Literatures on Delta Neutral?

Discussion in 'Options' started by ozzie123, Oct 6, 2006.

  1. ozzie123

    ozzie123

    Hello guys,

    Does anyone know where I can find books or journals (or any kind of literatures) that covers delta neutral in options?

    I'm doing some research on the subject.

    Thanks!
     
  2. MTE

    MTE

    "Delta neutral" is a bit too general to give you anything meaningful. That is, most option books discuss "delta neutral".

    What exactly are you looking for? The definition of delta neutral, delta neutral trading, neutralizing delta?
     
  3. My guess is he is probably looking for the books with a detailed explanation of the advanced topics.
     
  4. ozzie123

    ozzie123

    Spot on ;)

    I'm looking for a book that discuss this topic in-depth. I already knows the basic of the subject from Fontanills and McMillan books but I'd like to dig it deeper.

    Anyone?
     
  5. MTE

    MTE

    Check out "Option market making" by Baird.
     
  6. ssmegner

    ssmegner

    You need to find a good mentor that is an ex market maker / floor trader. No book is going to teach you how to properly trade delta neutral. Avoid any author that is not an ex-MM on the floor. There are many delta neutral strategies but delta neutral becomes delta non-neutral as soon as the market moves. Any discussion of delta neutral should also discuss gamma risk and how to handle that or you will get in deep doo-doo and not know how to handle it.
     
  7. I found the writing pretty dense, but I learned more from his stuff than any other book.

    http://www.riskdoctor.com/
    _Options Trading: The Hidden Reality_

    If you hunt around on the site a bit, I believe you can download the book for free in PDF form (but it's not printable). It's $45 if you want to buy the printable PDF.
     
  8. dave_s

    dave_s

    A good discussion of Delta Neutral trading can be found in a
    classic but dated text:

    Natenberg "Option Pricing and Volatility"