Jeff Augen

Jeff Augen spent 18 years at IBM in technology roles before transitioning to options trading research. His books — including "The Volatility Edge in Options Trading", "Trading Options at Expiration", and "Day Trading Options" — focus specifically on anomalies in option pricing behavior around expiration. He identified consistent patterns in how options misprice volatility in the final trading sessions before expiration and developed strategies to exploit these inefficiencies. His data-driven, systematic approach attracted attention from both retail and institutional options traders. Augen's systematic cataloguing of gamma exposure dynamics during options expiration weeks — and how dealer hedging flows affect underlying equity prices — provided practitioners with a granular understanding of the mechanical price effects created by large open interest concentrations around frequently-traded strike prices.