vertical: 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 vertical spread

Usage

vertical(options = c("call", "put"), s, x1, x2, t, r, sigma,
  sigma2 = sigma, vol = sigma, d = 0)

Arguments

options	Character string. Either "call", or "put"
s	Spot price of the underlying asset
x1	Strike price of the short option
x2	Strike price of the long option
t	Time to expiration in years
r	Annual continuously compounded risk-free rate
sigma	Implied volatility of the short option (annualized)
sigma2	Implied volatility of the long 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

vertical("call", s = 100, x1 = 90, x2 = 110, t = (45/365), r =  0.025, sigma = 0.20, vol = 0.25)

Example output

                    V1
Spot            100.00
Short.Strike     90.00
Long.Strike     110.00
Max.Profit       10.13
Max.Loss         -9.87
Breakeven       100.13
Prob.BE           0.50
Prob.Max.Profit   0.17
Prob.Max.Loss     0.17
Initial.DC       10.13

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