Anyone looking for a good introduction to options trading faces a crowded field of books. Most are atrocious get-rich-quick books targeted to unsophisticated individual investors. Fortunately for professionals, there are a few gems. If you are new to options trading, Natenberg's Option Volatility & Pricing should be the first book you read. It is practical, insightful, and will get you started in the right direction. It is also surprisingly sophisticated for an introductory text. I've been in this business many years, but Natenberg was still able to teach me a thing or two. This is the kind of book you should read twice: once when you are just starting as a trader, and again once you have had a year or two of experience.

The book is largely non-technical, although a wealth of important formulas are provided in appendices. It assumes familiarity with underlier markets, especially equities and futures. The first two chapters introduce basic concepts, exchange procedures and simple trading  strategies. The meat of the book starts in Chapter 3, which is an intuitive introduction to option pricing theory. This leads into Chapter 4, which gives a detailed description of the quintessential options trading strategy—put on a position that the market has mispriced, and dynamically hedge it to expiration. The next three chapters elaborate, looking at volatility and the Greeks in more detail.

The rest of the book focuses on practicalities of trading. Several chapters discuss spreading. Others discuss risk analysis and hedging with options. There is a chapter on American exercise. A closing chapter looks at limitations of standard option pricing formulas.