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Preface. Professional Trading. The Role of Mathematics. The Structure of this Book. Acknowledgments. Chapter 1 History. Summary. Chapter 2 Introduction to Options. Options. Specifications for an Option Contract. Uses of Options. Market Structure. Summary. Chapter 3 Arbitrage Bounds for Option Prices. American Options Compared to European Options. Absolute Maximum and Minimum Values. Summary. Chapter 4 Pricing Models. General Modeling Principles. Choice of Dependent Variables. The Binomial Model. The Black-Scholes-Merton (BSM) Model. Summary. Chapter 5 The Solution of the Black-Scholes-Merton (BSM) Equation. Delta. Gamma. Theta. Vega. Summary. Chapter 6 Option Strategies. Forecasting and Strategy Selection. The Strategies. Summary. Chapter 7 Volatility Estimation. Defining and Measuring Volatility. Forecasting Volatility. Volatility in Context. Summary. Chapter 8 Implied Volatility. The Implied Volatility Curve. Parameterizing and Measuring the Implied Volatility Curve. The Implied Volatility Curve as a Function of Expiration. Implied Volatility Dynamics. Summary. Chapter 9 General Principles of Trading and Hedging. Edge. Hedging. Trade Sizing and Leverage. Scalability and Breadth. Summary. Chapter 10 Market Making Techniques. Market Structure. Market Making. Trading Based on Order-Book Information. Summary. Chapter 11 Volatility Trading. Hedging. Hedging in Practice. The P/L Distribution of Hedged Option Positions. Summary. Chapter 12 Expiration Trading. Pinning. Pin Risk. Forward Risk. Exercising the Wrong Options. Irrelevance of the Greeks. Expiring at a Short Strike. Summary. Chapter 13 Risk Management. Example of Position Repair. Inventory. Delta. Gamma. Vega. Correlation. Rho. Stock Risk: Dividends and Buy-in Risk. The Early Exercise of Options. Summary. Conclusion. Appendix A Distributions. Example. Moments and the Shape of Distributions. Appendix B Correlation. Glossary. Index.
EUAN SINCLAIR is an option trader with fifteen years of professional trading experience. He specializes in the design and implementation of quantitative trading strategies. Sinclair is currently a proprietary option trader for Bluefin Trading, where he trades based on quantitative models of his own design. He holds a PhD in theoretical physics from the University of Bristol. Sinclair is also the author of the Wiley title Volatility Trading .