plotvertical: Plot Custom Vertical Spread

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

Description

Plot Custom Vertical Spread

Usage

plotvertical(options = c("call", "put"), s, x1, x2, t, r, sigma,
  sigma2 = sigma, d = 0, ll = 0.75, ul = 1.25, xlab = "spot",
  ylab = "profit/loss", main = "Vertical Spread", ...)

Arguments

options	String argument, either "call" or "put"
s	Spot price of the underlying asset
x1	Short strike (either higher or lower)
x2	Long strike (either higher or lower)
t	Time to expiration in years
r	Annual continuously compounded risk-free rate
sigma	Annualized implied volatility of the short option
sigma2	Annualized implied volatility of the long option
d	Annual continuously compounded dividend yield
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 custom vertical 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

plotvertical("call", 100, 90, 110, (45/365), 0.02, 0.20)

Example output

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