longIronCondor {condorOptions}

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

Description

This strategy consists of a long position in an OTM put option with a strike price X1L, a short position in put option with higher Strike X2 price and a short position OTM (out of the money) call option with a strike price X3, and a long position in call option with a higher strike price X4H. The strikes are equidistant: X2 minus X1L equals to X4H minus X3 (Kakushadze & Serur, 2018).

Usage

longIronCondor(
  ST,
  X1L,
  X2,
  X3,
  X4H,
  P1L,
  P2,
  C3,
  C4H,
  hl = 0,
  hu = 2,
  spot = spot,
  pl = pl,
  myData = myData,
  myTibble = myTibble,
  PnL = PnL
)

Arguments

ST

Spot Price at time T.

X1L

Lower Strike Price or eXercise price for one OTM bought Put.

X2

Strike Price or eXercise price for one short Put.

X3

Strike Price or eXercise price for one short Call.

X4H

Higher Strike Price or eXercise price for one OTM bought Call.

P1L

Put Premium or Put Price paid for the first OTM bought Put.

P2

Put Premium or Put Price received from the sold Put.

C3

Put Premium or Put Price received from the sold Call.

C4H

Call Premium or Put Price paid for the one OTM bought Call.

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 Long Iron Condor Option Strategy and draw its graph in the Plots tab.

Value

graph of the strategy

Author(s)

MaheshP Kumar, [e-mail]

References

Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
R Graphics Cookbook. (n.d.). Coloring Negative and Positive Bars Differently. https://r-graphics.org/recipe-bar-graph-color-neg
Gross C, Ottolinger P (2016).ggThemeAssist: Add-in to Customize 'ggplot2' Themes. R package version 0.1.5, <URL: https://CRAN.R-project.org/package=ggThemeAssist>.

Examples

longIronCondor(405,400,410,420,430,8,11,13,9,hl=0.95,hu=1.1)