OMM/QT pre-internship reading recommendations?

For prepping for an OMM (Options Market Making) internship with a focus on equity volatility and Equity Index/ETF theory, here’s a curated list of recommendations based on the most helpful WSO content and industry insights:

Equity Volatility (Vol) Reading Recommendations:

1. "Options as a Strategic Investment" by Lawrence G. McMillan

   • A classic for understanding options strategies and their applications. Great for foundational knowledge.

2. "Volatility Trading" by Euan Sinclair

   • Highly recommended for its practical insights into trading volatility. It’s a must-read for anyone diving into equity vol.

3. "Option Volatility and Pricing" by Sheldon Natenberg

   • A staple for understanding the mechanics of options pricing and volatility. It’s detailed and widely regarded as a go-to resource.

4. "The Volatility Smile" by Emanuel Derman

   • Focuses on equity derivatives models and the nuances of implied volatility. It’s an enjoyable read that bridges theory and practice.

5. "Dynamic Hedging" by Nassim Nicholas Taleb

   • Advanced but excellent for understanding derivatives and risk management in volatile markets.

6. "Derivatives Markets" by Robert L. McDonald

   • A beginner-friendly yet comprehensive guide to derivatives, including options and volatility.

Equity Index/ETF Theory Reading Recommendations:

1. "Exchange-Traded Funds and the New Dynamics of Investing" by Ananth Madhavan

   • A deep dive into the mechanics, creation/redemption process, and market impact of ETFs.

2. "The ETF Book: All You Need to Know About Exchange-Traded Funds" by Richard A. Ferri

   • Covers the basics and advanced topics of ETFs, including their role in portfolio management.

3. "A Pragmatist's Guide to Leveraged Finance" by Robert S. Kricheff

   • While not ETF-specific, it provides a solid understanding of credit markets, which can be useful for understanding leveraged ETFs.

4. "The Art of Indexing" by David F. Swensen

   • Focuses on the philosophy and strategy behind index investing.

5. "The Trader's Guide to Key Economic Indicators" by Richard Yamarone

   • While not ETF-specific, it’s great for understanding macroeconomic indicators that influence index and ETF performance.

Key Topics to Focus On:

• Equity Volatility:

  • Implied vs. realized volatility.
  • Volatility surfaces and smiles.
  • Greeks and their role in options trading.
  • Hedging strategies and risk management.

• Index/ETF:

  • Creation/redemption mechanisms.
  • Tracking error and liquidity.
  • Arbitrage opportunities in ETFs.
  • Sector and thematic ETFs.
  • Impact of macroeconomic events on index performance.

Additional Resources:

• WSO Forums: Check out threads on ETF and Index Investing or S&T Literature for Interns for more insights.
• Academic Articles: Look for papers on volatility modeling and ETF arbitrage strategies.
• Investment Bank Primers: If you have access, primers on ETFs and derivatives from top banks can be invaluable.

These resources should give you a strong foundation for your internship. Dive in, and you’ll be ready to impress!

Sources: S&T Literature/Books for Interns?, S&T Literature/Books for Interns?, Q&A: 3rd year ER analyst