Option Income Strategy Trade Filters

Option Income Strategy Trade Filters

Author: Brian Johnson

Publisher:

Published: 2016-11

Total Pages: 110

ISBN-13: 9780996182317

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Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. His new in-depth (100+ page) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy (OIS) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics. The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided. The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations. Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade (including losing trades). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters. Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders. Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios. Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters. The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter (OISUF). The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.


Book Synopsis Option Income Strategy Trade Filters by : Brian Johnson

Download or read book Option Income Strategy Trade Filters written by Brian Johnson and published by . This book was released on 2016-11 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brian Johnson, a professional investment manager with many years of trading and teaching experience, is the author of two pioneering books on options: 1) Option Strategy Risk / Return Ratios: A Revolutionary New Approach to Optimizing, Adjusting, and Trading Any Option Income Strategy, and 2) Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements. His new in-depth (100+ page) article, Option Income Strategy Trade Filters, represents the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy (OIS) trades. His research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules. The results for each of the 15,000 plus trades were scaled to a constant dollar amount at risk, to ensure all trades were equally-weighted when calculating the performance metrics. The back-test results were all based on actual option prices and are summarized in this article for a selection of back-testing filters, making this one of the most comprehensive studies of option income strategy results ever published. The results of over 100 different back-tests are provided. The OIS strategy back-test results for ten different types of filters are evaluated in this article, including unique filter combinations that delivered exceptional results. A custom market-edge hypothesis was created in advance for each filter type, which was then used to evaluate the filter-specific results. This critical step helped identify robust, exploitable relationships, rather than spurious correlations. Several of the resulting filters generated over 95% winning trades, with average returns of over six percent per trade (including losing trades). The ratios of cumulative gains to cumulative losses were over 20 to 1 for a few of the best performing filters. Option Income Strategy Trade Filters is written in a clear, understandable fashion and provides detailed examples of how to create and test market-edge hypotheses using the recent advances in back-testing software. Very few formulas were included. As a result, the material in the article should be accessible to all option traders. Useful for traders with a wide range of option trading experience, this practical guide begins with a detailed review of option income strategies, including basic examples that provide the requisite foundation for subsequent chapters. Portions of this crucial background material also appeared in Brian Johnson's first book: Option Strategy Risk / Return Ratios. Chapter 2 includes a comprehensive description of the option income strategy, position model, and trade plan used to generate the back-test data. Every entry and exit rule is explained in detail, including actual graphical examples. The performance metrics for the 15,434 unfiltered OIS trades are summarized at the end of this chapter, which provide a performance benchmark for evaluating the effectiveness of the trade filters introduced in the next three chapters. The trade filters are grouped by classification, with a chapter devoted to each class or type. The market-edge hypotheses and corresponding results for trend filters are analyzed in Chapter 3. Unlike trend filters, discriminating filters exclude an increasing percentage of trades as the filter condition or threshold becomes more extreme or restrictive. The discriminating filter market-edge hypotheses and results are analyzed in Chapter 4. Chapter 5 is devoted entirely to a very unique and powerful example of a discriminating filter: the OIS Universal Filter (OISUF). The final chapter examines practical considerations and prospective applications of trade filters and other resources in managing option income strategies in actual market conditions.

Option Strategy Hedging and Risk Management

Option Strategy Hedging and Risk Management

Author: Brian Johnson

Publisher:

