Trading Options at Expiration: Strategies and Models for Winning the Endgame

Trading Options at Expiration explores the unique pricing dynamics and trading opportunities that emerge during the final days and hours before options expiration. Jeff Augen focuses specifically on expiration-week anomalies, including implied volatility collapse, strike price pinning, accelerated time decay, and short-term pricing distortions that traditional option pricing models fail to capture effectively. Rather than presenting conventional directional option strategies, the book develops a framework centered on statistical behavior, minute-by-minute market analysis, and short-duration trade structures. Augen demonstrates how expiration trading differs fundamentally from longer-term speculation by emphasizing timing precision, volatility behavior, and mathematical edge rather than market prediction. The discussion integrates real trading examples, probability analysis, and institutional market mechanics. A major strength of the book is its quantitative orientation. The author explains how to work with minute-by-minute data, construct statistical models, analyze strike price crossing frequencies, and identify recurring expiration-day patterns using spreadsheets, databases, and custom analytics. The material bridges discretionary trading concepts with data-driven execution methodologies. The book also provides practical guidance on structuring expiration trades using straddles, ratio spreads, calendars, and volatility-based positions. Real market examples involving stocks such as Google, Goldman Sachs, Apple, and Research in Motion are used to illustrate how traders can exploit volatility collapse and strike-price behavior during expiration week. Overall, the book is positioned for active traders seeking short-duration, event-driven options strategies grounded in quantitative market behavior rather than directional forecasting. ✅ What You’ll Learn: How implied volatility collapses during expiration week The mechanics of strike price pinning and strike-cross behavior How to structure expiration-day ratio spreads and volatility trades Techniques for analyzing minute-by-minute options data How to build statistical models for expiration trading Methods for identifying option pricing distortions near expiration How time decay accelerates during the final trading hours Practical use of Excel and databases for options research Risk management principles for short-duration options trading How institutional positioning impacts expiration pricing dynamics �� Key Benefits: Provides a specialized framework for expiration-week options trading Combines quantitative analysis with practical trading execution Explains complex volatility behavior using real market examples Focuses on short-duration strategies with limited market exposure Helps traders understand structural inefficiencies in options pricing Bridges discretionary trading concepts with data-driven methodology �� Who This Book Is For: Intermediate to advanced options traders Active traders focused on short-term volatility opportunities Quantitatively inclined traders using statistical market analysis Day traders seeking expiration-week trading strategies �� Table of Contents: Expiration Pricing Dynamics Working with Statistical Models Day Trading Strategies Trading Options at Expiration: Strategies and Models for Winning the Endgame By Jeff Augen