straddle.short: Short Straddle Strategy Function

In roptions: Option Strategies and Valuation

Description

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

Usage

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

Arguments

c	Premium of Short call Option
p	Premium of Short Put Option
k	Excercise Price of Short 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 selling 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.short(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.