Recently I started working in an algotrading company as a programmer.
After I studied that subject a little in the university and read a book or two in that field I gained a little knowledge in that area.
But apparently very little.
I mean, when I studied it at the beginning from books I learnt about options and futures, bull spread and condors, delta and gamma. And in every book the matterial was a bit same.
When I entered the company, I notices that the whole language is different. The traders trade positions not stocks, they buy volatility not assets. They care about vanna and vomma almost as they do for gamma.
I feel that their language is yet unclear.
I am looking for a book that bridges this gap. What I dont like is another book that explains options, gamma and yet another simple bull spread. I feel that the books i have read are detached from real life jargon. (Neither would I want a heavy mathematical book)
Answer
"Buying and Selling Volatility" by Kevin Connolly.
This book has an amazing property: it explains options at an intuitive level, without any math. Incredible. Once you have gone through the first few chapters, you get to the point of being able to roughly value options in your head with some simple arithmetic, and intuitively understand the relationships such as "as the underlying spot price increases, will delta increase or decrease for a call?" (try doing that after being hit on the head by the Black Scholes formula).
The book finishes with some chapters explaining exactly how to get exposure to volatility.
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