dv: Double Vertical Spread Analytics

In optionstrat: Utilizes the Black-Scholes Option Pricing Model to Perform Strategic Option Analysis and Plot Option Strategies

Description

Calculates the key analytics of a Double Vertical Credit Spread

Usage

dv(s, x1, x2, x3, x4, t, r, sigma, sigma2 = sigma, sigma3 = sigma,
  sigma4 = sigma, vol = sigma, d = 0)

Arguments

s	Spot price of the underlying asset
x1	Strike price of the lower strike (long) put option
x2	Strike price of the higher strike (short) put option
x3	Strike price of the lower strike (short) call option
x4	Strike price of the higher strike (long) call option
t	Time to expiration in years
r	Annual continuously compounded risk-free rate
sigma	Implied volatility of the lower strike (long) put option (annualized)
sigma2	Implied volatility of the higher strike (short) put option (annualized)
sigma3	Implied volatility of the lower strike (short) call option (annualized)
sigma4	Implied volatility of the higher strike (long) call option (annualized)
vol	Manual over-ride for the volatility of the underlying asset (annualized)
d	Annual continuously compounded dividend yield

Value

Returns a data.frame

Examples

dv(s = 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, t = 0.08, r = 0.02, sigma = 0.2, vol = 0.3)

Example output

                    V1
Spot            100.00
Long.Put         90.00
Short.Put        95.00
Short.Call      105.00
Long.Call       110.00
Lower.BE         94.01
Higher.BE       105.99
Prob.BE           0.45
Prob.Max.Profit   0.38
Prob.Max.Loss     0.32

optionstrat documentation built on Dec. 4, 2019, 1:08 a.m.