Sheldon Natenberg did not invent options. But in Option Volatility & Pricing: Advanced Trading Strategies and Techniques , he created the definitive operating manual for the professional volatility trader.
Because Natenberg prioritizes volatility, Vega (exposure to implied volatility changes) is the hero of the book. He demonstrates that a significant shift in IV can wipe out a directional win or salvage a losing directional bet. Sheldon Natenberg did not invent options
Instead of buying a straight call, you buy 1 call and sell 2 higher-strike calls. This caps your upside but lowers your cost to zero. Natenberg’s insight: This is a volatility trade , not a direction trade. You profit if the stock moves exactly to the short strike, and volatility crushes. He demonstrates that a significant shift in IV
He provides a framework for rolling adjustments. If you are short a put and the stock falls: Natenberg’s insight: This is a volatility trade ,
Most retail investors look at an option chain and see strike prices and expirations . Natenberg forces the reader to see a single, unifying metric: .
Option Volatility & Pricing, Advanced Trading Strategies and Techniques, Sheldon Natenberg, implied volatility, historical volatility, Greeks, Gamma scalping, Vega, Theta, volatility smile, put-call parity, risk management, synthetic positions.
Whether you are studying for a licensing exam, joining a proprietary trading desk, or simply trying to protect your retirement portfolio, Natenberg’s Option Volatility & Pricing is not just a book you read once. It is a reference you keep on your desk, dog-eared and highlighted, for the entirety of your trading career.