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Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits Hardcover – Illustrated, October 2, 2012

by Dan Passarelli (Author), William J Brodsky (Foreword)
4.6 4.6 out of 5 stars 421 ratings
See all formats and editions
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Purchase options and add-ons

A top options trader details a practical approach for pricing and trading options in any market condition

The options market is always changing, and in order to keep up with it you need the greeks--delta, gamma, theta, vega, and rho--which are the best techniques for valuing options and executing trades regardless of market conditions. In the Second Edition of Trading Options Greeks, veteran options trader Dan Pasarelli puts these tools in perspective by offering fresh insights on option trading and valuation.

An essential guide for both professional and aspiring traders, this book explains the greeks in a straightforward and accessible style. It skillfully shows how they can be used to facilitate trading strategies that seek to profit from volatility, time decay, or changes in interest rates. Along the way, it makes use of new charts and examples, and discusses how the proper application of the greeks can lead to more accurate pricing and trading as well as alert you to a range of other opportunities.

  • Completely updated with new material
  • Information on spreads, put-call parity and synthetic options, trading volatility, and advanced option trading is also included
  • Explores how to exploit the dynamics of option pricing to improve your trading

Having a comprehensive understanding of the greeks is essential to long-term options trading success. Trading Options Greeks, Second Edition shows you how to use the greeks to find better trades, effectively manage them, and ultimately, become more profitable.

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Previous page
  1. Print length
    368 pages
  2. Language
    English
  3. Publisher
    Bloomberg Press
  4. Publication date
    October 2, 2012
  5. Dimensions
    6.5 x 1.3 x 9.7 inches
  6. ISBN-10
    1118133161
  7. ISBN-13
    978-1118133163
  8. See all details
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Popular Highlights in this book
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  1. ITM and OTM options have a low gamma. ATM options have a relatively high gamma.
    Highlighted by 338 Kindle readers
  2. Gamma (Γ) is the rate of change of an option’s delta given a change in the price of the underlying security.
    Highlighted by 291 Kindle readers
  3. Delta is the option’s equivalent of a position in the underlying shares.
    Highlighted by 235 Kindle readers
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Editorial Reviews

From the Inside Flap

The financial markets are dynamic, and in order to keep up with them, you need the greeks--delta, gamma, theta, vega, and rho--the best techniques for valuing options and executing trades regardless of market conditions.

With extensive experience as a market maker, retail trader, and instructor in this field, nobody understands options better than author Dan Passarelli. And now, with the Second Edition of Trading Option Greeks, he provides you with the tools you'll need to succeed in the high-speed, highly technical arena that the options market has become.

Written to reflect current market conditions, this reliable guide will put you in a better position to effectively navigate today's options market, which includes a host of new products, strategies, and rules. Along the way, it skillfully discusses option Greeks from both a theoretical and practical perspective, and explains how and when to use them.

Divided into four comprehensive parts, this updated edition outlines a practical approach to the greeks--which measure changes in an option's value--and reinforces a trader's understanding of option pricing, volatility, market terminology, and strategy in a way that few other books can. Topics covered include:

  • Option-specific risk and opportunity, put-call parity and synthetics, and dividends and option pricing

  • Vertical spreads, wing spreads, and calendar and diagonal spreads

  • Delta-neutral trading--including the trading of implied and realized volatility

  • Advanced option trading issues from straddles and strangles to ratio and complex spreads

  • And much more

Whether you're a professional trader or active individual trader, comprehensive knowledge of the greeks can help you avoid common pitfalls, limit risk, and increase profit potential. Putting the insights found here into practice will put you in a better position to excel at this challenging endeavor.

From the Back Cover

Trading Option Greeks

Second Edition

In option trading, there are an infinite number of uses for the "greeks" (delta, gamma, theta, vega, and rho), which measure changes in an option's value. From finding trades to managing and adjusting them, the greeks are truly a trader's best resource--but only if you know how to properly apply them.

