Trading Options at Expiration: Strategies and Models for Winning the Endgame
Product Author Bios
Jeff Augen, currently a private investor and writer, has spent over a decade building a unique intellectual property portfolio of databases, algorithms, and associated software for technical analysis of derivatives prices. His work, which includes more than a million lines of computer code, is particularly focused on the identification of subtle anomalies and price distortions.
Augen has a 25-year history in information technology. As a cofounding executive of IBM’s Life Sciences Computing business, he defined a growth strategy that resulted in $1.2 billion of new revenue and managed a large portfolio of venture capital investments. From 2002 to 2005, Augen was President and CEO of TurboWorx Inc., a technical computing software company founded by the chairman of the Department of Computer Science at Yale University. He is the author of three previous books: The Option Trader’s Workbook (FT Press 2008), The Volatility Edge in Options Trading (FT Press 2008) and Bioinformatics in the Post-Genomic Era (Addison-Wesley 2005).
Much of his current work on option pricing is built around algorithms for predicting molecular structures that he developed many years ago as a graduate student in biochemistry.
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 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
111 of 117 people found the following review helpful
Excellent theory ,but not practical for the average option trader,
This review is from: Trading Options at Expiration: Strategies and Models for Winning the Endgame (Hardcover)Before going into the details of my review I will quote some statements from the book:
"A relatively large amount of minute by minute stock and option data was used in preparation of this book....... First and foremost `in importance' was accuracy because slight discrepancies can cause significant errors in volatility calculations"
"It is certainly reasonable to study option expiration by studying the behavior of individual stocks that is one end of the spectrum . The other end involves development of custom data bases and software"
Before I buy any book, I usually look through the Table of Contents to get a glimpse of what the book covers. In this book the search inside feature was not available, so my decision to buy was based on the one review available at the time. Even though I am a successful options trader I could not resist the high potential profits in few hours mentioned in the review.
After reading the book, and based on the author's own... Read more
114 of 124 people found the following review helpful
Read this book before next expiration day!,
This review is from: Trading Options at Expiration: Strategies and Models for Winning the Endgame (Hardcover)I'm an options trader. That's how I make my living. I've read all the books, been to the seminars, and have the scars from experience. So believe me when I say this book is different. It's not the same options books with a different cover. It's not going to start all over from scratch about what are options. This little book is packed with an out-of-the box winning strategy that takes advantage of the institutional moves (for once!). The pinning of stocks on expiration day is a phenomena that has been noted for some time. How to make money from this is not so clear. Mr. Augen takes advantage of institutional trading behavior on expiration day and details not only which stocks to trade but which strategy and what time of day to apply each strategy. [read this last sentence again] This approach is not conjecture but a statistical study as to how certain stocks move. This is a genuine money making strategy that can earn 200%-300% or more in a few hours. Just recently a straddle... Read more
45 of 48 people found the following review helpful
Thought provoking strategies for serious option traders,
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This review is from: Trading Options at Expiration: Strategies and Models for Winning the Endgame (Hardcover)In a very pithy and dense 'follow-up' to his previous "classic" The Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets and a reasonably good workbook The Options Trader's Workbook: A Problem-Solving Approach, Augen provides a (very) serious options trader some key insights and strategies in dealing with options expiration dynamics.
This book is not for the casual investor looking to make a quick profit and some of the strategies mentioned, as the author himself points out, could have implications regarding whether you could be classified as a day trader for tax purposes.
The book is organized in three chapters. In the first chapter, the... Read more
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Online Sample Chapter
Table of Contents
Introduction and Explanatory Notes 1
Chapter 1: Expiration Pricing Dynamics 13
Chapter 2: Working with Statistical Models 55
Chapter 3: Day Trading Strategies 105
Appendix 1: Excel VBA Program for Counting Strike Price Crosses 143
Download the sample pages (includes Introductory and Explanatory Notes and Index)
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