butterfly.put: Butterfly Put Spread Strategy Function
In roptions: Option Strategies and Valuation

Description Usage Arguments Details Value Examples

This function can be used to develop a Butterfly Put Spread Strategy

butterfly.put(
  k1,
  k2,
  k3,
  p1,
  p2,
  p3,
  spread = c("long", "short"),
  llimit = 20,
  ulimit = 20
)

`k1`	Excercise Price of 1st Long Put Option (Long Spread)/ Excercise Price of 1st Short Put Option (Short Spread)
`k2`	Excercise Price of Short Put Option (Long Spread) / Excercise Price of Long Put Option (Short Spread)
`k3`	Excercise Price of 2nd Long Put Option (Long Spread) / Excercise Price of 2nd Short Put Option (Short Spread)
`p1`	Premium of 1st Long Put Option (Long Spread)/ Premium of 1st Short Put Option (Short Spread)
`p2`	Premium of Short Put Option (Long Spread) / Premium of Long Put Option (Short Spread)
`p3`	Premium of 2nd Long Put Option (Long Spread) / Premium of 2nd Short Put Option (Short Spread)
`spread`	Type of Spread, Default: c("long", "short")
`llimit`	Lower limit of stock price at Expiration., Default: 20
`ulimit`	Upper Limit of Stock Price at Expiration, Default: 20

The long put butterfly spread is created by buying one put with a lower strike price, selling two at-the-money puts, and buying a put with a higher strike price. Net debt is created when entering the position. The short put butterfly spread is created by writing one out-of-the-money put option with a low strike price, buying two at-the-money puts, and writing an in-the-money put option at a higher strike price.

OUTPUT_DESCRIPTION Returns the profit/loss generated from the strategy along with the profit/loss of individual contract and an interactive graph for the same.

1	butterfly.put(100, 105, 95, 2.2, 3.2, 1.25, spread = 'long')

   stock_price_at_expiration long_put1 short_put1 short_put2 long_put2
1                         80      17.8      -21.8      -21.8     13.75
2                         81      16.8      -20.8      -20.8     12.75
3                         82      15.8      -19.8      -19.8     11.75
4                         83      14.8      -18.8      -18.8     10.75
5                         84      13.8      -17.8      -17.8      9.75
6                         85      12.8      -16.8      -16.8      8.75
7                         86      11.8      -15.8      -15.8      7.75
8                         87      10.8      -14.8      -14.8      6.75
9                         88       9.8      -13.8      -13.8      5.75
10                        89       8.8      -12.8      -12.8      4.75
11                        90       7.8      -11.8      -11.8      3.75
12                        91       6.8      -10.8      -10.8      2.75
13                        92       5.8       -9.8       -9.8      1.75
14                        93       4.8       -8.8       -8.8      0.75
15                        94       3.8       -7.8       -7.8     -0.25
16                        95       2.8       -6.8       -6.8     -1.25
17                        96       1.8       -5.8       -5.8     -1.25
18                        97       0.8       -4.8       -4.8     -1.25
19                        98      -0.2       -3.8       -3.8     -1.25
20                        99      -1.2       -2.8       -2.8     -1.25
21                       100      -2.2       -1.8       -1.8     -1.25
22                       101      -2.2       -0.8       -0.8     -1.25
23                       102      -2.2        0.2        0.2     -1.25
24                       103      -2.2        1.2        1.2     -1.25
25                       104      -2.2        2.2        2.2     -1.25
26                       105      -2.2        3.2        3.2     -1.25
27                       106      -2.2        3.2        3.2     -1.25
28                       107      -2.2        3.2        3.2     -1.25
29                       108      -2.2        3.2        3.2     -1.25
30                       109      -2.2        3.2        3.2     -1.25
31                       110      -2.2        3.2        3.2     -1.25
32                       111      -2.2        3.2        3.2     -1.25
33                       112      -2.2        3.2        3.2     -1.25
34                       113      -2.2        3.2        3.2     -1.25
35                       114      -2.2        3.2        3.2     -1.25
36                       115      -2.2        3.2        3.2     -1.25
37                       116      -2.2        3.2        3.2     -1.25
38                       117      -2.2        3.2        3.2     -1.25
39                       118      -2.2        3.2        3.2     -1.25
40                       119      -2.2        3.2        3.2     -1.25
41                       120      -2.2        3.2        3.2     -1.25
   profit_loss
1       -12.05
2       -12.05
3       -12.05
4       -12.05
5       -12.05
6       -12.05
7       -12.05
8       -12.05
9       -12.05
10      -12.05
11      -12.05
12      -12.05
13      -12.05
14      -12.05
15      -12.05
16      -12.05
17      -11.05
18      -10.05
19       -9.05
20       -8.05
21       -7.05
22       -5.05
23       -3.05
24       -1.05
25        0.95
26        2.95
27        2.95
28        2.95
29        2.95
30        2.95
31        2.95
32        2.95
33        2.95
34        2.95
35        2.95
36        2.95
37        2.95
38        2.95
39        2.95
40        2.95
41        2.95