Nobody understands option greeks better than author Dan Passarelli. And now, with the Second Edition of Trading Option Greeks, this seasoned options expert provides you with the tools you'll need to effectively implement them in your everyday trading endeavors.

Written from Passarelli's unique perspective, traders of all levels can benefit from this reliable guide. Page by page, it skillfully covers some of the most essential elements of this discipline, including various types of spreads, put-call parity and synthetic options, trading volatility, and advanced option trading issues. Along the way, it makes use of new charts and examples, and discusses how the proper application of the greeks can lead to more accurate pricing and trading as well as alert you to a range of other opportunities.

Having a comprehensive understanding of the greeks is essential to long-term trading success. This updated edition of Trading Option Greeks illustrates how you can apply the concepts contained here to real-world trading scenarios and get the most out of your time in today's dynamic market.

Product details

  • Publisher ‏ : ‎ Bloomberg Press; 2nd ed. edition (October 2, 2012)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 368 pages
  • ISBN-10 ‏ : ‎ 1118133161
  • ISBN-13 ‏ : ‎ 978-1118133163
  • Item Weight ‏ : ‎ 1.3 pounds
  • Dimensions ‏ : ‎ 6.5 x 1.3 x 9.7 inches
  • Customer Reviews:
    4.6 4.6 out of 5 stars 421 ratings

About the author

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Dan Passarelli

Dan Passarelli

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Dan Passarelli, is the author of the book Trading Option Greeks and founder of Market Taker Mentoring LLC. Market Taker Mentoring is an options education company that provides personalized one-on-one mentoring for option traders. The company website is www.MarketTaker.com.

Dan started his option trading career on the floor of the Chicago Board Options Exchange (CBOE) as an equity options market maker. He also traded agricultural options and futures on the floor of the Chicago Board of Trade (CBOT). In 2005, Dan joined CBOE's Options Institute and began teaching both basic and advanced option trading concepts to retail traders, brokers, institutional traders, financial planners and advisors, money managers, employees of the Federal Reserve Bank, and market makers. In addition to his work with CBOE, Dan taught option trading strategies at the Options Industry Council (OIC). Dan has written numerous articles in the financial press. Dan can be followed on Twitter at www.twitter.com/Dan_Passarelli.

Customer reviews

4.6 out of 5 stars
4.6 out of 5
421 global ratings
best options book ever
5 Stars
best options book ever
this book is amazing! Dan you explains options in a very easy way (for who has some knowledge of the markets already)i aways studied John Hull, it s great too, but is more math than practical trading! Dan goes more on the reality of options trading! thank you for the book Dan!
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Top reviews from the United States

Flavio Souza
5.0 out of 5 stars best options book ever
Reviewed in the United States on September 8, 2022
Verified Purchase
this book is amazing! Dan you explains options in a very easy way (for who has some knowledge of the markets already)
i aways studied John Hull, it s great too, but is more math than practical trading! Dan goes more on the reality of options trading! thank you for the book Dan!
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Flavio Souza
5.0 out of 5 stars best options book ever
Reviewed in the United States on September 8, 2022
this book is amazing! Dan you explains options in a very easy way (for who has some knowledge of the markets already)
i aways studied John Hull, it s great too, but is more math than practical trading! Dan goes more on the reality of options trading! thank you for the book Dan!
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Customer image
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7 people found this helpful
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AntMc
5.0 out of 5 stars An Option Trader Companion
Reviewed in the United States on January 19, 2021
Verified Purchase
This is the best book that I've read so far on Option trading that specifically digs into the Greeks - what they are, how they work and the ways to leverage them to build a better trading business. Dan does an excellent job of presenting the material in an easy to read manner that is very engaging and made me want to keep reading to learn more. As a former market maker, he provided insights into how the other end of the trade approaches the market and how they use the Greeks to manage their portfolio. This is key insight as they are the ones on the other side of many of our trades - understanding their mindset helps us utilize better strategies for each situation. This book now sits on my desk as a reference and my trader companion going forward.

