PDF Download Volatility Trading, + Website, by Euan Sinclair

PDF Download Volatility Trading, + Website, by Euan Sinclair

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Volatility Trading, + Website, by Euan Sinclair

PDF Download Volatility Trading, + Website, by Euan Sinclair

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From the Inside Flap

Volatility, by definition, is indicative of underlying randomness. But there are patterns within the noise that can be measured and exploited. No one knows this better than author Euan Sinclair, a highly successful options trader with a doctorate in quantum chaos. But the Second Edition of Volality Trading isn't just about the numbers. Drawing upon his fifteen years as a professional trader, Sinclair provides a fully fleshed-out approach to trading that relies as much on the all-important "human element" and the psychological and emotional biases that drive trading decisions, as it does on quantitative analysis. Ultimately, says Sinclair, trading is about having a coherent trading philosophy and developing a rigorous system. It's about setting a goal that can be clearly expressed in one sentence, and about finding trades with a clear statistical edge. And, finally, it's about capturing that edge and sizing each trade in a way that is consistent with your goal. Everything you do as a trader must be done within this framework. Taking an accessible, straightforward approach, Sinclair provides you with the knowledge and tools you need to create just such a framework. He walks you through the basics of option pricing, volatility measurement, hedging, money management, and performance evaluation. And he develops a Black-Scholes-Merton-based quantitative model for measuring volatility that can easily can be adapted to trading virtually any type of financial instrument. Responding to major changes in the markets since the first edition, Sinclair has expanded his scope in this Second Edition to include coverage of the many new opportunities available in VIX futures, ETNs, and leveraged ETFs. He also: Analyzes the benefits and shortcomings of an array of historical volatility measurements Clearly shows how volatility behaves in the real world and how it relates to returns on underlying assets Outlines methods for forecasting volatility over the lifetime of a trade Supplies proven techniques for knowing when to hedge and by how much Delivers strategies for aggregating positions so as to reduce the need to hedge Shares priceless tips on how to boost returns through trade sizing—including techniques borrowed from the worlds of futures trading and professional gambling Arms you with powerful tools for evaluating the ongoing performance of your trading activity Fills you in on the latest research on cognitive and emotional biases that influence trading decisions and how to leverage them to your advantage Delineates time-tested strategies for trading VIX futures, ETNs, and leveraged ETFs Provides access to a companion website containing valuable spreadsheets, models for calculating volatility cones for different time periods, and simulation engines Bringing volatility trading down to earth for even the most numbers-shy traders, as well as hard-nosed quants interested in acquiring a deeper understanding of options trading, Volatility Trading, Second Edition is an indispensable "tool of the trade."

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From the Back Cover

Praise from experts for the Second Edition of Volatility Trading "Benefitting from his experience as an option trader and his background as a physicist, Euan Sinclair gives a comprehensive and detailed treatment of theoretical and practical aspects involved in volatility trading. The style is to-the-point, focused, and honest. The book includes something rarer than a CD-ROM: humor. Heartily recommended for the practitioner, as well as the academic who wants to know." —JESPER ANDREASEN, Danske Markets, Copenhagen "Over the last five years, this has become the classic work on practical options trading. It has been updated to cover innovations in markets as well as additional material on behavioral finance and capturing risk premium Everyone who trades options should read this book." —AARON BROWN, Risk Manager, AQR Capital Management, and author of Red-Blooded Risk "Practical, engaging, and concise, Euan Sinclair's Volatility Trading remains the best book I have seen about options trading from the practitioner's standpoint. A far cry from the standard textbook treatment, Sinclair's discussion of practical topics such as trade sizing, exit criteria, and P&L management—peppered with relevant trading anecdotes—educates while countering many of the trader myths and fallacies one hears over the years. New material on trading the VIX and volatility ETFs is particularly timely and useful." —STEVE CRUTCHFIELD, Head of U.S. Options, NYSE Euronext

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Product details

Hardcover: 320 pages

Publisher: Wiley; 2 edition (April 1, 2013)

Language: English

ISBN-10: 1118347137

ISBN-13: 978-1118347133

Product Dimensions:

6.1 x 1.4 x 9.1 inches

Shipping Weight: 1.3 pounds (View shipping rates and policies)

Average Customer Review:

4.2 out of 5 stars

25 customer reviews

Amazon Best Sellers Rank:

#381,345 in Books (See Top 100 in Books)

