strangle.short: Short Strangle Strategy Function

In roptions: Option Strategies and Valuation

Description

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

Usage

strangle.short(c, p, k_call, k_put, ulimit = 10, llimit = 10)

Arguments

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

Details

A strangle is an options strategy where the investor holds a position in both a call and a put option with different strike prices, but with the same expiration date and underlying asset.

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

strangle.short(1.2, 3.2, 100, 105)

Example output

   stock_price_at_expiration call_option put_option profit_loss
1                         90         1.2      -11.8       -10.6
2                         91         1.2      -10.8        -9.6
3                         92         1.2       -9.8        -8.6
4                         93         1.2       -8.8        -7.6
5                         94         1.2       -7.8        -6.6
6                         95         1.2       -6.8        -5.6
7                         96         1.2       -5.8        -4.6
8                         97         1.2       -4.8        -3.6
9                         98         1.2       -3.8        -2.6
10                        99         1.2       -2.8        -1.6
11                       100         1.2       -1.8        -0.6
12                       101         0.2       -0.8        -0.6
13                       102        -0.8        0.2        -0.6
14                       103        -1.8        1.2        -0.6
15                       104        -2.8        2.2        -0.6
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.