Ebook Herunterladen , by Euan Sinclair
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, by Euan Sinclair
Ebook Herunterladen , by Euan Sinclair
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Produktinformation
Format: Kindle Ausgabe
Dateigröße: 9680 KB
Seitenzahl der Print-Ausgabe: 320 Seiten
Verlag: Wiley; Auflage: 2 (16. April 2013)
Verkauf durch: Amazon Media EU S.Ã r.l.
Sprache: Englisch
ASIN: B00CGH01GI
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Durchschnittliche Kundenbewertung:
5.0 von 5 Sternen
2 Kundenrezensionen
Amazon Bestseller-Rang:
#643.774 Bezahlt in Kindle-Shop (Siehe Top 100 Bezahlt in Kindle-Shop)
This is a wonderful book needs hard math background. Its very useful but have some complicated formulas need to be discussed im order to understand everything.
Viele Finance Bücher sind entweder bizarr übermathematisiert, der Autor wirft mit Masstheorie um sich, oder er geht davon aus, dass jede Formel den Absatz des Buches halbiert und vermeidet die Mathematik überhaupt bzw. er hat sie auch selbst nicht verstanden.Dieses Buch gehört zu den seltenen Exemplaren mit einem - nach meinem Gefühl - vernünftigen Mittelweg.Der Autor filtert aus der Sintflut von Finance-Papern den für die Praxis relevanten Teil heraus und stellt die Theorie verständlich dar. Z.B. gibt es hunderte papers über die Messung der Volatilität mit Hilfe von High-Frequency Daten. Die mathematischen Eigenschaften dieser Methoden sind sehr schön. Ich habe mich damit auch länger gespielt. Der Nutzen für das praktische Handeln war sehr bescheiden.Im realen Handelsleben gibt es Microstructure, Overnight-Jumps und eine starke tägliche Saisonalität. Der Autor stellt auch nüchtern fest "So as a long-term forecasting tool, using high-frequency data is possibly the wrong approach". Das stimmt mit meinen eigenen Ergebnissen überein.Der Autor stellt auch klar, dass es allgemein keine Wundermittel gibt und praktisch alle Finance Methoden und Modelle ihre Vor- und Nachteile haben. Er listet diese auch jeweils detailliert auf. Es ist kein "get rich in 21 days" Buch, sondern eine systematische Behandlung der Optionen- und Volatility Modellierung.Klassischer Weise wird Volatility mit Optionen (bzw. OTC Variance Swaps) gehandelt. Durch die Einführung der VIX-Futures und darauf basierender ETNs hat sich ein eigenes und sehr interessantes Spiel entwickelt. Im 12. Kapitel geht der Autor auf VIX-Trading ein. Besonders gefallen hat mir dabei das Subkapitel über ETN-Trading. Es behandelt ein sehr interessantes Model von Ch. Donninger :-). Dieser Teil ist aber sicher noch aufbaufähig.Das Buch ist für Anfänger eher nicht geeignet. Es ist auch nichts für Leute die mit Mathematik gänzlich auf Kriegsfuss stehen. Für den erfahrenen Trader oder Quant kenne ich aber kein besseres Buch. Es war ein Vergnügen dieses sehr gut durchdachte und sorgfältig gemachte Buch zu studieren.Meine eigenen Arbeiten zur Volatilität findet sich auf godotfinance.comDie homepage enthält eine Reihe von working-papers sowie interaktive charts insbesondere zum Thema VIX-Futures und ETN-Trading.
