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Option Volatility and Pricing

Reading List, Intermediate. The desk's volatility bible, fourteen chapters of it. Read it before module 3.

Juri von Randow's avatar
Juri von Randow
Oct 31, 2026
∙ Paid
Cartoon: a student reads a thick red book under a desk lamp in the evening while the mentor brings two cups of coffee on a tray, titled Natenberg, The Vol Bible.

The book every options desk hands to the new hire, and for good reason: it explains why an option has a theoretical price, why the market pays a different one, and how to trade the difference. Everything on our Boiler Room board is in here. It earned its place because the edge we sell is defined in these pages.

Who it is for: Option Volatility and Pricing by Sheldon Natenberg, second edition, 2015. Level Intermediate, The book every options desk hands to the new hire.. Time to read About 25 hours, Twenty-five chapters. Thirteen are ours.. Math: Some algebra, Formulas appear, derivations do not. You can skip every one.. Best for Finding the edge, You want to know when an option is overpriced, and by how much..

👉 Buy the Hardcover │ Back to the Reading List │ The Elite Trader Program

Below the line, for Pro and Elite Trader members: the chapters we use, the five ideas I took from it, the chapters to skip, and the module it prepares. Elite Traders read the book, then work that module with me one-on-one, on their own positions.

See the Elite Trader Program

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