Published: 2017-03-25

Total Pages: 128

ISBN-13: 9780996182324

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Brian Johnson, an investment professional with over 30 years of experience, is the author of three pioneering books on options: 1) Option Strategy Risk / Return Ratios, 2) Exploiting Earnings Volatility, and 3) Option Income Strategy Trade Filters. His new in-depth (80+ page) article, Option Strategy Hedging and Risk Management, presents a comprehensive analytical framework and accompanying spreadsheet tools for managing and hedging option strategy risk. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these practical techniques to hedge the unique and often overlooked risks associated with trading option strategies. These revolutionary new tools can be applied to any option strategy, in any market environment. Option Strategy Hedging and Risk Management is written in a clear, easy-to-understand fashion and explains how to apply market-specific hedging techniques, using several different hedging vehicles. Created especially for readers who have some familiarity with options, this practical guide begins with a review of position sizing, including a detailed analysis of the implicit assumptions and embedded risks that could have disastrous consequences, particularly for option traders. Chapter 2 includes a comprehensive description and analysis of the actual option strategy, position model, and trade rules that are used to create real-world option strategy hedges in the subsequent chapters. This is followed by a thorough explanation and a concrete example of how to use futures to hedge option strategy exit risk. Surprisingly, futures are not well understood in the option community and very few traders employ this simple, effective, and virtually free hedging tool. The next two chapters present a common analytical and hedging framework that is used to identify the most cost-effective hedging solutions for an actual option strategy in a real-world market environment. The process used to identify the lowest-cost hedging solution using actual VIX call options is explained in Chapter 4, followed by the same hedging analysis using put options on the underlying security in Chapter 5. All hedging examples in the article use real-time market prices and actual analytical results. Proprietary research is included in the article to provide validation for the analytical framework. The article was written to be accessible to a wide audience, so very few mathematical formulas are provided in the text. However, several important formulas are included to facilitate the understanding of important concepts, and to provide further research opportunities for inquisitive traders. The article also includes thirty separate graphs and tables to illustrate how the tools can be used in practice. Perhaps most important, Option Strategy Hedging and Risk Management includes a download link to the accompanying Excel spreadsheet with macros designed to perform all of the position sizing and hedging calculations in the article. Chapters 1, 3, 4, and 5 all have their own dedicated tabs in the spreadsheet. The data from the article is included in the spreadsheet, which allows the reader to reproduce all of the examples from the article. All of the spreadsheet functions are automated through the use of push-button macros, making spreadsheet operation as simple as possible. Finally, Chapter 6 examines practical considerations and prospective applications of these innovative new tools.


Book Synopsis Option Strategy Hedging and Risk Management by : Brian Johnson

Download or read book Option Strategy Hedging and Risk Management written by Brian Johnson and published by . This book was released on 2017-03-25 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brian Johnson, an investment professional with over 30 years of experience, is the author of three pioneering books on options: 1) Option Strategy Risk / Return Ratios, 2) Exploiting Earnings Volatility, and 3) Option Income Strategy Trade Filters. His new in-depth (80+ page) article, Option Strategy Hedging and Risk Management, presents a comprehensive analytical framework and accompanying spreadsheet tools for managing and hedging option strategy risk. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these practical techniques to hedge the unique and often overlooked risks associated with trading option strategies. These revolutionary new tools can be applied to any option strategy, in any market environment. Option Strategy Hedging and Risk Management is written in a clear, easy-to-understand fashion and explains how to apply market-specific hedging techniques, using several different hedging vehicles. Created especially for readers who have some familiarity with options, this practical guide begins with a review of position sizing, including a detailed analysis of the implicit assumptions and embedded risks that could have disastrous consequences, particularly for option traders. Chapter 2 includes a comprehensive description and analysis of the actual option strategy, position model, and trade rules that are used to create real-world option strategy hedges in the subsequent chapters. This is followed by a thorough explanation and a concrete example of how to use futures to hedge option strategy exit risk. Surprisingly, futures are not well understood in the option community and very few traders employ this simple, effective, and virtually free hedging tool. The next two chapters present a common analytical and hedging framework that is used to identify the most cost-effective hedging solutions for an actual option strategy in a real-world market environment. The process used to identify the lowest-cost hedging solution using actual VIX call options is explained in Chapter 4, followed by the same hedging analysis using put options on the underlying security in Chapter 5. All hedging examples in the article use real-time market prices and actual analytical results. Proprietary research is included in the article to provide validation for the analytical framework. The article was written to be accessible to a wide audience, so very few mathematical formulas are provided in the text. However, several important formulas are included to facilitate the understanding of important concepts, and to provide further research opportunities for inquisitive traders. The article also includes thirty separate graphs and tables to illustrate how the tools can be used in practice. Perhaps most important, Option Strategy Hedging and Risk Management includes a download link to the accompanying Excel spreadsheet with macros designed to perform all of the position sizing and hedging calculations in the article. Chapters 1, 3, 4, and 5 all have their own dedicated tabs in the spreadsheet. The data from the article is included in the spreadsheet, which allows the reader to reproduce all of the examples from the article. All of the spreadsheet functions are automated through the use of push-button macros, making spreadsheet operation as simple as possible. Finally, Chapter 6 examines practical considerations and prospective applications of these innovative new tools.

