butterfly.call {roptions} | R Documentation |
Butterfly Call Spread Strategy Function
Description
This function can be used to develop a Butterfly call Spread Strategy.
Usage
butterfly.call(
k1,
k2,
k3,
c1,
c2,
c3,
spread = c("long", "short"),
llimit = 20,
ulimit = 20
)
Arguments
k1 |
Excercise Price of 1st Long call Option (Long Spread)/ Excercise Price of 1st Short call Option (Short Spread) |
k2 |
Excercise Price of Short call Option (Long Spread) / Excercise Price of Long call Option (Short Spread) |
k3 |
Excercise Price of 2nd Long call Option (Long Spread) / Excercise Price of 2nd Short call Option (Short Spread) |
c1 |
Premium of 1st Long call Option (Long Spread)/ Premium of 1st Short call Option (Short Spread) |
c2 |
Premium of Short call Option (Long Spread) / Premium of Long call Option (Short Spread) |
c3 |
Premium of 2nd Long call Option (Long Spread) / Premium of 2nd Short call Option (Short Spread) |
spread |
Type of Spread, Default: c("long", "short") |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
Details
The long butterfly call spread is created by buying one in-the-money call option with a low strike price, writing two at-the-money call options, and buying one out-of-the-money call option with a higher strike price. The short butterfly spread is created by selling one in-the-money call option with a lower strike price, buying two at-the-money call options, and selling an out-of-the-money call option at a higher strike price.
Value
OUTPUT_DESCRIPTION Returns the profit/loss generated from the strategy along with the profit/loss of individual contract and an interactive graph for the same.
Examples
butterfly.call(100, 95, 105, 2.3, 1.25, 3.2, spread = 'long')