Trading Volatility: Trading Volatility, Correlation, Term Structure and Skew

by Colin Bennett

This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. “A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!” Carole Bernard, Equity Derivatives Specialist at Bloomberg “This book could be seen as the ‘volatility bible’!” Markus-Alexander Flesch, Head of Sales & Marketing at Eurex “I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money” Paul Stephens, Head of Institutional Marketing at CBOE “One of the best resources out there for the volatility community” Paul Britton, CEO and Founder of Capstone Investment Advisors “Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject” Edmund Shing PhD, former Proprietary Trader at BNP Paribas “In a crowded space, Colin has supplied a useful and concise guide” Gary Delany, Director Europe at the Options Industry Council

Genres: Finance, Nonfiction, Economics

316 pages, Paperback

First published April 24, 2014

Reviews

[Xinyi]

Read parts of this book for a presentation on option pricing. Going to revisit again. This is not a book for beginners. Will need to have fundamental understanding and read in conjunction with other materials.

[Victor]

Surprisingly good, especially for a publicly available book, when most of the stuff about trading is worse than useless. One of the traders on my desk recommended it as an intro. It is clear that the author is the real deal; I especially enjoyed his explanation of the effects of various real-world flows on each greek. Nothing in here is revolutionary, of course, but it's a good summary. Slightly dated in 2025, would be nice if the author wrote a second edition and updated the various charts to show more recent data.

[Billy Polk]

Colin Bennett's "Trading Volatility" is an eye-opening exploration into one of the most complex yet rewarding aspects of trading. This book is a deep dive into the intricacies of trading volatility, covering not just the basics but also advanced topics like correlation, term structure, and skew. It's a treasure trove of knowledge that has the potential to elevate your trading game to new heights.

The book is not for the faint-hearted; it's a challenging read that demands your full attention. Some sections can be quite technical and may even border on being dry. However, if you're willing to invest the time and mental energy, the rewards are immeasurable. The insights offered are invaluable, providing a nuanced understanding of volatility trading that few other resources can match.

In summary, "Trading Volatility" by Colin Bennett is a must-read for anyone serious about understanding and trading market volatility. While it may be a difficult journey, the knowledge you'll gain is priceless. If you're willing to navigate through its complexities, this book can serve as both a foundational text and a lifelong reference.

[Lodi]

Good book. Enjoyed the final couple chapters especially, where he gets into relative value and skew trading

[Kenny]

Fantastic book! So much to learn, I will need to re-read this more than once to grasp everything in here. Well written, clear, and concise.

[Ivan]

Skimmed through - ready to hold the other side of the conversations with the Uber drivers

Plenty of summaries and industry notes / anecdotes to be engaging to an outsider

Math notes and derivations are available to a more particular reader (I've skipped this time around)

[Victor Mayes]

Este no es un libro que llene un hueco entre conocimientos básicos y avanzados. Este es un libro del cual un inversor promedio puede comprender relativamente poco aunque lo positivo es que ese “poco” es muy interesante y provechoso. Presumo que gente mejor preparada que yo lo valoraría mejor.

[Elle]

SPY CALLS!!!!

[James Ostrowski]

Very informative

[Suyash Mallik]

Felt a little rushed, but I hadn't time to thoroughly go through the appendix. will work through the entire book again with chatGPT.

[Tadas Talaikis]

More like reference having little to do with volatility, than a book.