For those interested in option trading, I highly recommend reading Sheldon Natenberg's Option Volatility & Pricing: Advanced Trading Strategies and Techniques
I had Option Volatility & Pricing sitting on my desk for a couple of years and had never read it. I began reading the book a several days ago and have found it to be excellent. So far, I am only about one-third of the way through, at about page 150 of the roughly 400 pages.
While I had a basic understanding of options, this book is certainly improving my knowledge. The Natenberg starts with basic terminology. And then he discusses elementary strategies with final pay-off or expiration graphs. So far it is straightforward. Next, he provides an introduction is given to theoretical pricing models and discusses volatility—a key topic in options. By combining pricing models with volatility, he then discusses option values and changing market conditions. The next section, where I am at now, is spreads. At present I am learning about volatility spreads, what they are and when to use them. I will write again later when I have finished the book and provide the remaining topics.
What I like about Option Volatility & Pricing is that Natenberg places a strong emphasis on pragmatic application. While you need to understand the application of the mathematics, the book is not overly mathematical.
That said, this book is not an easy read either. Unless you are an options wizard, in which case the book might not be of much benefit, you should probably read the book slowly. There is a lot of information coming at you at once—much like drinking from a fire hydrant. You will need to think carefully about what you have just read and let it soak in for a while to understand it fully. So while this book is not overly mathematical or technical, you will still need to read slowly and carefully.
And, I highly recommend Adam Warner's Daily Options Report weblog. If you are interested options, then his weblog is for you.
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