R/04_longPutCondor.R

In condorOptions: Trading Condor Options Strategies

#'Calculates per share Profit and Loss (PnL) at expiration for Long Put Condor Option Strategy and draws its Bar Plot displaying PnL in the Plots tab.
#'@description
#'This strategy consists of a long position in an OTM Put option with a strike price X1L, a short position in an OTM Put option with a higher strike price X2Ml, a short position in an ITM Put option with a strike price X3Mu, and a long position in an ITM Put 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 Put 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 one ITM bought put.
#'@param X2Ml Middle-low Strike Price or eXercise price for middle strike sold put.
#'@param X3Mu Middle-upper Strike Price or eXercise price for middle strike sold put.
#'@param X4H Higher Strike Price or eXercise price for one OTM bought put.
#'@param P1L Put Premium or Put Price paid for the one OTM bought Put.
#'@param P2Ml Put Premium or Put Price received from the middle-low sold Put.
#'@param P3Mu Put Premium or Put Price received from the middle-upper sold Put.
#'@param P4H Put Premium or Put Price paid for the one ITM bought Put.
#'@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
#'longPutCondor(425,400,420,440,460,16,22.50,35.50,50,hl=0.9,hu=1.125)
#'@export
longPutCondor <- function (ST,X1L,X2Ml,X3Mu,X4H,P1L,P2Ml,P3Mu,P4H,hl=0,hu=2,spot=spot,pl=pl,myData=myData,myTibble=myTibble,PnL=PnL){
  V0= -P1L-P4H + P2Ml +P3Mu
  myData <- data.frame (spot = c((ST*hl):(ST*hu)))
  myData$pl <- (-pmax((X2Ml-myData$spot),0))+(-pmax((X3Mu-myData$spot),0))+ (pmax((X1L-myData$spot),0))+ (pmax((X4H-myData$spot),0)) + V0
  myData$pl = round(myData$pl, digits=2)
  myData$spot = round(myData$spot, digits=2)
  myTibble <- as_tibble(myData)
  myTbColored <- myTibble %>% mutate(PnL = pl >= 0)
  ggplot(myTbColored,aes(x=spot,y=pl,fill=PnL,label=pl)) +
    geom_col(position = "identity") +
    scale_fill_manual(values = c("lavenderblush3","#061C13"), guide= "none" ) +
    geom_point(aes(color=PnL), size=4)+
    scale_color_manual(values = c("rosybrown3","#197A51"), guide= "none" ) +
    geom_text(nudge_y = 0.7,size= 3, color="black")+
    theme(plot.caption = element_text(colour  =  'lightsteelblue3'))+
    theme(axis.ticks = element_line(size  =  1,colour = "red"))+
    theme(panel.grid.major = element_line(colour  =  'lavender',size  =  0.45))+
    theme(panel.grid.minor = element_line(colour  =  'thistle2',size  =  0.35))+
    theme(axis.title = element_text(colour  =  'midnightblue'))+
    theme(plot.title = element_text(colour  =  'brown3', vjust  =  1))+
    theme(panel.background = element_rect(fill  =  '#EFF6FF'))+
    theme(plot.background = element_rect(fill  =  '#E5F0FF', colour  =  'aquamarine4', linetype  =  'dashed'))+
    labs(title  =  'Long Put Condor Strategy', x  =  'Spot Price ($) at Expiration', y  =  'PnL ($) at Expiration', caption  =  'condorOptions / MaheshP Kumar')
}