Book Review: Option Volatility and Pricing: Advanced Trading Strategies and Techniques

Many traders refer to Option Volatility and Pricing by Sheldon Natenberg as "the bible" of options trading, and after working through it, I understand why. Experienced traders also recommend using it as a reference instead of reading it cover to cover - something I ignored and now also understand this advice.

Natenberg delivers a comprehensive overview of options fundamentals that prioritizes intuition over mathematical complexity. I'm grateful I chose this practical approach over a more academic textbook, as it provides an excellent foundation before diving into deeper theoretical waters. Rather than starting with abstract math, Natenberg helps you feel how options behave in different market conditions.

The coverage of essential option structures is thorough and accessible. You'll learn everything about straddles, strangles, butterflies, and condors, among many others. The same applies to risk management concepts - delta, gamma, theta, and vega all receive the attention they deserve. What I particularly appreciated was how these concepts appear multiple times throughout the book in different contexts. This repetition helps integrate the knowledge naturally, so by the end, you're thinking in terms of Greeks and strategy combinations rather than memorizing isolated definitions.

Don't expect to finish this book and jump straight into profitable trading. The content is dated - option markets have evolved significantly since publication. More importantly, Natenberg focuses deliberately on fundamentals rather than detailed trading strategies, which means you won't find specific guidance on building a profitable systematic approach.

Did this book help me understand how to incorporate volatility strategies into my portfolio from a diversification perspective? Not really - that wasn't its purpose. But do I feel dramatically more comfortable navigating option markets? Absolutely. This book leaves you with solid intuition about all the major option structures. I can now visualize P&L graphs for various strategies and understand their general delta, gamma, theta, and vega characteristics. If building that foundational understanding is what you're after, this book delivers exceptionally well.