Professional traders are always looking at the implied volatility versus the future volatility. And because they don't know for certain what the future volatility is, they try to come up with an intelligent guess by looking at historical volatility and forecast volatility. This chapter describes the key steps of volatility trading which include buying under‐priced options, or selling over‐priced options, periodically buying or selling an appropriate amount of the underlying contract to remain delta‐neutral throughout the life of the option, and at the expiration of the option, liquidating the entire position.