The Option Volatility and Pricing Value Pack by Sheldon Nate

TL;DR

The Option Volatility and Pricing Value Pack bundles Sheldon Natenberg's textbook with its companion workbook. Together they form the closest thing options trading has to a required-reading list. Natenberg taught the floor traders who became today's volatility funds, and the book retains its authority because the math of options pricing has not changed.

Why It Matters

Most options content online teaches strategies — covered calls, iron condors, the wheel. Natenberg teaches why those strategies make or lose money in terms of volatility, skew, and the Greeks. Once you internalize that frame, the universe of strategies collapses into a single coherent picture. Trading desks still use this book to onboard junior traders for that exact reason.

Key Specs

Author: Sheldon Natenberg
Bundle: textbook (~592 pages) + workbook (~352 pages)
Publisher: McGraw-Hill
Format: paperback bundle
Reading time: 40-60 hours with workbook
Prerequisites: comfort with high-school algebra

Pros

Workbook reinforces concepts with real exercises
Treats volatility as the central object, not a side effect
Greeks explained better than anywhere else
Survives every market regime since 1988
Used by professional desks as a hiring filter
Worked exercises catch misconceptions early

Cons

Dense — not a weekend read
Light on modern electronic-execution mechanics
Examples skew toward equity options
Some readers find the prose dry
Bundle is more expensive than the textbook alone

Who It's For

Anyone serious about options as a primary instrument: aspiring market-makers, vol traders, premium sellers scaling up, and discretionary traders who want to understand what they're actually trading. Skip it if you only trade single-leg directional options occasionally — the depth will be wasted.

How to Use It

Read one chapter, complete the matching workbook section, then re-read. Do not skip the workbook — the exercises are where the concepts actually click. Plan on three to six months of weekend sessions to get through it properly. Re-reference the chapters on skew and term structure each time you encounter a confusing options chain.

How It Compares

Vs. McMillan's Options as a Strategic Investment: McMillan is the strategy encyclopedia, Natenberg is the theoretical foundation. Vs. Hull's Options, Futures, and Other Derivatives: Hull is the academic textbook, Natenberg is the trader's textbook. Vs. retail options books: there is no comparison — Natenberg is the source most others paraphrase.