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Day Trading Options: Profiting from Price Distortions in Very Brief Time Frames [Hardcover]

Jeff Augen
5.0 out of 5 stars  See all reviews (1 customer review)
List Price: CDN$ 36.99
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Book Description

Oct. 2 2009

“As a veteran reader of some 500+ trading and investing books and having interviewed hundreds of authors, I never take the approach that you can believe what you read or hear about how to make money in the market, so I try their theory, system, or ideas. Jeff Augen’s book lays down clear guidelines to his intraday options strategy that I can report were profitable in the style I trade.”

--Vincent M. Rowe, President, Online Trading Academy, Texas

 

“Augen’s book breaks new ground with an indispensable and unique approach to evaluating option prices in different time frames. It also presents a new charting technique for evaluating very short-term trends lasting just a few minutes–a valuable technique for anyone who follows intraday markets. The statistical analysis and associated discussions around high-frequency trading are especially relevant in the modern financial world, which has come to be dominated by supercomputers and algorithmic trading. No serious stock or option trader should be without this book.”

--Sean Sztern, Alternative Strategies Group, Desjardins Securities, Montreal, Quebec

 

“Jeff Augen’s work on day trading options pulls the curtain back and reveals insights from the world of very short-term options trading. In doing so, he reveals insights beneficial even for the longer-term option trader. Specifically, Chapter 3 on trading volatility distortions introduces the idea of 3-D implied volatility surfaces. Far from being too advanced, this chapter addresses complex volatility issues in plain English that every option trader can understand. I wholly recommend this book.”

--Steve Lentz, DiscoverOptions

 

 

Minimize Your Exposure to Market Risk and Increase Profits by Trading in Very Brief Time Frames

 

In today’s turbulent markets, traditional trading strategies have failed to provide protection from the rapid and violent changes that have swung the Dow down 330 points one day, up 280 points the next, and down 250 points at the open on the next. Fundamental analysis based on company performance and financial predictions has proven meaningless. Technical traders must now compete with institutional trading programs utilizing supercomputers that analyze and execute trades in millisecond time frames. So, how can a private investor compete in this environment?

 

In Day Trading Options, expert option trader Jeff Augen shows you how to continue to profit even in these chaotic times. You’ll learn to structure short-term trades that exploit well characterized price distortions and anomalies. You’ll discover a breakthrough technique for utilizing volatility to identify the beginning and end of short-lived trends. And, you’ll gain the knowledge to use this innovative technique to take advantage of financial news and planned events, rather than being at their mercy.

 

  • Abandon outdated trading strategies and conventional “wisdom”
    Minimize your exposure to market risk and increase your profits by trading in very brief time frames and structuring positions that are direction neutral
  • Understand why your once-reliable technical analysis and charting techniques are failing
    Explore new statistical evidence to discern how new advances in institutional program trading affect the private investor
  • Discover new models for analyzing volatility in different time frames
    Learn to evaluate option prices by comparing overnight, intraday, and traditional measures of volatility
  • Learn to identify and exploit short-lived volatility changes
    Use a newly defined charting technique to correctly time trades by identifying the beginning and end of short-term trends

 


Frequently Bought Together

Day Trading Options: Profiting from Price Distortions in Very Brief Time Frames + The Bible of Options Strategies: The Definitive Guide for Practical Trading Strategies
Price For Both: CDN$ 66.44

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Product Details


Product Description

About the Author

Jeff Augen, currently a private investor and writer, has spent more than 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. His books include Trading Options at Expiration, The Option Trader’s Workbook, and The Volatility Edge in Options Trading.


Inside This Book (Learn More)
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Customer Reviews

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Most helpful customer reviews
1 of 1 people found the following review helpful
5.0 out of 5 stars Excellent for serious traders Jan. 21 2011
Format:Hardcover
Great for an indepth understanding of day trading. Have
worked all the charts. Love that it uses Excel. Only
chart in the book I can't get to work out exactly is on p. 102--
comparing daily, intra-day and overnight price changes--
wondering if there is an uncaught typo in the data. The
concept is clear though. Great book, Jeff.
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 3.6 out of 5 stars  20 reviews
59 of 61 people found the following review helpful
4.0 out of 5 stars Dense and intense material for the (really) experienced trader Oct. 19 2009
By Sreeram Ramakrishnan - Published on Amazon.com
Format:Hardcover|Verified Purchase
Undeniably, this is the most densest book in a series of books by Augen that includes Trading Options at Expiration: Strategies and Models for Winning the Endgameand The Volatility Edge in Options Trading: New Technical Strategies for Investing in Unstable Markets and a workbook. This book is also perhaps the most targeted one and is unlikely to appeal to a broader audience.

