Option Volatility & Pricing: Advanced Trading Strategies and Techniques 
One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies.
Featuring:
Pricing models Volatility considerations Basic and advanced trading strategies Risk management techniques And more!Written in a clear, easy-to-understand fashion, Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance.
New sections include:
Expanded coverage of stock option Strategies for stock index futures and options A broader, more in-depth discussion volatility Analysis of volatility skews Intermarket spreading with optionsReviews
The first time I read this book I didnt understand it and therefore I didnt like it. Fast forward a few years later with a wider understanding of options trading - I read the book again and was blown away by it. This is the best book written on options trading I have ever read. It explains more than just options strategies or the definition of different popular pricing models, it explains the basis of what goes into developing a theoritical option pricing model. It shows you the logic behind what every credible option pricing model attempts to do. I know now why I've been losing money. I've never read any other book that explains option pricing as simple and clearly as this book does and believe me, I've read alot of books. Other books I have read on option pricing are either too simplistic that many questions still linger or so complex that only someone with a heavy math background could understand it. Natenbergs book is just perfect. As I've implied earlier, you need to already have a solid knowledge of options terminology and mechanics but given that you have that, this book will take you to the next level. My hope is that most people would be too intimidated to read this book or a book like this so they never reach that next level. (Sounds mean, I know. Sorry!!!)
Most of all I like books that give me new ideas and make me think. This book does just that. I've never been the type to just trust in software or blind calculations. I've always been the type to person needing to know what goes on under the hood. Because Natenberg discusses the mechanics of pricing an option in a clear and understandable way, and because probability and volatility calculators today are cheap and even free, I have been emboldend to experiment with different pricing ideas for both options and its underlying.