in determining what the value, and therefore the price, of an option actually should be—and no one is more adept at assessing volatility than Sheldon Natenberg.
As Director of Education for Chicago Trading Company and a highly sought-after lecturer at professional training seminars both here and abroad, Sheldon has helped many of the world’s top institutional investors, mutual fund managers, and brokerage analysts better understand volatility and utilize it in valuing and pricing options of all types.
However, his greatest claim to fame came as the result of his authorship of Option Volatility and Pricing: Advanced Trading Strategies and Techniques (McGraw Hill, 1994)—considered by many to be the finest book ever written on the subject. First published in 1988 (revised in 1994), the book established Sheldon as one of the world’s most acclaimed authorities on volatility and its impact on option pricing and trading strategies—a reputation he has continued to build ever since. His ongoing success at evaluating and applying option trading strategies ultimately earned him induction into the Traders’ Library Trader’s Hall of Fame.
What Sheldon Is Preparing to Tell You
So, why do you need Sheldon’s expertise? Quite simply, because volatility has become a dominant factor in today’s world—not only in the investment markets, but also in everyday life. Though this book may not enable you to understand fully the growing political, economic, and social turbulence that roils daily life, it will help you understand—and potentially profit from—the extreme volatility apparent in the financial arena over the past two decades.
In the pages that follow, Sheldon will explain the theoretical basis of volatility systematically, showing you how to calculate volatility levels in various markets, how volatility affects the price movements of different investment instruments, and how you can profit from those price movements.
He will talk about the four different categories of volatility, the differences between them, and the types that play the most important role in the leading theoretical pricing models. He will also fully describe the most popular option pricing models in use today and discuss their advantages, as well as some problems you may encounter when using them.
Specifically, he will detail the critical impact that volatility has in establishing values and prices for exchange-traded options and reveal the most common strategies for capturing the discrepancies that develop when option prices and values get out of line.
In addition, he will do it all with a minimum of mathematical equations and technical jargon.
In short, whether you’ve been an active trader for years or are just now considering whether to buy your first put or call, the advice Sheldon provides will prove invaluable in integrating options into your personal arsenal of investment strategies.
Chapter 1
THE MOST IMPORTANT TOOL FOR ANY OPTIONS TRADER
This book focuses on options, explaining how volatility affects the valuation and pricing of options, and how you can use this information to refine your option trading strategies and improve your trading results.
Depending on your situation, this book is a bit unusual for me because I’m used to dealing almost solely with professional traders—traders for market-making firms, financial institutions, floor traders, computer traders, and so forth. I know that you may not be a professional trader. However, lest that concern you, I’d like to assure you of one thing:
Second, by way of disclaimer, I want to clarify something immediately: I am not going to tell you how to trade.
Everyone has a different background. Everyone has a different goal in the market . . . different reasons for making specific trades. What I hope you’ll at least be able to do—from the limited amount of information I’m going to provide—is learn how to make better trading decisions.
However, you’re the one who must decide what decisions you’re going to make.
Your Goal Is Not to Cut off Your Hand
Learning about options is like learning how to use tools—and everyone applies tools in different ways. For example, if somebody teaches you how to use a saw, your first question becomes, “What can I do with this saw?”
Well, depending on how well you’ve learned your lesson, either you can make a beautiful piece of furniture—or you can cut off your hand.
Obviously, those are the two extremes: there are many other uses in between. My point here is that I’m trying to help you avoid cutting off your hand. You may not learn enough to become a professional trader, but you will learn enough to avoid disaster, and greatly improve your trading skills.
Maybe that’s not the best analogy, but I think you get the idea.
People often ask me about the types of strategies I use and which are my favorites. I think most professionals would agree with me: I’ll do anything if the price is right.
The same standard defines my “favorite” strategy, because my favorite is any strategy that works—and, if the price is right, a strategy usually works.
So, how do I determine whether the price is right?
I determine if the price is right the way almost everybody does: I use some type of theoretical pricing model—some type of mathematical model that helps me determine what I think the price ought to be.
Then, whatever strategy I choose to use depends on whether the actual prices available in the market deviate from what I think they ought to be, or whether they’re consistent with what I think they ought to be.
So, the primary tool for any professional option trader is a theoretical pricing model—and, if you’re going to succeed with your own trades, such a model will become your primary tool as well. With that in mind, let’s talk about a typical theoretical pricing model.
Black-Scholes: The Grandfather of Pricing Models
By far, the most common option-pricing tool used today is the Black-Scholes model (See Appendix B for details). Of course, there are other models that are also widely used, but the Black-Scholes model is most famous because it was the first really widely used pricing model. It was also a theoretical innovation—so much so that Myron Scholes and Robert Merton, who helped develop the model, received the Nobel Prize in Economics for its development.
So, if Merton shared in the prize, why is it called the Black-Scholes model?
Well, as a quick aside, this is a perfect illustration of the fact that life is not fair. The Nobel Prize is given posthumously only if you die within six months of the awarding of the honor. Fischer Black did much of the theoretical work in developing the Black-Scholes model—but because he died roughly eight months before the honors were announced, he missed the Nobel Prize.
Of course, his name lives on in the title of the model—and everyone who knows the story acknowledges that Black really shared the Nobel Prize with Scholes and Merton.
The Fundamental Elements of Any Pricing Model
Whether you use Black-Scholes or some other pricing model, there are certain inputs that have to be plugged into the formula. Only after you enter all of these inputs into the model you’re using can you come up with a theoretical value for an option. So, let’s take a look at the required inputs (Figure 1).
FIGURE 1
Most pricing models, including Black-Scholes, require five—or, in some cases involving stocks, six—inputs. If you’ve done any analytical work with options at all, you’re likely familiar with the first four of these inputs:
The exercise price
Time to expiration
The price of the underlying security
The current interest rate
That’s because these are things you can generally observe in the marketplace, as is dividend information, which is the added input stock traders are required to factor into the model. You may not know exactly what the correct interest rate is, or exactly what the underlying stock or futures price is, but you can make a pretty good guess. Likewise, if you’re doing stock options, it’s pretty easy to come up with the dividend. Obviously, if you’re trading index options or options on futures, there is no dividend.
