longCallCondor: Calculates per share Profit and Loss (PnL) at expiration for...

In condorOptions: Trading Condor Options Strategies

Calculates per share Profit and Loss (PnL) at expiration for long Call Condor Option Strategy and draws its Bar Plot displaying PnL in the Plots tab.

Description

This strategy consists of a long position in an ITM call option with a strike price X1L, a short position in an ITM call option with a higher strike price X2Ml, a short position in an OTM call option with a strike price X3Mu, and a long position in an OTM call option with a higher strike price X4H. All strikes are equidistant: X4H minus X3Mu equals to X3Mu minus X2Ml; equals to X2Mu minus X1L (Kakushadze & Serur, 2018).

Usage

longCallCondor(
  ST,
  X1L,
  X2Ml,
  X3Mu,
  X4H,
  C1L,
  C2Ml,
  C3Mu,
  C4H,
  hl = 0,
  hu = 2,
  spot = spot,
  pl = pl,
  myData = myData,
  myTibble = myTibble,
  PnL = PnL
)

Arguments

ST	Spot Price at time T.
X1L	Lower Strike Price or eXercise price for an ITM long call.
X2Ml	Middle-low Strike Price or eXercise price for sold call.
X3Mu	Middle-upper Strike Price or eXercise price for sold Calls.
X4H	Higher Strike Price or eXercise price for one OTM bought call.
C1L	Call Premium or Call Price paid for the one ITM bought Call.
C2Ml	Call Premium or Call Price received from the middle-low sold Call.
C3Mu	Call Premium or Call Price received from the middle-upper sold Call.
C4H	Call Premium or Call Price paid for the one OTM bought call.
hl	lower bound value for setting lower-limit of x-axis displaying spot price.
hu	upper bound value for setting upper-limit of x-axis displaying spot price.
spot	Spot Price
pl	Profit and Loss
myData	Data frame
myTibble	tibble
PnL	Profit and Loss

Details

According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration for Long Call Condor Option Strategy and draw its graph in the Plots tab.

Value

graph of the strategy

Author(s)

MaheshP Kumar, [e-mail]

References

Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
R Graphics Cookbook. (n.d.). Coloring Negative and Positive Bars Differently. https://r-graphics.org/recipe-bar-graph-color-neg
Gross C, Ottolinger P (2016).ggThemeAssist: Add-in to Customize 'ggplot2' Themes. R package version 0.1.5, <URL: https://CRAN.R-project.org/package=ggThemeAssist>.

Examples

longCallCondor(415,400,420,440,460,50,35,22,16,hl=0.95,hu=1.125)

condorOptions documentation built on Dec. 16, 2022, 5:11 p.m.