straddle.long: Long Straddle Strategy Function

In roptions: Option Strategies and Valuation

Description

This function can be used to develop a Long Straddle Strategy.

Usage

straddle.long(c, p, k, ulimit = 10, llimit = 10)

Arguments

c	Premium of Long call Option
p	Premium of Long Put Option
k	Excercise Price of Long call and Put Option
ulimit	Upper Limit of Stock Price at Expiration, Default: 20
llimit	Lower limit of stock price at Expiration., Default: 20

Details

A straddle is a neutral options strategy that involves simultaneously buying both a put option and a call option for the underlying security with the same strike price and the same expiration date.

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

straddle.long(1.2, 3.2, 100)

Example output

   stock_price_at_expiration call_option put_option profit_loss
1                         90        -1.2        6.8         5.6
2                         91        -1.2        5.8         4.6
3                         92        -1.2        4.8         3.6
4                         93        -1.2        3.8         2.6
5                         94        -1.2        2.8         1.6
6                         95        -1.2        1.8         0.6
7                         96        -1.2        0.8        -0.4
8                         97        -1.2       -0.2        -1.4
9                         98        -1.2       -1.2        -2.4
10                        99        -1.2       -2.2        -3.4
11                       100        -1.2       -3.2        -4.4
12                       101        -0.2       -3.2        -3.4
13                       102         0.8       -3.2        -2.4
14                       103         1.8       -3.2        -1.4
15                       104         2.8       -3.2        -0.4
16                       105         3.8       -3.2         0.6
17                       106         4.8       -3.2         1.6
18                       107         5.8       -3.2         2.6
19                       108         6.8       -3.2         3.6
20                       109         7.8       -3.2         4.6
21                       110         8.8       -3.2         5.6

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