stripExpirationValueVT {bearishTrader} | R Documentation |
Calculates the Value/Payoff per share at expiration for Strip Option Strategy and draws its graph in the Plots tab.
stripExpirationValueVT(
ST,
X,
C,
P1,
P2,
hl = 0,
hu = 2,
xlab = "Spot Price ($) at Expiration",
ylab = "Value / Payoff [ VT ] at Expiration ($)",
main = "Strip [VT]"
)
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
C |
Call Premium or Call Price. |
P1 |
Put Premium on first Put. |
P2 |
Put Premium on second 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. |
xlab |
X-axis label. |
ylab |
Y-axis label. |
main |
Title of the Graph. |
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 the Value/Payoff per share at expiration for Strip Option Strategy and draw its graph in the Plots tab. EXAMPLE, Buy HypoBeta December 9 call at $1.40 (outflow) and Buy two (2) HypoBeta December 9 Puts at $0.80 (outflow). This Strategy consists of a long call position (in an at-the-money call option) and a long position in two put options (at-the-money) with a strike price X. This is a net debit trade.
Returns a graph of the strategy.
MaheshP Kumar, maheshparamjitkumar@gmail.com
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group. https://bookshelf.vitalsource.com/books/9780133964448
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
stripExpirationValueVT(9,9,1.4,0.80,0.80)
stripExpirationValueVT(40,40,2,1.25,1.25,hl=0.9,hu=1.2)
stripExpirationValueVT(1000,1000,8,5.50,6.50,hl=0.985,hu=1.022)