plotbearcall: Plot Bear Call Spread

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

Description

Plot a bear call spread (credit spread)

Usage

plotbearcall(s, x1, x2, t, r, sigma, sigma2 = sigma, d = 0,
  ll = 0.75, ul = 1.25, xlab = "spot", ylab = "Profit/Loss",
  main = "Bear Call Spread", ...)

Arguments

s	Spot price of the underlying asset
x1	Lower-strike option price (short option)
x2	Higher-strike option price (long option)
t	Time to expiration in years
r	Annual continuously compounded risk-free rate
sigma	Annualized implied volatility of the lower-strike option
sigma2	Annualized implied volatility of the higher-strike option
d	Annual continuously compounded risk-free rate
ll	Lower-limit of the plot, set as (desired price/spot)
ul	Upper-limit of the plot, set as (desired price/spot)
xlab	X-Axis Label
ylab	Y-Axis Label
main	Title of the plot
...	Additional plot parameters

Value

Returns a plot of a vertical call spread (credit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotbearcall(s= 100, x1 = 95, x2 = 105, t = (45/365), r = 0.02,
sigma = 0.20, sigma2 = 0.20, d = 0, ll = 0.75, ul = 1.25)

Example output

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