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Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets, by Allen Jan Baird
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Approaches trading from the viewpoint of market makers and the part they play in pricing, valuing and placing positions. Covers option volatility and pricing, risk analysis, spreads, strategies and tactics for the options trader, focusing on how to work successfully with market makers. Features a special section on synthetic options and the role of synthetic options market making (a role of increasing importance on the trading floor). Contains numerous graphs, charts and tables.
- Sales Rank: #610768 in Books
- Published on: 1992-10-16
- Original language: English
- Number of items: 1
- Dimensions: 9.78" h x .75" w x 6.26" l, 1.03 pounds
- Binding: Hardcover
- 224 pages
From the Publisher
Approaches trading from the viewpoint of market makers and the part they play in pricing, valuing and placing positions. Covers option volatility and pricing, risk analysis, spreads, strategies and tactics for the options trader, focusing on how to work successfully with market makers. Features a special section on synthetic options and the role of synthetic options market making (a role of increasing importance on the trading floor). Contains numerous graphs, charts and tables.
From the Back Cover
Every day, market makers account for half a billion dollars in the option trade, bringing liquidity and stability to the commodity, bond, currency, stock, and futures options markets by being ready to buy or sell some quantity of any option at a specified price. The width of the bid/asked price spread determines the market maker's profit. But, if it's just buy-low sell-high what's the big mystery? Controlling option risk. Option risk is more complex and comes in more varieties than most other investment risks. That's why traders, speculators, hedgers, scalpers, and market makers everywhere will draw considerable understanding and profit from this first book length guide to market making. Inside you'll find valuable information and tips on the economics of market making and the basics and terminology of options, covering fair value models, volatility, and differences between option markets; option risk, risk measurement, and the range of risk profiles possible in single one-month trades with definitions, analytical tools, and strategies; synthetic price relations and how to master this almost risk-free core of option arbitrage trading; calendar spread risk and strategies for limiting it and still using time markets efficiently; delta-neutral and limited risk strategies for nonsynthetic market making, including the butterfly/ratio time spreads; and option market maker software listings and information. Provides an insider's insights on the complexities of the option market maker's world. In this increasingly competitive arena, Option Market Making gives you the tools you need to beat the odds - and make the trade.
Most helpful customer reviews
41 of 44 people found the following review helpful.
Classic and essential, this and Hull are mandatory
By Bachelier
Baird's "Option Market Making" is the *other* essential options book that any serious practitioner should read. Whether you are buy-side or sell-side, or trading your own book, this work is fundamental and extends where Hull leaves off. In short, pricing models do not a bid-offer spread make, and Baird illuminates this dark world with the well-crafted sunshine of expertise, mathematical rigor, and experience. In addition, Baird's prose is clean, clear, readable and lean, without glossing over tough spots or ignoring extremes.
Baird's 1993 "Option Market Making" while a bit dated, is becoming recognized as an enduring classic. Not because it is up-to-date with the latest smile dynamics from the research of Avellenada or Rebenato, but because it does what it does very well. Like a classic cookbook such as The Joy of Cooking, this work tells you how to make perfect pot roast, but not the latest slow braised chipolte-rubbed hand-aged hanger steak.
Baird's "Option Market Making", indeed, is an economic anomaly, for it refutes an old chestnut: "those who can't do, teach." In the financial publishing world a book that makes or saves you money should not exist, since the expected return of taking the time and work for authorship is much lower than another economic activity (probably including flipping hamburgers). What motivated Baird? Who knows? But this is pure saved gold here.
Option neophytes should not be misled: this is not a book of "secrets of" that will lead you to quick easy riches in the sometimes wild swings of delta and gamma in options markets. Rather, this is a sober, careful, useful book on the actual difficulty of making a market under uncertainty and rapidly changing information sets. This is a work for practitioners and professionals who want to survive and thrive, not "*just*drive!*" Cowboys and "feelings" punters look elsewhere to scratch your itch.
Standout chapters include "Options Risk" which treats delta, gamma, lambda, theta, kappa/vega, rho, skew, and time spread risks in a clear, although direct and quick, manner. "Position Risk Profiles" covers the meat and potatoes of an options market maker: what is in your book at any one time. This chapter mercifully is not in a "panic mode" tone, but rather carefully and soberly guides you through essentials of risk determination for your entire book.
The chapter "On Strategy" will be helpful for punters and those who have committed some capital to being a market maker, covering delta neutrality (yawn!), but more importantly time spreading, expiration, Fences, and high volatility periods (yeah!). It also treats broker order flow and open interest analysis in a sober way ("saucer bottom" and "reverse hook" technical analysis copter beanies need not apply).
The chapter "Market Making Tactics" is perhaps the most aggressive, but it also patiently spells out what option market makers do on a daily basis. The entry on "common mistakes" alone is worth the price of this volume. Baird closes with a lighter "Observations from the Floor," which it behooves all to read nd revist upon occasion. Having worked in a pit myself, all I can say is "amen Brother, and again I say amen."
7 of 7 people found the following review helpful.
Put this one on your Option Trading Reading List.
By Robert S. Riddick
Anytime anyone is willing to credibly tell you what he does to make money over the long run with well defined low-risk strategies you should listen because casinos, banks, and insurance companies certainly do. The author implies a positive expectation to option trading and those who make a living doing it would agree. The book has a conversational read and has something for the novice to the successful option trader. Highlights are: Delta neutral trading, gamma scalping, the use of spreads to enter, lay off risk and adjust, and emphasizes long volatility trading. The title of the book has probably disuaded more traders from buying the book because it is equally benefical to those who are not option market makers.
16 of 16 people found the following review helpful.
Excellent work
By Z. Johnson
Although this book is not for beginners, it doesn't contain any formulas. Instead it focuses on all the complex aspects of making a market for options. I've read this book over and over again on a regular interval to remind me on the way market makers do their practice, and how to avoid the pitfalls in trading against specialists.
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