Unperturbed by Volatility has quite a different flavour to other textbooks on options trading and volatility. Indeed, it advertises itself as a book on risk rather than a book on options – volatility and financial derivatives are discussed in the context of risk, but so are other topics.
For instance, I was previously quite unfamiliar with the statistics of fat tails (and somewhat unwilling to read Taleb’s Statistical Consequences of Fat Tails), so it was a relief to have the first two chapters of Unperturbed focussing heavily on the practicalities of modelling asset returns with fat-tailed distributions.
While the book is occasionally heavy-going with theory, this is nicely balanced by practicality in the form of simulation-based experiments and studies on market data. A good example is their simulations on the convergence of the mean absolute deviation as an estimator for sample standard deviation. Surprisingly, under fat tails the MAD outperforms the sample stdev as an estimator for volatility.
On the volatility/options front, Unperturbed covers substantially the same topics you would find in other similar resources, like Sinclair’s Volatility Trading and Bennett’s Trading Volatility (both of which I think are slightly clearer).
Unperturbed is not suitable for a beginner and it could do with some editing – the writing is a little disorganised and my edition contained numerous typos. But where it shines is in the integration of various concepts that are deeply related to volatility – the statistics of fat tails, portfolio construction, tail risk hedging – which other texts generally do not address. There’s gold in these hills for those willing to dig.