vertical {optionstrat}

Vertical Spread Analytics

Description

Calculates the key analytics of a vertical spread

Usage

vertical(options = c("call", "put"), s, x1, x2, t, r, sigma,
  sigma2 = sigma, vol = sigma, d = 0)

Arguments

options

Character string. Either "call", or "put"

s

Spot price of the underlying asset

x1

Strike price of the short option

x2

Strike price of the long option

t

Time to expiration in years

r

Annual continuously compounded risk-free rate

sigma

Implied volatility of the short option (annualized)

sigma2

Implied volatility of the long option (annualized)

vol

Manual over-ride for the volatility of the underlying asset (annualized)

d

Annual continuously compounded dividend yield

Value

Returns a data.frame

Examples

vertical("call", s = 100, x1 = 90, x2 = 110, t = (45/365), r =  0.025, sigma = 0.20, vol = 0.25)