The Option Trader Handbook

The Option Trader Handbook

Author: George Jabbour

Publisher: John Wiley & Sons

Published: 2010-01-06

Total Pages: 402

ISBN-13: 0470579978

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Strategies, tools, and solutions for minimizing risk and volatility in option trading An intermediate level trading book, The Option Trader Handbook, Second Edition provides serious traders with strategies for managing and adjusting their market positions. This Second Edition features new material on implied volatility; Delta and Theta, and how these measures can be used to make better trading decisions. The book presents the art of making trade adjustments in a logical sequence, starting with long and short stock positions; moving on to basic put and call positions; and finally discussing option spreads and combinations. Covers different types of underlying positions and discusses all the possible adjustments that can be made to that position Offers important insights into more complex option spreads and combinations A timely book for today's volatile markets Intended for both stock and option traders, this book will help you improve your overall trading skills and performance.


Book Synopsis The Option Trader Handbook by : George Jabbour

Download or read book The Option Trader Handbook written by George Jabbour and published by John Wiley & Sons. This book was released on 2010-01-06 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Strategies, tools, and solutions for minimizing risk and volatility in option trading An intermediate level trading book, The Option Trader Handbook, Second Edition provides serious traders with strategies for managing and adjusting their market positions. This Second Edition features new material on implied volatility; Delta and Theta, and how these measures can be used to make better trading decisions. The book presents the art of making trade adjustments in a logical sequence, starting with long and short stock positions; moving on to basic put and call positions; and finally discussing option spreads and combinations. Covers different types of underlying positions and discusses all the possible adjustments that can be made to that position Offers important insights into more complex option spreads and combinations A timely book for today's volatile markets Intended for both stock and option traders, this book will help you improve your overall trading skills and performance.

Option Strategy Risk / Return Ratios

Option Strategy Risk / Return Ratios

Author: Brian Johnson

Publisher:

Published: 2014-04-22

Total Pages: 206

ISBN-13: 9780692028292

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Written by Brian Johnson, a professional investment manager with many years of trading and teaching experience, Option Strategy Risk/Return Ratios introduces a revolutionary new framework for evaluating, comparing, adjusting, and optimizing option income strategies. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these tools specifically to manage option income strategies. Unlike crude rules-of-thumb, these revolutionary new tools can be applied to any option income strategy, on any underlying security, in any market environment. Risk and return are timeless concepts in finance and trading, but this is the first time both concepts have been integrated successfully into a consistent approach for managing option income strategies. Option Strategy Risk/Return Ratios is written in a clear, easy-to-understand fashion and explains how to apply risk/return ratios to condors, butterflies, calendars, double diagonals, and even hybrid income strategies. Created especially for investors who have some familiarity with options, this practical guide begins with an examination of option income strategies and is followed by a review of the option Greeks, the building blocks of option risk management. Next, a critique of common adjustment triggers lays the foundation for a detailed explanation of these exciting new tools: option strategy risk/return ratios. Each option income strategy is explained, evaluated, and ranked using these new tools with complete descriptions and graphical examples. The book includes over sixty separate graphs and tables to illustrate how risk/return ratios behave using specific strategy examples in actual market conditions. The risk/return ratios are then used to introduce a new hybrid strategy that combines the best characteristics of the other income strategies. Finally, the last chapter examines practical considerations and prospective applications of these innovative new tools. Not only are the formulas provided for every calculation, but each risk/return ratio is explained intuitively and depicted graphically. For traders who are not mathematically inclined, Option Strategy Risk/Return Ratios also includes a link to an Excel spreadsheet with macros designed to calculate all of the risk/return ratios introduced in the book. About the Author: Brian Johnson designed, programmed, and implemented the first return sensitivity based parametric framework actively used to control risk in fixed income portfolios. He further extended the capabilities of this approach by designing and programming an integrated series of option valuation, prepayment, and optimization models. Based on this technology, Mr. Johnson founded Lincoln Capital Management's fixed income index business, where he ultimately managed over $13 billion in assets for some of the largest and most sophisticated institutional clients in the U.S. and around the globe. He later served as the President of a financial consulting and software development firm, designing artificial intelligence-based forecasting and risk management systems for institutional investment managers. Mr. Johnson is now a full-time proprietary trader in options, futures, stocks, and ETFs primarily using algorithmic trading strategies. In addition to his professional investment experience, he also designed and taught courses in financial derivatives for both MBA and undergraduate business programs. He has written articles for the Financial Analysts Journal, Active Trader, and Seeking Alpha and he regularly shares his trading insights and research ideas as the editor of www.TraderEdge.Net. Mr. Johnson holds a B.S. degree in finance with high honors from the University of Illinois at Urbana-Champaign and an MBA degree with a specialization in Finance from the University of Chicago Booth School of Business.


