shortCallCondorPnL {volatilityTrader}

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

Description

This is a volatility strategy consisting of a short position in an ITM call option with a strike price X1L, a long position in an ITM call option with a higher strike price X2Ml, a long position in an OTM call option with a strike price X3Mu, and a short position in an OTM call option with a higher strike price X4H. All strikes are equidistant: X4H minus X3Mu equals to X3Mu minus X2Ml; equals to X2Mu minus X1L. This is a relatively low net credit trade. The trader or investor has a neutral outlook (Kakushadze & Serur, 2018).

Usage

shortCallCondorPnL(
  ST,
  X1L,
  X2Ml,
  X3Mu,
  X4H,
  C1L,
  C2Ml,
  C3Mu,
  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 ITM shorted Call.

X2Ml

Middle-low Strike Price or eXercise price for two middle strike bought Calls.

X3Mu

Middle-upper Strike Price or eXercise price for two middle strike bought Calls.

X4H

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

C1L

Call Premium or Call Price received for the one ITM shorted Call.

C2Ml

Call Premium or Call Price paid for the middle-low bought Call.

C3Mu

Call Premium or Call Price paid for the middle-upper bought Call.

C4H

Call Premium or Call Price received for the one OTM shorted 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 Short Call Condor Option Strategy and draw its graph in the Plots tab.

Value

graph of the strategy

Examples

shortCallCondorPnL(52,45,50,55,60,10,7,4,3.)
shortCallCondorPnL(415,400,420,440,460,50,35,22,16,hl=0.95,hu=1.125)