longPutCondor {condorOptions}

Calculates per share Profit and Loss (PnL) at expiration for Long Put 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 an OTM Put option with a higher strike price X2Ml, a short position in an ITM Put option with a strike price X3Mu, and a long position in an ITM Put option with a higher strike price X4H. All strikes are equidistant: X4H minus X3Mu equals to X3Mu minus X2Ml; equals to X2Mu minus X1L(Kakushadze & Serur, 2018).

Usage

longPutCondor(
  ST,
  X1L,
  X2Ml,
  X3Mu,
  X4H,
  P1L,
  P2Ml,
  P3Mu,
  P4H,
  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 ITM bought put.

X2Ml

Middle-low Strike Price or eXercise price for middle strike sold put.

X3Mu

Middle-upper Strike Price or eXercise price for middle strike sold put.

X4H

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

P1L

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

P2Ml

Put Premium or Put Price received from the middle-low sold Put.

P3Mu

Put Premium or Put Price received from the middle-upper sold Put.

P4H

Put Premium or Put Price paid for the one ITM 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 Long Put 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

longPutCondor(425,400,420,440,460,16,22.50,35.50,50,hl=0.9,hu=1.125)