Option Gem

I thought I'd share this pdf I found while searching for some reading on trading vol skew. This covers a lot of different topics and I haven't read the whole thing yet but it seems pretty fantastic and very informative. It would be awesome if others could also post some more reading gems about options that they found useful.

http://cfe.cboe.com/education/TradingVolatility.pdf



Matt

 

that has floated around before.. i've read it... good stuff...

 

could not find book form by this author.

 

Not a specific link, but you can find a number of gems (that cover e.g., variance swaps, like in your link) by google searching for:

goldman sachs quantitative strategies research notes pdf

One result in particular, which is mentioned in the CBOE's white paper on calculation of the VIX is:
http://www.ederman.com/new/docs/gs-volatility_swaps.pdf

 

interesting.. thanks

 

Here's a classic one in a different vein.

http://www.riskdoctor.com/Downloads/OTTHRLITE.pdf

 

In my years at ET, one of my all time favs, from exasperated atticus, "has it occurred to you guys to learn how to trade?"

 

What exactly do you mean by that ?

 

Heh. Good one.

 

I was being serious :s