After finishing my PhD I came to work at one of the top market-maker in options world wide. Reason is: my master program was a lot of options pricing, but zero info on options trading, and I wondered how this theory is applied in practice. Those days are long gone, and I am busy now in another firm trading futures, with plans to come back to options. And when some junior guy from my team asks me to tell him about options, or brings up something that he read on Internet, I am not sure I have any good source to refer him to. My favorite is Baird's "Options market making", but it is 1993 and not mathematical at all. Other books that I've seen use a lot of too formal language without telling much on essence.

First I thought of starting a blog with posts on topics in trading options. Something that I would later recommend to my junior guys when they have to write their options algos. Obviously, I have no intention or motivations to disclose some secret recipes there, but overall ideas and way of thinking may already be of use and not only to my juniors. A friend of mine has worked in a bank in a department trading options, and the things they did there (not successfully) made my hair stand on end.

Second I though of writing a rather short book - maybe about 150 pages on this topic, covering all essential topics, but not making it overly complicated, as not any options trader now has to know stochastic calculus. I currently live in Russia, and as far as I know here you have to pay for your book to be published. I then thought of writing a book in English (rather than first publishing in Russia and then translating it), as I do have some experience with it - so my question is: do you have any suggestions on how should I approach it? For example, maybe I should first write a couple of blog posts in order to approach a publisher with that material to make some ground for the conversation?


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    $\begingroup$ My opinion (hence only a a comment, not an answer): start with the blog. It helps you organize your thoughts and may (hopefully) attract readers and feedback. Then, take it from there. I have also seen many books being written / “developed” on github. Good luck - I would be interested in such a book. $\endgroup$ Oct 17, 2020 at 11:25
  • $\begingroup$ I converted to Community Wiki because I believe how to start writing about Quantitative Finance is of interest to this community and the best approach to do this is a matter of opinion. $\endgroup$
    – Bob Jansen
    Oct 17, 2020 at 13:24
  • $\begingroup$ @BobJansen: indeed, a great idea $\endgroup$
    – SBF
    Oct 17, 2020 at 14:55
  • $\begingroup$ @Kermittfrog: any suggestions which platfrom could fit it? I was thinking of medium $\endgroup$
    – SBF
    Oct 17, 2020 at 14:55
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    $\begingroup$ I think the best publicly available reference on options trading is probably Euan Sinclair's book, "Volatility Trading". For a platform, perhaps Substack? Would allow you to monetize the content if you wish to do so. $\endgroup$
    – user42108
    Oct 17, 2020 at 15:53


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