In contrast to his later, popular works this is a highly practical text from Taleb covering advanced topics in options and derivative risk management.
Option Gamma Trading (Volcube Advanced Options Trading Guides) by Simon Gleadall
A concise guide to gamma trading from the basics up to more advanced practical ideas.
Volatility Trading: + Website (Wiley Trading) by Euan Sinclair
A more advanced text on volatility trading via options. Read a full review by Volcube here.
An extensive look at various aspects of option trading, in theory and practice by an experienced and well-respected derivatives market participant.
Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg
For many years, the standard text for aspiring and experienced derivatives traders alike. Covers the basics in detail and helpful appendices contain much of the mathematical treatments of options.
Rogue Trader by Nick Leeson
A how-not-to. Leeson ended up selling options to collect premium to use as margin against his colossal futures position. The terror this book induces in the reader is correlated with his/her genuine understanding of derivatives. Useful therefore as a personal assessment tool and as a warning!
The Complete Guide to Option Pricing Formulas by Espen Haug
Eventually seems to find its way on to every derivatives desk and with good reason. Ticks the boxes a formula-reference book should.
The Metaphysics of Markets by Simon Gleadall
An introduction to the philosophy of finance from our very own CEO, analysing the fundamental conceptual nature of the markets and derivatives in the light of the recent crisis.
Too Big to Fail: Inside the Battle to Save Wall Street by Andrew Ross Sorkin
The Lehman-collapse as it happened, according to financial journalist Sorkin. A page-turning ride through the crisis of 2008.