Anyone serious about Options Trading needs this book.
7 people found this helpful
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T. S
5.0 out of 5 stars An intuitive guide for real world traders
Reviewed in the United States on November 16, 2020
Verified Purchase
Trading Option Greeks is the most intuitive guide to understand options in depth. I have tried other derivatives books and they lean heavily on the mathematical side. But this is different. It is less on math and more about about understanding the concepts and developing intuitions about picking options. This book explains “why” certain things happen in the options world, and how you can avoid pitfalls (as against dry theory and formulas). If you are trading in the real world, this book is a keeper.
4 people found this helpful
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Manjunath Sharma
4.0 out of 5 stars ... reading this book and I find this a very useful book. This book for intermediate level to advanced ...
Reviewed in the United States on January 2, 2015
Verified Purchase
I am still reading this book and I find this a very useful book. This book is for intermediate level to advanced level option students and professionals. CBOE website has lot of info on option greeks (all free in webcasts section, where one can download presentation and also go through the webinar). This is the book that shows the details of option strategies and brings it together. Author gives examples of what one is buying or selling based on option greeks (selling theta, buying vega). This book complements with other books and texts that I have. In order to implement and/or see what author is suggesting one certainly needs an option calculator or website (most brokers give this).

The following resources will help (no particular order or preference). Bottom line, need a option calculator with greeks, list of options strategies and adjustments one can make and see the P/L.

1. Jabbour (option trading handbook), great book, that gives details of all adjustments without greeks. I have the first edition. Second edition is out, I do not have it.

2. Most important spreadsheet is from optiontradingtips.com (awesome to see the plot of profit / loss and play with it) to make new trades or adjustments. Easy to play with. This along with CBOE webinar's explaining expiry profit/loss table that you can hand calculate in 5 minutes will show the exact strategy. Or use the spreadsheet and see all the greeks and P/L. One can add a stock (short or long) in the spreadsheet and what happens. The author of this spreadsheet is generous to give this free spreadsheet.

3. John Hull's book on Options for MBA/Finance and CFA students (textbook, I have an old edition that is good enough), chapter 14 (and solutions are free) on Option sensitivities and Option hedging is excellent. This chapter is pretty much what Trading Option Greeks author (Dan Passarelli) is talking or alluding to. Author Dan's approach is good with lots of examples and practical from a professional trader point of view.

4. Finally get both books from Dr Samir Elias (Generate Thousands and explosive stock trading) to see how to blend technical analysis with Option strategies.

(note: I am not a related party to any of these folks)

I feel the author could add lot more examples in future editions.
159 people found this helpful
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AmazonUser
5.0 out of 5 stars The Definitive Guide to the Option Greeks
Reviewed in the United States on September 3, 2013
Verified Purchase
Learning to trade options has definitely been a challenge. When I first started, I would get panicky because I could not tell why I was losing money. Dan Passarelli's book on the option greeks helped take the mystery out of it for me as well as helped me learn how to better manage my trades. My first trading coach would have us measure our risk based only on absolute risk, ie if the value of our trade went to zero. But think about it: how many trades have you lost money on because the value of your call, put, or spread went to zero? Probably very few. Nearly all of my losses have been because of day-to-day, incremental risk, and this is what the greeks help us measure. Learning about the greeks is helping me improve my results immensely, and this book has been a huge part of that. Here is a snap shot of some of the things I've learned that have helped me use the greeks to better manage my trades:

- Why I make or lose money because of delta and how to use delta to determine when to take profits or cut bait
- How to calculate a new delta based on gamma
- How to use vega to predict if my trade will make or lose money based on a rise or fall in volatility
- Why sometimes it's important to impose a time stop due to theta eroding the value of a long position
- The importance of measuring your entire position in regards to each of the greeks (because the greeks are cumulative)

As a former market maker, Passarelli used the greeks every day in his trading, and while he takes the time to explain concepts as advanced as gamma scalping, he also breaks things down in simple terms with real-life examples, especially at the beginning. So while there is plenty in here for the advanced trader, novice traders will also find value and have an excellent guide they can use as they grow as traders.

