Trading Options at Expiration: Strategies and Models for Winning the Endgame, 1st edition
Published by FT Press (March 12, 2009) © 2009
- Jeff Augen
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The first and only book that's 100% focused on the huge opportunities available in end-of-contract options trading.
Introduction and Explanatory Notes    1
Chapter 1: Expiration Pricing Dynamics    13
Chapter 2: Working with Statistical Models    55
Chapter 3: Day Trading Strategies    105
Appendix 1: Excel VBA Program for Counting Strike Price Crosses    143
Index    149
Jeff Augen, currently a private investor and writer, has spent over a decade building a unique intellectual property portfolio of databases, algorithms, and associated software for technical analysis of derivatives prices. His work, which includes more than a million lines of computer code, is particularly focused on the identification of subtle anomalies and price distortions.
Augen has a 25-year history in information technology. As a cofounding executive of IBM’s Life Sciences Computing business, he defined a growth strategy that resulted in $1.2 billion of new revenue and managed a large portfolio of venture capital investments. From 2002 to 2005, Augen was President and CEO of TurboWorx Inc., a technical computing software company founded by the chairman of the Department of Computer Science at Yale University. He is the author of three previous books: The Option Trader’s Workbook (FT Press 2008), The Volatility Edge in Options Trading (FT Press 2008) and Bioinformatics in the Post-Genomic Era (Addison-Wesley 2005).
Much of his current work on option pricing is built around algorithms for predicting molecular structures that he developed many years ago as a graduate student in biochemistry.
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