R/02_longCallCondor.R

In condorOptions: Trading Condor Options Strategies

library(ggplot2)
library(dplyr)
library(magrittr)
library(tibble)
#'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).
#'@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.
#'@param ST Spot Price at time T.
#'@param X1L Lower Strike Price or eXercise price for an ITM long call.
#'@param X2Ml Middle-low Strike Price or eXercise price for sold call.
#'@param X3Mu Middle-upper Strike Price or eXercise price for sold Calls.
#'@param X4H Higher Strike Price or eXercise price for one OTM bought call.
#'@param C1L Call Premium or Call Price paid for the one ITM bought Call.
#'@param C2Ml Call Premium or Call Price received from the middle-low sold Call.
#'@param C3Mu Call Premium or Call Price received from  the middle-upper sold Call.
#'@param C4H Call Premium or Call Price paid for the one OTM bought call.
#'@param PnL Profit and Loss
#'@param spot Spot Price
#'@param pl Profit and Loss
#'@param myData Data frame
#'@param myTibble tibble
#'@param hl lower bound value for setting lower-limit of x-axis displaying spot price.
#'@param hu upper bound value for setting upper-limit of x-axis displaying spot price.
#'@return graph of the strategy
#'@importFrom magrittr %>%
#'@importFrom ggplot2 ggplot
#'@importFrom ggplot2 geom_point
#'@importFrom ggplot2 scale_fill_manual
#'@importFrom ggplot2 scale_color_manual
#'@importFrom ggplot2 geom_col
#'@importFrom tibble as_tibble
#'@importFrom dplyr mutate
#'@importFrom ggplot2 aes
#'@importFrom ggplot2 element_line
#'@importFrom ggplot2 element_rect
#'@importFrom ggplot2 element_text
#'@importFrom ggplot2 geom_line
#'@importFrom ggplot2 geom_text
#'@importFrom ggplot2 labs
#'@importFrom ggplot2 scale_colour_manual
#'@importFrom ggplot2 scale_y_continuous
#'@importFrom ggplot2 theme
#'@author MaheshP Kumar, \email{maheshparamjitkumar@@gmail.com}
#'@references
#'Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.\cr
#'Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865 \cr
#'R Graphics Cookbook. (n.d.). Coloring Negative and Positive Bars Differently. https://r-graphics.org/recipe-bar-graph-color-neg \cr
#'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)
#'@export
longCallCondor <- function (ST,X1L,X2Ml,X3Mu,X4H,C1L,C2Ml,C3Mu,C4H,hl=0,hu=2,spot=spot,pl=pl,myData=myData,myTibble=myTibble,PnL=PnL){
  V0= -C1L- C4H + C2Ml +C3Mu
  myData <- data.frame (spot = c((ST*hl):(ST*hu)))
  myData$pl <- (-pmax((myData$spot-X2Ml),0))+ (-pmax((myData$spot-X3Mu),0)) + (pmax((myData$spot-X1L),0))+ (pmax((myData$spot-X4H),0)) + V0
  myData$pl = round(myData$pl, digits=2)
  myData$spot = round(myData$spot, digits=2)
  myTibble <- as_tibble(myData)
  myTbColored <- myTibble %>% mutate(PnL = pl >= 0)
  ggplot(myTbColored,aes(x=spot,y=pl,fill=PnL,label=pl)) +
    geom_col(position = "identity") +
    scale_fill_manual(values = c("lavenderblush3","#061C13"), guide= "none" ) +
    geom_point(aes(color=PnL), size=4)+
    scale_color_manual(values = c("rosybrown3","#197A51"), guide= "none" ) +
    geom_text(nudge_y = 1,size= 3.5, color="black")+
    theme(plot.caption = element_text(colour  =  'lightsteelblue3'))+
    theme(axis.ticks = element_line(size  =  1,colour = "red"))+
    theme(panel.grid.major = element_line(colour  =  'lavender',size  =  0.45))+
    theme(panel.grid.minor = element_line(colour  =  'thistle2',size  =  0.35))+
    theme(axis.title = element_text(colour  =  'midnightblue'))+
    theme(plot.title = element_text(colour  =  'brown3', vjust  =  1))+
    theme(panel.background = element_rect(fill  =  '#EFF6FF'))+
    theme(plot.background = element_rect(fill  =  '#E5F0FF', colour  =  'aquamarine4', linetype  =  'dashed'))+
    labs(title  =  'Long Call Condor Strategy', x  =  'Spot Price ($) at Expiration', y  =  'PnL ($) at Expiration', caption  =  'condorOptions / MaheshP Kumar')
}