Trading Options at Expiration: Strategies and Models for Winning the Endgame - Hardcover

Augen, Jeff

Hardcover

ISBN 10: 0135058724 ISBN 13: 9780135058725

Publisher: Financial Times/ Prentice Hall, 2009

Synopsis

Equity and index options expire on the third Friday of each month. As that moment approaches, unusual market forces create option price distortions, rarely understood by most investors. These distortions give rise to outstanding trading opportunities with enormous profit potential. In Trading Options at Expiration: Strategies and Models for Winning the Endgame, leading options trader Jeff Augen explores this extraordinary opportunity with never-before published statistical models, minute-by-minute pricing analysis, and optimized trading strategies that regularly deliver returns of 40%-300% per trade. You'll learn how to structure positions that profit from end-of-contract price distortions with remarkably low risk. These strategies don't rely on your ability to pick stocks or predict market direction and they only require one or two days of market exposure per month. Augen also discusses: * Three powerful end-of-cycle effects not comprehended by contemporary pricing models * Trading only one or two days each month and avoiding overnight exposure * Leveraging the surprising power of expiration-day pricing dynamics If you're looking for an innovative new way to reignite your returns no matter where the markets move, you've found it in Trading Options at Expiration. "Learn and profit from Jeff Augen's book: It clearly explains how to take advantage of market inefficiencies in collapsing implied volatility, effects of strike price, and time decay. A must-read for individuals who are options oriented." --Ralph J. Acampora, CMT, Director of Technical Analysis Studies, New York Institute of Finance "A fantastic, insightful book full of meticulously compiled statistics about anomalies that surround option expiration. Not only does Augen present a set of effective trading strategies to capitalize on these anomalies, he walks through the performance of each across several expirations. His advice is practical and readily applicable: He outlines common pitfalls, gives guidance

About this title

From the Back Cover:

“Learn and profit from Jeff Augen’s book: It clearly explains how to take advantage of market inefficiencies in collapsing implied volatility, effects of strike price, and time decay. A must-read for individuals who are options oriented.”

--Ralph J. Acampora, CMT, Director of Technical Analysis Studies, New York Institute of Finance

 

“A fantastic, insightful book full of meticulously compiled statistics about anomalies that surround option expiration. Not only does Augen present a set of effective trading strategies to capitalize on these anomalies, he walks through the performance of each across several expirations. His advice is practical and readily applicable: He outlines common pitfalls, gives guidance on timing your executions, and even includes code that can be used to perform the same calculations he does in the text. A thoroughly enjoyable read that will give you a true edge in your option trading.”

--Alexis Goldstein, Vice President, Equity Derivatives Business Analyst

 

“Mr. Augen makes a careful and systematic study of option prices at expiration. His translation of price behavior into trading strategy is intriguing work, and the level of detail is impressive.”

--Dr. Robert Jennings, Professor of Finance, Indiana University Kelly School of Business

 

“This book fills a gap in the vast amount of literature on derivatives trading and stands out for being extremely well written, clear, concise, and very low on jargon--perfect for traders looking to evolve their equity option strategies.”

--Nazzaro Angelini, Principal, Spearpoint Capital

 

“Instead of considering macro-time strategies that take weeks to unfold, Jeff Augen is thinking micro here--hours or days--specifically the days or hours right before expiration, and harnessing grinding, remorseless options decay for profit. He builds a compelling case for the strategy here. The concept of using ratio spreads plus risk management for as brief a period as one day--open to close--to capture expiring premium is worth the price of admission alone. A superb follow-up to his first book. Must-read for the serious options student.”

--John A. Sarkett, Option Wizard software

 

Equity and index options expire on the third Friday of each month. As that moment approaches, unusual market forces create option price distortions, rarely understood by most investors. These distortions give rise to outstanding trading opportunities with enormous profit potential. In Trading Options at Expiration, leading options trader Jeff Augen explores this extraordinary opportunity with never-before published statistical models, minute-by-minute pricing analysis, and optimized trading strategies that regularly deliver returns of 40%-300% per trade.

 

You’ll learn how to structure positions that profit from end-of-contract price distortions with remarkably low risk. These strategies don’t rely on your ability to pick stocks or predict market direction and they only require one or two days of market exposure per month.

 

If you’re looking for an innovative new way to reignite your returns no matter where the markets move, you’ve found it in Trading Options at Expiration.

 

• Why traditional option pricing calculations always break down in the final days before expiration
  Three powerful end-of-cycle effects not comprehended by contemporary pricing models
•  Reducing your risk by reducing your market exposure
  Trading only one or two days each month and avoiding overnight exposure
• Structuring trades that reflect true expiration-day behavior
  Leveraging the surprising power of expiration-day pricing dynamics

Synopsis:

On the third Friday of every month, equity and index options expire. As that moment approaches, strange market forces and price distortions arise: behaviors that have been little understood by investors, until now. In this book, leading options trader and innovator Jeff Augen illuminates those behaviors and provides specific, proven strategies for profiting from them. Investors who master these strategies won't just be able to generate exceptional profits: they can do so with only one or two days of market exposure each month. Until now, the few investors who have understood this opportunity have either kept the information confidential, charged high prices for consulting or subscription services, or trade privately for hedge funds. In this how-to guide, Augen explains the opportunity, and shows exactly how to take advantage of it. You'll learn why traditional option pricing calculations, based on volatility and time decay, break down when options are about to expire. Augen explains why this inevitably leads options to be mispriced during the final few days.Next, he shows exactly how to exploit this situation, by structuring positions that take advantage of these price distortions to deliver outstanding profits with very little risk.

Augen's strategies are direction-neutral: they don't rely on your ability to pick stocks. Best of all, Augen's trades return anywhere from 40% at the conservative end to 300% at the high end, all for one day of investing per month.

About this edition

• Publisher: Financial Times/ Prentice Hall
• Publication date: 2009
• ISBN 10: 0135058724
• ISBN 13: 9780135058725
• Binding: Hardcover
• Edition number: 1
• Number of pages: 176