call.spread: Bull/Bear Call Spread Strategy Function

In roptions: Option Strategies and Valuation

Description

This function can be used to develop a Bull/Bear Call Strategy.

Usage

call.spread(k1, k2, c1, c2, llimit = 20, ulimit = 20)

Arguments

k1	Excercise Price of Long call Option
k2	Excercise Price of Short Call Option
c1	Premium of Long call Option
c2	Premium of Short Call Option
llimit	Lower limit of stock price at Expiration., Default: 20
ulimit	Upper Limit of Stock Price at Expiration, Default: 20

Details

Bull Call Spread uses two call options to create a range consisting of a lower strike price and an upper strike price.bear call spread is achieved by purchasing call options at a specific strike price while also selling the same number of calls with the same expiration date, but at a lower strike price.

Value

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.

Examples

call.spread(1.2, 3.2, 100, 105)

Example output

[1] "This is a Bull Call Spread because excercise price of long call (k1) is less than excercise price of short call (k2)"
   stock_price_at_expiration long_call short_call profit_loss
1                        -19    -100.0      105.0         5.0
2                        -18    -100.0      105.0         5.0
3                        -17    -100.0      105.0         5.0
4                        -16    -100.0      105.0         5.0
5                        -15    -100.0      105.0         5.0
6                        -14    -100.0      105.0         5.0
7                        -13    -100.0      105.0         5.0
8                        -12    -100.0      105.0         5.0
9                        -11    -100.0      105.0         5.0
10                       -10    -100.0      105.0         5.0
11                        -9    -100.0      105.0         5.0
12                        -8    -100.0      105.0         5.0
13                        -7    -100.0      105.0         5.0
14                        -6    -100.0      105.0         5.0
15                        -5    -100.0      105.0         5.0
16                        -4    -100.0      105.0         5.0
17                        -3    -100.0      105.0         5.0
18                        -2    -100.0      105.0         5.0
19                        -1    -100.0      105.0         5.0
20                         0    -100.0      105.0         5.0
21                         1    -100.0      105.0         5.0
22                         2     -99.2      105.0         5.8
23                         3     -98.2      105.0         6.8
24                         4     -97.2      104.2         7.0
25                         5     -96.2      103.2         7.0
26                         6     -95.2      102.2         7.0
27                         7     -94.2      101.2         7.0
28                         8     -93.2      100.2         7.0
29                         9     -92.2       99.2         7.0
30                        10     -91.2       98.2         7.0
31                        11     -90.2       97.2         7.0
32                        12     -89.2       96.2         7.0
33                        13     -88.2       95.2         7.0
34                        14     -87.2       94.2         7.0
35                        15     -86.2       93.2         7.0
36                        16     -85.2       92.2         7.0
37                        17     -84.2       91.2         7.0
38                        18     -83.2       90.2         7.0
39                        19     -82.2       89.2         7.0
40                        20     -81.2       88.2         7.0
41                        21     -80.2       87.2         7.0

roptions documentation built on July 8, 2020, 7:30 p.m.