Book Synopsis Option Strategy Risk / Return Ratios by : Brian Johnson

Download or read book Option Strategy Risk / Return Ratios written by Brian Johnson and published by . This book was released on 2014-04-22 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by Brian Johnson, a professional investment manager with many years of trading and teaching experience, Option Strategy Risk/Return Ratios introduces a revolutionary new framework for evaluating, comparing, adjusting, and optimizing option income strategies. Drawing on his extensive background in option-pricing and on decades of experience in investment management and trading, Brian Johnson developed these tools specifically to manage option income strategies. Unlike crude rules-of-thumb, these revolutionary new tools can be applied to any option income strategy, on any underlying security, in any market environment. Risk and return are timeless concepts in finance and trading, but this is the first time both concepts have been integrated successfully into a consistent approach for managing option income strategies. Option Strategy Risk/Return Ratios is written in a clear, easy-to-understand fashion and explains how to apply risk/return ratios to condors, butterflies, calendars, double diagonals, and even hybrid income strategies. Created especially for investors who have some familiarity with options, this practical guide begins with an examination of option income strategies and is followed by a review of the option Greeks, the building blocks of option risk management. Next, a critique of common adjustment triggers lays the foundation for a detailed explanation of these exciting new tools: option strategy risk/return ratios. Each option income strategy is explained, evaluated, and ranked using these new tools with complete descriptions and graphical examples. The book includes over sixty separate graphs and tables to illustrate how risk/return ratios behave using specific strategy examples in actual market conditions. The risk/return ratios are then used to introduce a new hybrid strategy that combines the best characteristics of the other income strategies. Finally, the last chapter examines practical considerations and prospective applications of these innovative new tools. Not only are the formulas provided for every calculation, but each risk/return ratio is explained intuitively and depicted graphically. For traders who are not mathematically inclined, Option Strategy Risk/Return Ratios also includes a link to an Excel spreadsheet with macros designed to calculate all of the risk/return ratios introduced in the book. About the Author: Brian Johnson designed, programmed, and implemented the first return sensitivity based parametric framework actively used to control risk in fixed income portfolios. He further extended the capabilities of this approach by designing and programming an integrated series of option valuation, prepayment, and optimization models. Based on this technology, Mr. Johnson founded Lincoln Capital Management's fixed income index business, where he ultimately managed over $13 billion in assets for some of the largest and most sophisticated institutional clients in the U.S. and around the globe. He later served as the President of a financial consulting and software development firm, designing artificial intelligence-based forecasting and risk management systems for institutional investment managers. Mr. Johnson is now a full-time proprietary trader in options, futures, stocks, and ETFs primarily using algorithmic trading strategies. In addition to his professional investment experience, he also designed and taught courses in financial derivatives for both MBA and undergraduate business programs. He has written articles for the Financial Analysts Journal, Active Trader, and Seeking Alpha and he regularly shares his trading insights and research ideas as the editor of www.TraderEdge.Net. Mr. Johnson holds a B.S. degree in finance with high honors from the University of Illinois at Urbana-Champaign and an MBA degree with a specialization in Finance from the University of Chicago Booth School of Business.

