The Options Edge: Winning the Volatility Game with Options On Futures

Rating:
Summary: yes, but the risk
Review: The research work is better than most available and the writing very good (See his other book as well). However if somebody can answer the following: Isn't there a risk of blowing up the strategy with a string of limit days? They may be rare, but their effects are extreme (see Nassim Taleb's site and/or book). At one point limit days are mentioned; they are handled by using the price at the limit. This assumes that one can trade futures at the limit price, which is not a guaranteed thing. Otherwise, the new and refreshing look at option pricing is excellent. Clearly accuracy is more important than precision in markets with bid/ask spreads and Mr. Gallacher is able to cut to the core of the issue. Lots to consider, but that one problem remains.

Rating:
Summary: yes, but the risk
Review: The research work is better than most available and the writing very good (See his other book as well). However if somebody can answer the following: Isn't there a risk of blowing up the strategy with a string of limit days? They may be rare, but their effects are extreme (see Nassim Taleb's site and/or book). At one point limit days are mentioned; they are handled by using the price at the limit. This assumes that one can trade futures at the limit price, which is not a guaranteed thing. Otherwise, the new and refreshing look at option pricing is excellent. Clearly accuracy is more important than precision in markets with bid/ask spreads and Mr. Gallacher is able to cut to the core of the issue. Lots to consider, but that one problem remains.

Rating:
Summary: Interesting book for option writers
Review: This book contains some useful information for option writers who wonder if their profitability is sustainable over the long run (hence the title "options edge"). Although Gallacher states that the edge between writers and buyers is zero (based on empirical evidence); he illustrates that writers still can make consistent returns if they sell implied volatility which exceeds historic volatility and if they cover their short positions with futures at strike. The book is easy to read and I finished it in half a day.

Rating:
Summary: Fast and enjoyable read
Review: This book contains some very useful information for people who write options and wonder if their profitability is sustainable over the long run (hence the title "options edge"). Although Gallacher states that the edge between writers and buyers is zero (based on his empirical evidence); he illustrates that writers still can make consistent positive return on their trading, as long as they sell implied volatility which exceeds historic volatility and as long as they cover their short positions in options with futures at strike. Unfortunately, Gallacher doesn't compare LEAPS to futures as a way to cover short positions in options. An easy and enjoyable read!