Very very good primer by Twitter user @squeezemetrics: https://squeezemetrics.com/download/The_Implied_Order_Book.p...

Thread of other resources on derivs: https://twitter.com/bennpeifert/status/1238823808946954241

If you want to see what he is talking about in terms of how delta and gamma are affected by time to expiration ("spikey"), you can take a look at the apps here: https://www.5minutefinance.org/concepts/the-greeks

The code is here: https://github.com/FinancialMarkets/5MinuteFinance/tree/mast...

Option Volatility and Pricing by Natenberg is extremely complete while managing to avoid drowning in maths, it is widely recommended and considered a classic. There are more informal books around that focus a little too much on trading/application rather than mechanics, and an endless supply of textbooks that'll either bore you to death, drown you in maths or both.

I would recommend Euan Sinclair's Volatility Trading. It provides enough mathematical vigor while focusing on intuition from a trader's perspective.

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