Active Trader Article: “The Science of Selling Options”

I have a new article coming out in the September 2012 issue of Active Trader, which may already be available in bookstores.  If not, it should be on the shelves in the next week or two.  The article is titled "The Science of Selling Options." It explains how to use directional volatilities to find the best strike prices for selling out-of-the-money vertical spreads.

Active Trader may eventually add a link to their website, which would allow readers to purchase and download an electronic copy of the article as well, but that would not be available until the October issue is published - at the earliest.  If Active Trader adds the download link to their site, I will post the new link here.

Here is a link to my previous article in Active Trader titled "Modeling Implied Volatility."

I hope you enjoy the articles.

Brian Johnson

Copyright 2012 - Trading Insights, LLC - All Rights Reserved.



About Brian Johnson

I have been an investment professional for over 30 years. I worked as a fixed income portfolio manager, personally managing over $13 billion in assets for institutional clients. I was also the President of a financial consulting and software development firm, developing artificial intelligence based forecasting and risk management systems for institutional investment managers. I am now a full-time proprietary trader in options, futures, stocks, and ETFs using both algorithmic and discretionary trading strategies. In addition to my professional investment experience, I designed and taught courses in financial derivatives for both MBA and undergraduate business programs on a part-time basis for a number of years. I have also written four books on options and derivative strategies.
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2 Responses to Active Trader Article: “The Science of Selling Options”

  1. Oliver Staudt says:

    Dear Mr. Johnson,
    I am just reading fascinated your book “Exploiting Earnings Volatility” and tried to get the article from you, which you mentioned on page 24 “Modeling Implied Volatility”. The link on your website also doesn´t work. Would you be so kind to send me this article or can you publish the article on your website ?
    Kind regards,
    Oliver Staudt

    PS: How did you calculate “Dev from mean squared”, page 18/column 4 – I cannot get this figures (0,0017%).

    • Oliver,

      I am glad that you are enjoying the book. Unfortunately, Active Trader is no longer in existence, which is why the article is no longer available and the link does not work. The publishing company still owns the copyright, so I cannot republish or distribute the article. The article does present a slightly different approach to estimating normal volatility, but the material in the book is much more comprehensive and precise than the alternative method discussed in the article. Both versions of the aggregate implied volatility formula are equivalent.

      With respect to the 0.0017% on page 18/column 4, that value appears to be an error. I cannot replicate that value in the current version of the spreadsheet; the correct value should be zero. An earlier version of the spreadsheet must have contained an error – good catch.

      Best regards,

      Brian Johnson

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