Option Volatility and Pricing

Option Volatility and Pricing by Sheldon Natenberg is a well-known textbook for people who want to understand how options work, and it is often recommended to professional and serious retail traders. It begins with the basics of options and how their prices are set, then explains theoretical pricing models and what they assume about the market. A major focus is volatility, including how to think about expected and actual price movement and why it matters to an option’s value. The book also covers the “Greeks”, the measures that show how an option’s price changes when the stock price, time or volatility changes. It then moves on to strategies such as spreads and hedging, with attention to how each position behaves and what risks it carries. It suits readers with some trading experience who want a rigorous, in-depth foundation in options, and it connects well with our guide on risk management.