plotdv: Plot Double Vertical Spread

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

Description

Plot a double vertical spread (credit spread)

Usage

plotdv(s, x1, x2, x3, x4, t, r, sigma, sigma2 = sigma, sigma3 = sigma,
  sigma4 = sigma, d = 0, ll = 0.75, ul = 1.25, xlab = "spot",
  ylab = "Profit/Loss", main = "Double Vertical Spread", ...)

Arguments

s	Spot price of the underlying asset
x1	Lower-strike put option price (long option)
x2	Higher-strike put option price (short option)
x3	Lower-strike call option price (short option)
x4	Higher-strike call 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 put option
sigma2	Annualized implied volatility of the higher-strike put option
sigma3	Annualized implied volatility of the lower-strike call option
sigma4	Annualized implied volatility of the higher-strike call 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

Details

The double vertical spread consists of a credit put spread and a credit debit spread.

Value

Returns a plot of a double vertical 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

plotdv(s= 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, t = (45/365), r = 0.02, sigma = 0.20)

Example output

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