strapPnL: Calculates per share Profit and Loss (PnL) at expiration for...

In volatilityTrader: High Volatility Environment Option Trading Strategies Graphs

Calculates per share Profit and Loss (PnL) at expiration for Strap Option Strategy and draws its Bar Plot displaying PnL in the Plots tab.

Description

This is a volatility strategy consisting of a long position in two ATM (at the money) calls , and a long position in an ATM (at the money) put option with a strike price X. This is a net debit trade. The trader or investor has bullish outlook (Kakushadze & Serur, 2018) .

Usage

strapPnL(
  ST,
  X,
  C1,
  C2,
  P,
  hl = 0,
  hu = 2,
  spot = spot,
  pl = pl,
  myData = myData,
  myTibble = myTibble,
  PnL = PnL
)

Arguments

ST	Spot Price at time T.
X	Strike Price or eXercise price.
C1	Call Premium or Call Price paid for first bought Call.
C2	Call Premium or Call Price paid for bought Call.
P	Put Premium paid for the bought put.
hl	lower bound value for setting lower-limit of x-axis displaying spot price.
hu	upper bound value for setting upper-limit of x-axis displaying spot price.
spot	Spot Price
pl	Profit and Loss
myData	Data frame
myTibble	tibble
PnL	Profit and Loss

Details

According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration for Strap Option Strategy and draw its graph in the Plots tab.

Value

graph of the strategy

Examples

strapPnL(25,25,2.40,2.40,1.70)
strapPnL(40,40,3,3,2,hl=0.7,hu=1.2)
strapPnL(1000,1010,18,18,10,hl=0.955,hu=1.055)

volatilityTrader documentation built on Oct. 26, 2022, 1:08 a.m.