How To Make Money Trading Options

How To Make Money Trading Options

Author: Balkrishna M. Sadekar

Publisher: Vision Books

Published: 2018-11-05

Total Pages: 264

ISBN-13: 9386268264

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How to Make Money Trading Options without Worrying about the Market's Direction This is a pioneering book on using options to generate regular income through non-directional trading, namely making money without really having to predict the underlying stock's or market's direction. It reveals and explains: ● The concept and nature of non-directional options trading ● Why non-directional trading doesn't require much analysis of charts or price patterns, etc. ● How to construct non-directional option trading strategies ● How non-directional option strategies can easily be repeated to produce a monthly paycheck for the trader ● How to fine tune these strategies to suit your trading style. The centerpiece of the book is the thorough exposition and analysis of a powerful, tested non-directional options trading strategy. The author dissects the strategy with the help of real life examples and 150+ charts, highlighting how to manage non-directional trades through various stages and situations. The book will equally benefit directional traders through its lucid explanation of popular options strategies of leveraging, hedging, and speculation – and even for buying stocks cheaper by using options. Plus, of course, it will enable options traders to diversify and generate income through non-directional trading as well.


Book Synopsis How To Make Money Trading Options by : Balkrishna M. Sadekar

Download or read book How To Make Money Trading Options written by Balkrishna M. Sadekar and published by Vision Books. This book was released on 2018-11-05 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to Make Money Trading Options without Worrying about the Market's Direction This is a pioneering book on using options to generate regular income through non-directional trading, namely making money without really having to predict the underlying stock's or market's direction. It reveals and explains: ● The concept and nature of non-directional options trading ● Why non-directional trading doesn't require much analysis of charts or price patterns, etc. ● How to construct non-directional option trading strategies ● How non-directional option strategies can easily be repeated to produce a monthly paycheck for the trader ● How to fine tune these strategies to suit your trading style. The centerpiece of the book is the thorough exposition and analysis of a powerful, tested non-directional options trading strategy. The author dissects the strategy with the help of real life examples and 150+ charts, highlighting how to manage non-directional trades through various stages and situations. The book will equally benefit directional traders through its lucid explanation of popular options strategies of leveraging, hedging, and speculation – and even for buying stocks cheaper by using options. Plus, of course, it will enable options traders to diversify and generate income through non-directional trading as well.

Exploiting Earnings Volatility

Exploiting Earnings Volatility

Author: Brian Johnson

Publisher:

Published: 2015-04-08

Total Pages: 256

ISBN-13: 9780996182300

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Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2) calculate historical levels of realized and implied earnings volatility, 3) develop strategies to exploit divergences between the two, and 4) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.