I give myself three stars for my comprehension of Euan Sinclair’s “Volatility Tradingâ€. As a retired engineer and experienced option trader, I could conceptually follow some of Sinclair’s math, but it’s been difficult to apply his models and strategies to my retail trading. The target audience appears to be quants, market makers and option arbitrage traders. They probably appreciate and comprehend Sinclair’s mathematical comparison of volatility models and strategies far more than a retired engineer who had to constantly refer to his college textbooks. Hopefully Sinclair will publish another edition that’s dumbed down for people like me.I had hoped that Sinclair would explain how an options trader might use the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model to estimate future volatility. GARCH was developed in 1982 by Robert F. Engle, an economist and 2003 winner of the Nobel Memorial Prize for economics. Sinclair seems indifferent on whether GARCH has any value in trading options. His website, however, provides an excel version of GARCH that is better than others that I have found on the internet. Given GARCH’s popularity among quantitative economists, I would have expected that a book on “Volatility Trading†would say more about the model’s utility. Moreover, if Sinclair truly believes, “… that volatility is far more predictable than price … “ (page 65), he should have dedicated more of his book to the only model that predicts volatility.Chapter 2 discusses how volatility cones may be used to estimate historical volatility for different time periods. The discussion includes 5 cones each developed by a different group of investigators. Sinclair does not recommend one cone over another, but provides an excel sheet that will calculate all of them. I plotted five volatility cones for several different stocks and observed that two of the cones give consistently low values and the remaining three give consistently high values. The low values are about half the high values. Consequently there is wide range between the minimum low and the maximum high. For example, for the past year (March 3, 2016 – March 3, 2017) the historic volatility of Tesla (TSLA) has ranged from a minimum of 28% to a maximum of 66% while the 30-day cones show a range of 27% to 117%. Since the cones use overlapping data collected over four years, I believe that they capture erratic moves better than an annual range or a moving average. Also, the cones provide a maximum, minimum, quartile, and median volatilities for four different time periods. I found this information helpful in assessing (guessing?) where volatility might move.The text on hedging (Chapter 6) was informative particularly the discussion of the hedging strategy developed by Whalley and Wilmott. Sinclair claims that this strategy could be implemented in Excel, but his website does not provide a spreadsheet. Nor could I find one on the internet.In summary, this books reads more like a journal article than a text book. The reader must be familiar with the various volatility models and strategies that the book discusses; otherwise, the text will not make much sense. Those who are not mathematically inclined can read just the half-page summary that follows each chapter. However, I would not spend 75.00 for a 320-page book that has only about 15 pages of comprehensible text.
This is neither a "get rich quick" book nor an elementary introduction to options. The author assumes a fairly solid background in options, including the details of the Black-Scholes-Merton model, option Greeks, and familiarity with the payoffs of various common option strategies. This is is a survey of how to trade volatility as an asset class using options as a vehicle. The intermediate to advanced trader will find much to like here, while the novice may seek clearer, more detailed explanations elsewhere. I particularly liked the chapters on Money Management, Trade Evaluation, and The VIX. The chapter on Implied Volatility Dynamics was also good. The chapter on Psychology was yet another rehash of the same old material, but is worth reading. Sinclair, a PhD in theoretical physics, was obviously holding back on the level of his mathematical exposition, which while diminishing the appeal of the book somewhat, makes it accessible to a wider audience. Though lacking in some areas, I give it five stars for the clarity of the writing and the singular focus on volatility as the single most important determinant in option behavior.
The author is a physicist who is a trader by both have avocation and vocation. His analysis of all aspects of volatility is beautifully done and described. Yes, there is mathematics involved, but it is mostly from a practical, trader's perspective and not from a theoretical financial engineers perspective. Even if the math is too much for you, the text summarizes the key points and implications in words and with trading examples from the authors own experience.I am in intermediate trader with a scientific background. I will be going back to this text as my experience grows, to absorb the finer points presented here. It is not an easy read but a definitely worthwhile one.In addition, The last chapter is a summary of books, articles, and websites the author has found useful. I wish more authors of trading texts would do this for their readers: a very valuable feature.Anyone trading volatility or wishing to learn about volatility should have this book on their shelf and read.
I guess there are some very brilliant traders out there who really belong in Mensa. I believe Euan Sinclair is a physicist. There were so many formulas and equations to support theory that I must admit I finally realized I would need to spend $40,000 to go back to school for a PhD in order to follow what he says. I am sure it's brilliant. I made it to page 70. I may continue and see if I can glean something from this, but if you are looking for simple options ideas to trade and make money this might not be the easiest way to find out about it.
This book will not help you Improve your vol trading strategy. However, if you already have a profitable volatility strategy and want a formal education on the asset class, you might learn a couple things.
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