The book in itself is fairly short (written with the gravity similar to academic journals) and has five chapters. The first chapter, though called "basic concepts" really sets the tone for the book and makes it evident that the intended audience is experienced day traders (true to the book title's implication). The chapter provides a very informed analysis of how options market (pricing) has changed in the recent crises, with specific focus on implied volatility swings and volatility skews across strike prices. The second chapter discusses automated trading and emerging trends in that field. Unless the reader uses sophisticated trading systems and is very familiar with programmed trading, the chapter is not likely to sustain significant interest, but the reader is well-advised to force yourself through the chapter. Using various detailed examples, Augen demonstrates the role of statistical analyses in trend exploitation, issues of "over fitting" indicators and volatility distortions. The third chapter (forming bulk of the book) deals with volatility distortions and how to trade them. The discussion is however based on 3-dimensional maps (implied volatility, calendar information and price) and is not really clear how accessible such tools are. Using various examples, Augen demonstrates approaches involving selling time decay and backspreads. The fourth chapter introduces a new charting tool with the premise that the principal goal of an option trader is to "arbitrage differences between implied and fair volatilities". Accessibility of the tools required and even suitability of these methods for the most aggressive casual trader (once whose primary job is not trading) is not clear here either. In the last chapter (perhaps, a neat set up for the next book?) Augen discusses special events focusing on only two - long weekends and associated price distortions and events surrounding markets "digesting" large amounts of news.

Overall, the book does absolute justice to its title - it is indeed targeting distortions for "very brief" (read minutes, mostly) and is fairly dense even for the experienced option trader. After having read all the books from the author in this field, the book on trading options near expiration was a far useful one for a broader audience in at least highlighting significant mechanics associated with expiration pricing dynamics and potential trade constructs. This book, Augen's dedicated focus on day trading, doesn't even pretend to be suitable for anyone but a niche audience. Augen does provide some interesting insights that will benefit any serious options trader, but this time, the book is perhaps a little too far out except for the very experienced and fanatic fans of Augen.
28 of 31 people found the following review helpful
5.0 out of 5 stars Two key sections Dec 13 2009
By Jim Smith - Published on Amazon.com
Format:Hardcover
I manage a hedge fund that trades equity and index options. Augen's books are required reading for all our traders. The current book is by far the best. The most important sections for us have been the discussion about calculating volatility in different time frames and the detailed trend analysis using minute-by-minute price changes expressed in standard deviations.

Following the approach outlined in this book, we now calculate a stock's overnight, intraday, and close-to-close volatility. Comparing these values allows us to identify stocks that have large overnight risk or stocks whose options are underpriced during the trading session. We use this information exactly the way the book describes along with our own knowledge to structure trades that are statistically advantaged.

The trend analysis using minute-by-minute price spikes calculated in standard deviations is equally valuable. This approach has dramatically improved our day trading capability. We've been building on the idea using other indicators and time frames longer than 1 minute.

The book is a fine piece of academic quality work. It's far superior to the more common "get rich quick" style investment books that have little value for serious investors. But it's not for beginners. Like the other books in the series, it was written for serious option traders.
12 of 13 people found the following review helpful
5.0 out of 5 stars Several books in one! Dec 3 2009
By Michael Benklifa - Published on Amazon.com
Format:Hardcover
Each chapter in this book really could be a book in itself. The first chapter on technical analysis actually made me laugh out loud. Mr. Augen applies popular indicators to randomly generated graphs to illustrate a point that he makes statistically, namely, stock prices do not contain information about what will happen next. Coming to terms with this reality should save investors a fortune. In the next chapter he then proposes a statistically based indicator rather than one based on moving averages. I've found it to be very predictive because it is based on the reversion to the mean concept. The third chapter is really fabulous for hard core options traders. Taking advantage of the differences between the intraday and interday volatility to create a day trading strategy is an opportunity not to be missed. I love these books that are intelligently written, not get rich quick, and very real world practical.
11 of 12 people found the following review helpful
4.0 out of 5 stars It does have some good nuggets Nov. 30 2009
By A Georgas - Published on Amazon.com
Format:Hardcover|Verified Purchase
I just finished reading Augen's latest book on options trading, and I would say it is worth a read. I can't give it 5 stars because it really doesn't give that much direction on entry and exit requirements. This is slightly disappointing. An unnecessary amount of pages are devoted to showing that the market is random, so you can't predict it. This book does detail how to use volatility to possibly spot changes trading patterns. It also details how to find possible volatility distortions. It is up to the reader to implement these methods with his/her own programming and back testing. Back testing will be crucial to implementing the strategies outlined in this book because there really isn't that much guidance on when to enter and exit trades trying to capture volatility distortions. You will have to build your own rules after back testing.

Overall, this book isn't overpriced for what you get, so I'd recommend it to anyone who has a good grasp with programming.
14 of 16 people found the following review helpful
3.0 out of 5 stars Good but limited April 5 2010
By LLF - Published on Amazon.com
Format:Kindle Edition|Verified Purchase
This book does not contain as much math and theory as I expected, so I could understand its contents well. However, it is very short, and really only discusses in detail his method using standard deviations, which is not bad.

Unfortunately, this book lacks more explanation on how to implement the method described(downloadable .xls ?). For the price it is worth it, but keep in mind that it has a limited amount of information that may be helpful.
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