This book has a prominent place in my trading library. Passarelli's other book Market Taker's Edge is also a great book and may be easier to digest for those who are brand new to trading. I highly recommend both.
105 people found this helpful
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Krish
5.0 out of 5 stars PhD on options
Reviewed in Canada on May 8, 2021
Verified Purchase
Seriously... the best book out there on options!. Kept me awake for many nights. 5 stars to the content. Love the author’s unambiguous writing style.

Some might argue that you don’t need this level of detail to trade options on a daily basis. But if you’re one of those ppl who loves to read in depth, you’ll love the book!
One person found this helpful
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MG
5.0 out of 5 stars Miglior libro
Reviewed in Italy on November 20, 2021
Verified Purchase
Allora a livello tecnico e di ricerca matematico/finanziaria il libro di Hull rimane il primo in classifica. Tuttavia devo ammettere che questo è davvero molto interessante perché tralasciando le formule matematiche riesce a far comprendere concetti piuttosto difficoltosi. Ottimo per un approccio operativo alle opzioni.
2 people found this helpful
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Amazon Customer
4.0 out of 5 stars Essential reading but?????
Reviewed in the United Kingdom on September 24, 2021
Verified Purchase
Having just finished the book, I can say definitively, this is essential reading for anyone venturing into options trading, and it's definitely money well spent. There are errors in the book as pointed out by other reviewers. Typographical errors can be overlooked, but some errors are in-congruent with the actual explanation of key topics, for example, page 228 the author states "the more expensive options are being sold, the less expensive bought" when describing a debit spread? On page 229 he is discussing a Jan/Feb diagonal spread, yet refers to an August expiration from the previous example? On the second to last page he adjusts an iron condor by rolling the credit legs but buys the 39 call/sells the 40 to a debit spread? The worry is that these type of editorial errors, lead the reader to ask "have I missed something in the explanation, or has the author made an error". One word of warning to prospective readers is in the over use of hyphens, in the worse possible places, that mislead the reader into thinking they are minus signs in formulas. The other issue is with the introduction of put call parity. I didn't understand why the author introduces it so early in such a vague way. I then went on to Wikipedia for a more digestible explanation. Then having reached chapter Chapter 6, the book gives a thorough and comprehensive breakdown of the topic -which for me could have been introduced earlier (should have jumped to chapter 6, then gone back to it). My criticisms are submitted to be constructive, not overly harsh. I do commend the author for qualifying all his workings with explanations. As I say, this is a worthy buy delving into the nuts and bolts of options trading. Would I buy the book again, despite these editorial oversights?- definitely. Despite the mention of gamma as a second derivative, all of the maths needed, is basic addition, subtraction and multiplication, so don't be put off buying it for fear you need a degree in maths.
4 people found this helpful
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Patrick
5.0 out of 5 stars Optionsgriechen verstehen
Reviewed in Germany on April 19, 2021
Verified Purchase
In diesem Buch wird nicht nur die grundlegende Funktionsweise der Optionsgriechen erklärt, sondern auch praktisch aufgezeigt wie ein Anleger dies nutzen könnte/sollte.
Meiner Meinung nach eines der besten Bücher zum Thema Greeks.
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RENATO MONTEIRO OLINO
5.0 out of 5 stars Exelente
Reviewed in Brazil on September 27, 2019
Verified Purchase
Livro excelente. Com pouquíssimo uso de equações matemáticas complexas, o autor consegue passar um bom nível de conhecimento sobre as gregas e operações com opções. Vale muita a pena.
16 people found this helpful
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