CTCEUR
Creditcoin / Euro
crypto Composite

Good question and I get it often. I list them in order of experience-
1. Natenberg's Option Volatility and Pricing
2. Bennett's "Trading Volatility"
3. Taleb's "Dynamic Hedging"

The first book is the book I was literally told to read on day one- it is dated but timeless. Written by a market maker- a great guy- one who led the development program at CTC, a large competitor of ours. It's pragmatic and market maker oriented, so it doesn't get lost in calculus or theorems, which makes it approachable for most regular traders.

The second book I love because it's written by someone who held positions at banks like Matt (my partner in VS & VS3D) did - a NY vol manager type. So it covers a ton of pragmatic elements of vol trading and order flow that you wouldn't naturally understand- and it, again, does so from the perspective of a practitioner rather than a quant (sorry I know this is r/quant but I am not one by nature, many of you are orders of magnitude smarter than I am)

The third is great because it's like reading through an MTV reality show script: "True Life- I Retired from Market Making at Age 30 (due to health reasons)
it's the stuff of book-running nightmares. I think Taleb at one point mentions 7th order greeks and even I was like come on this is just intellectualizing... but the reality is, the book is a great treatise on how hard things actually become when you are dealing with the realities of managing a book against a set of counterparties that has a common need, or a market that structurally operates against your interests.
It's like training you to think through the 'next layer'
not "it might rain so I need an umbrella"
but rather "it might rain so I need to schedule that dermatologist appointment I've been putting off"

Good question and I get it often. I list them in order of experience-
1. Natenberg's Option Volatility and Pricing
2. Bennett's "Trading Volatility"
3. Taleb's "Dynamic Hedging"

The first book is the book I was literally told to read on day one- it is dated but timeless. Written by a market maker- a great guy- one who led the development program at CTC, a large competitor of ours. It's pragmatic and market maker oriented, so it doesn't get lost in calculus or theorems, which makes it approachable for most regular traders.

The second book I love because it's written by someone who held positions at banks like Matt (my partner in VS & VS3D) did - a NY vol manager type. So it covers a ton of pragmatic elements of vol trading and order flow that you wouldn't naturally understand- and it, again, does so from the perspective of a practitioner rather than a quant (sorry I know this is r/quant but I am not one by nature, many of you are orders of magnitude smarter than I am)

The third is great because it's like reading through an MTV reality show script: "True Life- I Retired from Market Making at Age 30 (due to health reasons)
it's the stuff of book-running nightmares. I think Taleb at one point mentions 7th order greeks and even I was like come on this is just intellectualizing... but the reality is, the book is a great treatise on how hard things actually become when you are dealing with the realities of managing a book against a set of counterparties that has a common need, or a market that structurally operates against your interests.
It's like training you to think through the 'next layer'
not "it might rain so I need an umbrella"
but rather "it might rain so I need to schedule that dermatologist appointment I've been putting off"