Book Synopsis Exploiting Earnings Volatility by : Brian Johnson

Download or read book Exploiting Earnings Volatility written by Brian Johnson and published by . This book was released on 2015-04-08 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exploiting Earnings Volatility introduces an innovative new framework for evaluating, optimizing, and trading option strategies to profit from earnings-related pricing anomalies. Leveraging his extensive background in option-pricing and decades of experience in investment management and trading, Brian Johnson developed this inventive approach specifically to design and manage option earnings strategies. In an Active Trader article titled "Modeling Implied Volatility," Mr. Johnson introduced a formula for aggregating discrete volatility measures into a single metric that can be used with conventional option pricing formulas to accurately model implied volatility before and after earnings announcements. The practical application of this formula has profound implications for option trading and strategy development. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2) calculate historical levels of realized and implied earnings volatility, 3) develop strategies to exploit divergences between the two, and 4) calculate expected future levels of implied volatility before and after earnings announcements. Furthermore, Exploiting Earnings Volatility also includes two Excel spreadsheets. The Basic spreadsheet employs minimal input data to estimate current and historical earnings volatility and utilizes those estimates to forecast future levels of implied volatility around earnings announcements. The Integrated spreadsheet includes a comprehensive volatility model that simultaneously integrates and quantifies every component of real-world implied volatility, including earnings volatility. This powerful tool allows the user to identify the precise level of over or undervaluation of every option in the matrix and to accurately forecast future option prices and option strategy profits and losses before and after earnings announcements. The Integrated spreadsheet even includes an optimization tool designed to identify the option strategy with the highest level of return per unit of risk. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of "True Greeks," accurate measures of risk and return sensitivity that reflect the real-world behavior of options. New option Greeks that are specific to earnings announcements are also introduced. Four chapters explain how to use the Basic and Integrated spreadsheets and two chapters document trade examples that use actual market data and analytical results from both spreadsheets to design a unique option strategy to exploit earnings-related pricing and volatility anomalies. The final chapter examines practical considerations and prospective applications of these innovative new tools. This book introduces a new analytical framework that may sound complicated at first, but is really quite intuitive. The formulas presented in the book are limited to basic high-school algebra. Mathematical relationships are also explained intuitively and depicted graphically. Most important, you will not need to perform any of these calculations manually. Exploiting Earnings Volatility includes a link to Excel spreadsheets that perform all of the calculations described in the book. The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. The aggregate volatility formula is relatively simple, but it has profound implications. When integrated with a real-world volatility model, it offers unique insights into earnings volatility, price behavior, option strategy construction, and prospective value-added opportunities.

The Complete Book of Option Spreads and Combinations

The Complete Book of Option Spreads and Combinations

Author: Scott Nations

Publisher:

Published: 2014

Total Pages: 254

ISBN-13: 9781118819326

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"Educational resource and reference guide for using option spreads and other sophisticated option strategies. Covers vertical spreads, calendar spreads, ratio spreads, diagonal spreads, butterflys, iron butterflys, straddles, strangles, condors, and iron condors. Describes how strategies are impacted by movements in the underlying market, implied volatility, and time decay. Identifies conditions where each strategy performs well"--


Book Synopsis The Complete Book of Option Spreads and Combinations by : Scott Nations

Download or read book The Complete Book of Option Spreads and Combinations written by Scott Nations and published by . This book was released on 2014 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Educational resource and reference guide for using option spreads and other sophisticated option strategies. Covers vertical spreads, calendar spreads, ratio spreads, diagonal spreads, butterflys, iron butterflys, straddles, strangles, condors, and iron condors. Describes how strategies are impacted by movements in the underlying market, implied volatility, and time decay. Identifies conditions where each strategy performs well"--

The Options Trading Strategies Handbook

The Options Trading Strategies Handbook

Author: Vignesh MUTHUMOHAN

Publisher:

Published: 2021-12-26

Total Pages: 128

ISBN-13:

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Discover the professional trader''s insider option strategies that make a consistent profit. Naked option buying or naked option selling is a losing game most retailers play, some get lucky and most will not, this is why more than 90% of the traders lose money in options trading, let''s learn how we can be in the top 10% of successful traders who consistently beat market returns. If you''ve bought this book already, you''ve taken a big step forward to equip yourself in options trading, hopefully, you bought it before losing a significant amount of money in the market. If you are someone who is thinking this book is expensive, please don''t think about options trading or any kind of trading for that matter on a live account yet, don''t be offended just hear me out. You''re probably having a small capital and can''t afford to shell out a couple of dollars to learn things, this means when you make any losses in options trading it may affect you psychologically, having this fear by itself prevents you from making any profits. Options trading requires fair capital to make money consistently and make adjustments to trades when things go wrong. This is a skill that can completely change your life and requires investing your time, money, and efforts to learn things before you start trading and make a fortune out of it, is it possible for a common man? Absolutely. Think about becoming a doctor, engineer, or any kind of professional, we pay tuition fees, spend a lot of time reading books, spend years practicing before actually starting to work, or make any money. But sadly no one treats options trading that way and blows up multiple trading accounts. Options trading is a high-risk high-reward game, despite its potential to make you a fortune over time most traders fail to even be profitable. This calls for a need to learn options trading strategies, different dynamics of options trading, by doing so we''ll be able to manage risk, maximize profitability, make a consistent return, handle emotions, grow your trading account over time. This is not a get rich quick scheme kind of book, so if you''re someone who is in looking to become a millionaire overnight this is not a place for you, and best of luck. If you''re someone who is trying to make consistent income from the market, stick around and we''ll learn ways to do that. After completing this book you will be able to: Understand basics of options and how they work practically Understand different jargon used in the options trading Understand the different types of option greeks like Delta, Theta, Vega, Gamma, and Rho. Understand how option greeks impact different option strategies Understand what options strategies are and why they are important Understand different types of option spreads like credit spreads, debit spreads, vertical spreads, ratio spreads, calendar spreads, diagonal spreads, etc. Understand different types of options strategies like an iron condor, straddle, strangle, covered call, butterflies, jade or big lizard, ladder, collar, batman, etc. Understand the advantages and disadvantages of an option buyer and an option seller Understand how advantages can be amplified and disadvantages can be minimized using option strategies Understand how to define risk, reward, probability of a trade. Understand the basics of option synthetics Understand the basics of risk management techniques Understand the basics of option adjustment techniques Apply all the understandings into options trading Don''t skip any chapters before progressing to the next unless you''re an expert, chapters are structured in such a way that earlier topics are used in later parts of the book. This is the first book in this options trading series so follow the publisher for the continuation and more life-changing content.


