Quote from StillTrading:
Sheldon Natenburg's book helped me alot in understanding the basics. Ive also heard Allen Jan Baird's book Option Market Making is really solid as well. Personally Ive been reading Option Theory, by Peter James (which Id recommend to anyone looking for a more advanced book [assuming you have a background in mathematics that is; its very heady and slightly academic]). Cottle's book, Coulda Woulda Shoulda is also a really good read.
I`d recommend these books, too....