Trading Option Greeks: How Time, Volatility, and Other Pricing Factors Drive Profit (Bloomberg Financial) - Hardcover

Passarelli, Dan

Hardcover

ISBN 10: 157660246X ISBN 13: 9781576602461

Publisher: Bloomberg Press, 2008

Synopsis

Veteran options trader Dan Passarelli explains a new methodology for option trading and valuation based on the “greeks”—the five factors that influence an option’s price. Using the greeks can lead to more accurate pricing information that will lead to trading opportunities. The “greeks” (Delta, Gamma, Theta, Vega, Rho) are tools for measuring minute changes in an option’s price based on corresponding changes in: interest rates, time to expiration, price changes in the underlying security, volatility, and dividends. In straightforward language and making use of charts and examples, Passarelli explains how to use the greeks to be a better options trader. With an introduction to option basics as well as chapters on all types of spreads, put-call parity and synthetic options, trading volatility and studying volatility charts, and advanced option trading, “Trading Option Greeks” holds pertinent new information on how more accurate pricing can drive profit.

About this title

Book Description

Veteran options trader Dan Passarelli explains a new methodology for option trading and valuation, paying special attention to how more accurate pricing can drive profit. In straightforward language and making use of charts and examples, Passarelli explains how to use the greeks--the five factors that influence an option’s price—to trade more effectively. Understanding the greeks enables traders to quantify risk, trade components of price such as volatility, and, most important, profit in every kind of market: up, down, sideways, and volatile.

 

 

 

 

From the Inside Flap

Veteran options trader Dan Pasarelli explains a methodology for option trading and valuation in this timely volume on option greeks. With an introduction to option basics as well as chapters on spreads, put-call parity and synthetic options, trading volatility, and advanced option trading, Trading Option Greeks holds new pertinent information on how the greeks can drive profit.

The greeks (delta, gamma, theta, vega, rho,) are tools to measure changes in an option's value based on corresponding changes in:

--Volatility
--Time to expiration
--Underlying price
--Interest rates

Using these tools can lead to more accurate pricing and trading and alert the option trader to a range of opportunities.

Edition details

• Publisher: Bloomberg Press
• Publication date: 2008
• ISBN 10: 157660246X
• ISBN 13: 9781576602461
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 352