I give myself three stars for my comprehension of Euan Sinclair’s “Volatility Trading”. As a retired engineer and experienced option trader, I could conceptually follow some of Sinclair’s math, but it’s been difficult to apply his models and strategies to my retail trading. The target audience appears to be quants, market makers and option arbitrage traders. They probably appreciate and comprehend Sinclair’s mathematical comparison of volatility models and strategies far more than a retired engineer who had to constantly refer to his college textbooks. Hopefully Sinclair will publish another edition that’s dumbed down for people like me.I had hoped that Sinclair would explain how an options trader might use the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model to estimate future volatility. GARCH was developed in 1982 by Robert F. Engle, an economist and 2003 winner of the Nobel Memorial Prize for economics. Sinclair seems indifferent on whether GARCH has any value in trading options. His website, however, provides an excel version of GARCH that is better than others that I have found on the internet. Given GARCH’s popularity among quantitative economists, I would have expected that a book on “Volatility Trading” would say more about the model’s utility. Moreover, if Sinclair truly believes, “… that volatility is far more predictable than price … “ (page 65), he should have dedicated more of his book to the only model that predicts volatility.Chapter 2 discusses how volatility cones may be used to estimate historical volatility for different time periods. The discussion includes 5 cones each developed by a different group of investigators. Sinclair does not recommend one cone over another, but provides an excel sheet that will calculate all of them. I plotted five volatility cones for several different stocks and observed that two of the cones give consistently low values and the remaining three give consistently high values. The low values are about half the high values. Consequently there is wide range between the minimum low and the maximum high. For example, for the past year (March 3, 2016 – March 3, 2017) the historic volatility of Tesla (TSLA) has ranged from a minimum of 28% to a maximum of 66% while the 30-day cones show a range of 27% to 117%. Since the cones use overlapping data collected over four years, I believe that they capture erratic moves better than an annual range or a moving average. Also, the cones provide a maximum, minimum, quartile, and median volatilities for four different time periods. I found this information helpful in assessing (guessing?) where volatility might move.The text on hedging (Chapter 6) was informative particularly the discussion of the hedging strategy developed by Whalley and Wilmott. Sinclair claims that this strategy could be implemented in Excel, but his website does not provide a spreadsheet. Nor could I find one on the internet.In summary, this books reads more like a journal article than a text book. The reader must be familiar with the various volatility models and strategies that the book discusses; otherwise, the text will not make much sense. Those who are not mathematically inclined can read just the half-page summary that follows each chapter. However, I would not spend 75.00 for a 320-page book that has only about 15 pages of comprehensible text.

This is neither a "get rich quick" book nor an elementary introduction to options. The author assumes a fairly solid background in options, including the details of the Black-Scholes-Merton model, option Greeks, and familiarity with the payoffs of various common option strategies. This is is a survey of how to trade volatility as an asset class using options as a vehicle. The intermediate to advanced trader will find much to like here, while the novice may seek clearer, more detailed explanations elsewhere. I particularly liked the chapters on Money Management, Trade Evaluation, and The VIX. The chapter on Implied Volatility Dynamics was also good. The chapter on Psychology was yet another rehash of the same old material, but is worth reading. Sinclair, a PhD in theoretical physics, was obviously holding back on the level of his mathematical exposition, which while diminishing the appeal of the book somewhat, makes it accessible to a wider audience. Though lacking in some areas, I give it five stars for the clarity of the writing and the singular focus on volatility as the single most important determinant in option behavior.

The author is a physicist who is a trader by both have avocation and vocation. His analysis of all aspects of volatility is beautifully done and described. Yes, there is mathematics involved, but it is mostly from a practical, trader's perspective and not from a theoretical financial engineers perspective. Even if the math is too much for you, the text summarizes the key points and implications in words and with trading examples from the authors own experience.I am in intermediate trader with a scientific background. I will be going back to this text as my experience grows, to absorb the finer points presented here. It is not an easy read but a definitely worthwhile one.In addition, The last chapter is a summary of books, articles, and websites the author has found useful. I wish more authors of trading texts would do this for their readers: a very valuable feature.Anyone trading volatility or wishing to learn about volatility should have this book on their shelf and read.

I guess there are some very brilliant traders out there who really belong in Mensa. I believe Euan Sinclair is a physicist. There were so many formulas and equations to support theory that I must admit I finally realized I would need to spend $40,000 to go back to school for a PhD in order to follow what he says. I am sure it's brilliant. I made it to page 70. I may continue and see if I can glean something from this, but if you are looking for simple options ideas to trade and make money this might not be the easiest way to find out about it.

This book will not help you Improve your vol trading strategy. However, if you already have a profitable volatility strategy and want a formal education on the asset class, you might learn a couple things.

I recently finished a Master's in quant finance and was looking to improve my real-world knowledge of options and volatility trading. This book has been an excellent resource so far.It's well written and houses lots of useful information. Sinclair is thorough and honest in his presentation of ideas. The concepts flow in an organized way, where math is discussed in relation to different stages in the trading process.I'd recommend this to anyone interested in math and trading.

When I got the book, I was amazed at how small it was, and less than 300 pages! As I read through it, I was fascinated by Dr. Sinclair's analogies to the gambling world. He also gave some great references at the end of the book which included explanations of their uses for the aspiring option trader. Some of the math and discussions of distributions went over my head a bit, but the references he gave at the end should help me to understand those topics as well and piece everything together. I may do more research on those references and read the book again.

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