FT Press Bolero Ozon. The first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions.
Chapter 3 Risk Management. With more than 15 years of option trading experience, he develops complex trading systems based on multicriteria analysis and genetic optimization algorithms. Izraylevich and Tsudikman coauthored Systematic Options Trading FT Press and regularly coauthor Futures magazine articles on cutting-edge issues related to option pricing, volatility, and risk management. Product details File Size: Up to 5 simultaneous devices, per publisher limits Publisher: March 12, Sold by: Share your thoughts with other customers. Write a customer review.
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Kindle Edition Verified Purchase. Theoretical, non practical, and definitely not about automation. It is dense and cannot apply anything in it. As a retail option trader and algorithm developer i cannot find one useful tif bit. This book is a true disappointment. For one it dives right in and refers to concepts that might be familiar to you if you have read the prequel but if you are just a market practioner, they don't make much sense out of the context.
Most results appear to be trivial or even wrong. Like so many books on automated trading more a red herring than useful for me. One person found this helpful.
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I would expect a book on automated option trading to begin with the computer set-up and data needed to run such an operation. Data cleansing would get a lot of treatment, as would designing robust systems for automated order generation, performance monitoring and risk management. A good deal of space would be devoted to the appropriate order system to use, and how to place orders and monitor execution slippage and quality.
There might be material on how to set up and run a commingled fund, how to report performance and institutional aspects of the operation.
Introduction to Automated Option Trading: Create, Optimize, and Test Automated Trading Systems
The above would apply to any automated trading operation. Since this book specifically talks about options, I would expect material on volatility surface evolution, institutional and regulatory details of options, considerations involving corporate actions and expiries, and popular quantitative option strategies.
The book is entirely different. I think the best way to describe this book is it gives a hard-to-understand but very valuable account of the authors' approach to systematic option trading. The only discussion of data comes in a short section on backtesting, and it's nowhere near enough to start an automated trading operation. There are hints about hardware and software throughout the book, but it seems to assume you're running stuff on a PC and using general-purpose software. As best I can tell, the strategies are limited to simple retail ones like straddles and strangles held to expiry.
Only equity options are considered. There is nothing on pricing much less volatility surface evolution or dynamic hedging , the models seem to be based on individual option price signals. There is, however, a tremendous amount of extremely practical advice. Some will be directly applicable to any systematic option trading. Even the stuff that's not directly applicable to you will be useful to think through to deepen your understanding.
Unlike most hard-to-understand books, the difficulty does not come from the authors not really knowing the material. It's more the opposite, the authors have too much to communicate so they trip over themselves, and there is some garbled English here and there as well. While I haven't done the exercise, I'm pretty sure if you code things up as you go along, you can figure out exactly what the authors mean, perhaps with some help from their website. The meat of the book is the first two chapters on strategy development and optimization. The risk management section is absurd.
The only risk management book cited in the index is by Ralph Vince, and it is a brilliant but eccentric book.
Automated option trading : create, optimize, and test automated trading systems - EconBiz
This book is even more eccentric and the opposite of brilliant on the topic. The portfolio construction and capital allocation chapter is very basic, as is the backtesting one. The book is not valuable only for options. The authors make the puzzling claim that options are the only financial instrument that expire. Actually, everything but stocks and a few exotic securities expire bonds mature, futures go into delivery, swaps terminate. Everything is linear if you graph it against itself and non-linear if you graph is against anything else except for something with a proportional price, which is really the same asset.
Bond prices are non-linear in interest rates, futures prices are non-linear in spot prices, stock prices are non-linear in earnings. The specific feature of options that make them suitable to the authors' system is not non-linearity but the fact that you have a variety of related securites with complex and tight price relationships. Options on the same underlying with different strikes or expiries are closely related securities, but their price relationships can change dramatically as time passes or the underlying moves.
But the same concepts can be applied to any sort of trading, including futures and stocks.
You won't find two stocks with the kind of relations needed for the authors' system except perhaps in merger or spin-off situations and you need to be able to choose among more than two. But you can construct portfolios of stocks that have similar features and can be traded in similar ways.
Overall, this is a valuable book for people considering systematic trading of anything, but you'll have to pick out the useful insights and organize them yourself. The role of options as hedges, leveraged directional plays, or to create synthetic underlying positions has been the focus of most of other books.
In this book, the authors expand on the notion of the market neutrality and exploiting the non-linearity of payoffs to create partially directional strategies. The rest of the book provides a detailed mathematical approach of developing trading strategies.
Using a wide range of response surface plots, combinatorial analysis, and traditional problem formulation from multi-criteria optimization, the authors describe a systematic manner to develop trading algorithms - and provide a clear design space for automated systems. Even if a reader is overwhelmed with the mathematical treatment, one can quickly understand why majority of option trades retailers end up as losses - the difficulty in choosing the right option combination for a particular trade is clearly reflected in the discussions. One can appreciate why these techniques are best left for professionals.
For someone far removed from the trading pits but an active trader of weekly options and found the books of Jeff Augen to be very helpful, this is a book that overwhelmed me. It needs to be emphasized that for the average retail reader, this book will be too intimidating and will offer no actionable value. For a researcher in this field academic or corporate or for a quant, this can be an excellent hunting ground of ideas.