Book Synopsis The Options Trading Strategies Handbook by : Vignesh MUTHUMOHAN

Download or read book The Options Trading Strategies Handbook written by Vignesh MUTHUMOHAN and published by . This book was released on 2021-12-26 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the professional trader''s insider option strategies that make a consistent profit. Naked option buying or naked option selling is a losing game most retailers play, some get lucky and most will not, this is why more than 90% of the traders lose money in options trading, let''s learn how we can be in the top 10% of successful traders who consistently beat market returns. If you''ve bought this book already, you''ve taken a big step forward to equip yourself in options trading, hopefully, you bought it before losing a significant amount of money in the market. If you are someone who is thinking this book is expensive, please don''t think about options trading or any kind of trading for that matter on a live account yet, don''t be offended just hear me out. You''re probably having a small capital and can''t afford to shell out a couple of dollars to learn things, this means when you make any losses in options trading it may affect you psychologically, having this fear by itself prevents you from making any profits. Options trading requires fair capital to make money consistently and make adjustments to trades when things go wrong. This is a skill that can completely change your life and requires investing your time, money, and efforts to learn things before you start trading and make a fortune out of it, is it possible for a common man? Absolutely. Think about becoming a doctor, engineer, or any kind of professional, we pay tuition fees, spend a lot of time reading books, spend years practicing before actually starting to work, or make any money. But sadly no one treats options trading that way and blows up multiple trading accounts. Options trading is a high-risk high-reward game, despite its potential to make you a fortune over time most traders fail to even be profitable. This calls for a need to learn options trading strategies, different dynamics of options trading, by doing so we''ll be able to manage risk, maximize profitability, make a consistent return, handle emotions, grow your trading account over time. This is not a get rich quick scheme kind of book, so if you''re someone who is in looking to become a millionaire overnight this is not a place for you, and best of luck. If you''re someone who is trying to make consistent income from the market, stick around and we''ll learn ways to do that. After completing this book you will be able to: Understand basics of options and how they work practically Understand different jargon used in the options trading Understand the different types of option greeks like Delta, Theta, Vega, Gamma, and Rho. Understand how option greeks impact different option strategies Understand what options strategies are and why they are important Understand different types of option spreads like credit spreads, debit spreads, vertical spreads, ratio spreads, calendar spreads, diagonal spreads, etc. Understand different types of options strategies like an iron condor, straddle, strangle, covered call, butterflies, jade or big lizard, ladder, collar, batman, etc. Understand the advantages and disadvantages of an option buyer and an option seller Understand how advantages can be amplified and disadvantages can be minimized using option strategies Understand how to define risk, reward, probability of a trade. Understand the basics of option synthetics Understand the basics of risk management techniques Understand the basics of option adjustment techniques Apply all the understandings into options trading Don''t skip any chapters before progressing to the next unless you''re an expert, chapters are structured in such a way that earlier topics are used in later parts of the book. This is the first book in this options trading series so follow the publisher for the continuation and more life-changing content.

Profiting from Weekly Options

Profiting from Weekly Options

Author: Robert J. Seifert

Publisher: John Wiley & Sons

Published: 2015-02-24

Total Pages: 276

ISBN-13: 1118980581

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Generate consistent income with a smart weekly options strategy Profiting From Weekly Options is a clear, practical guide to earning consistent income from trading options. Rather than confuse readers with complex math formulas, this book concentrates on the process of consistently profiting from weekly option serials by utilizing a series of simple trades. Backed by the author's thirty years of experience as a professional option trader and market maker, these ideas and techniques allow active individual traders and investors to generate regular income while mitigating risk. Readers will learn the fundamental mechanisms that drive weekly options, the market forces that affect them, and the analysis techniques that help them manage trades. Weekly options are structured like conventional monthly options, but they expire each week. Interest has surged since their inception three years ago, and currently accounts for up to thirty percent of total option volume, traded on all major indices as well as high volume stocks and ETFs. This book is a guide to using weekly options efficiently and effectively as income-generating investments, with practical guidance and expert advice on strategy and implementation. Discover the cycles and market dynamics at work Learn essential fundamental and technical analysis techniques Understand the option trading lexicon and lifecycle Gain confidence in managing trades and mitigating risk Weekly options can be integrated with any existing options strategy, but they are particularly conducive to credit spread strategies and short-term trades based on technical patterns. For investors looking for an easy-in/easy-out method of generating consistent income, Profiting From Weekly Options provides the wisdom of experience with practical, actionable advice.


Book Synopsis Profiting from Weekly Options by : Robert J. Seifert

Download or read book Profiting from Weekly Options written by Robert J. Seifert and published by John Wiley & Sons. This book was released on 2015-02-24 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Generate consistent income with a smart weekly options strategy Profiting From Weekly Options is a clear, practical guide to earning consistent income from trading options. Rather than confuse readers with complex math formulas, this book concentrates on the process of consistently profiting from weekly option serials by utilizing a series of simple trades. Backed by the author's thirty years of experience as a professional option trader and market maker, these ideas and techniques allow active individual traders and investors to generate regular income while mitigating risk. Readers will learn the fundamental mechanisms that drive weekly options, the market forces that affect them, and the analysis techniques that help them manage trades. Weekly options are structured like conventional monthly options, but they expire each week. Interest has surged since their inception three years ago, and currently accounts for up to thirty percent of total option volume, traded on all major indices as well as high volume stocks and ETFs. This book is a guide to using weekly options efficiently and effectively as income-generating investments, with practical guidance and expert advice on strategy and implementation. Discover the cycles and market dynamics at work Learn essential fundamental and technical analysis techniques Understand the option trading lexicon and lifecycle Gain confidence in managing trades and mitigating risk Weekly options can be integrated with any existing options strategy, but they are particularly conducive to credit spread strategies and short-term trades based on technical patterns. For investors looking for an easy-in/easy-out method of generating consistent income, Profiting From Weekly Options provides the wisdom of experience with practical, actionable advice.

The Bible of Options Strategies

The Bible of Options Strategies

Author: Guy Cohen

Publisher: Pearson Education

Published: 2005

Total Pages: 395

ISBN-13: 0131710664

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Presents today's most effective strategies for trading options :how and why they work, when they're appropriate, when they're inappropriate, and how to use each one responsibly and with confidence. This book will help you identify and implement the optimal strategy for every opportunity, trading environment, and goal.


Book Synopsis The Bible of Options Strategies by : Guy Cohen

Download or read book The Bible of Options Strategies written by Guy Cohen and published by Pearson Education. This book was released on 2005 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents today's most effective strategies for trading options :how and why they work, when they're appropriate, when they're inappropriate, and how to use each one responsibly and with confidence. This book will help you identify and implement the optimal strategy for every opportunity, trading environment, and goal.