| Title: | Option Strategies and Valuation |
|---|---|
| Description: | Collection of tools to develop options strategies, value option contracts using the Black-Scholes-Merten option pricing model and calculate the option Greeks. Hull, John C. "Options, Futures, and Other Derivatives" (1997, ISBN:0-13-601589-1). Fischer Black, Myron Scholes (1973) "The Pricing of Options and Corporate Liabilities" <doi:10.1086/260062>. |
| Authors: | Anurag Agrawal [aut, cre]
|
| Maintainer: | Anurag Agrawal <[email protected]> |
| License: | GPL-3 |
| Version: | 1.0.3 |
| Built: | 2024-11-21 03:50:05 UTC |
| Source: | https://github.com/cran/roptions |
This function can be used to develop a box spread strategy for options. A box spread is an options arbitrage strategy that combines buying a bull call spread with a matching bear put spread
box.spread( k_long_call, k_short_call, k_long_put, k_short_put, c1, c2, p1, p2, llimit = 20, ulimit = 20 )box.spread( k_long_call, k_short_call, k_long_put, k_short_put, c1, c2, p1, p2, llimit = 20, ulimit = 20 )
k_long_call |
Excercise Price of Long call Option |
k_short_call |
Excercise Price of Short call Option |
k_long_put |
Excercise Price of Long Put Optioon |
k_short_put |
Excercise Price of Short Put Option |
c1 |
Premium of Long Call Option |
c2 |
Premium of Short Call Option |
p1 |
Premium of Long Put Option |
p2 |
Premium of Short Put Option |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
To construct a box spread, a trader buys an in-the-money (ITM) call, sells an out-of-the-money (OTM) call, buys an ITM put and sells an OTM put. In other words, buy an ITM call and put and then sell an OTM call and put.
Returns the profit/loss generated from the strategy along with the profit/loss of individual contract and an interactive graph for the same.
box.spread(100, 105, 95, 110, 3.2, 2.6, 1.1, 2.4)box.spread(100, 105, 95, 110, 3.2, 2.6, 1.1, 2.4)
This function can be used to develop a Butterfly call Spread Strategy.
butterfly.call( k1, k2, k3, c1, c2, c3, spread = c("long", "short"), llimit = 20, ulimit = 20 )butterfly.call( k1, k2, k3, c1, c2, c3, spread = c("long", "short"), llimit = 20, ulimit = 20 )
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 |
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.
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.
butterfly.call(100, 95, 105, 2.3, 1.25, 3.2, spread = 'long')butterfly.call(100, 95, 105, 2.3, 1.25, 3.2, spread = 'long')
This function can be used to develop a Butterfly Put Spread Strategy
butterfly.put( k1, k2, k3, p1, p2, p3, spread = c("long", "short"), llimit = 20, ulimit = 20 )butterfly.put( k1, k2, k3, p1, p2, p3, spread = c("long", "short"), llimit = 20, ulimit = 20 )
k1 |
Excercise Price of 1st Long Put Option (Long Spread)/ Excercise Price of 1st Short Put Option (Short Spread) |
k2 |
Excercise Price of Short Put Option (Long Spread) / Excercise Price of Long Put Option (Short Spread) |
k3 |
Excercise Price of 2nd Long Put Option (Long Spread) / Excercise Price of 2nd Short Put Option (Short Spread) |
p1 |
Premium of 1st Long Put Option (Long Spread)/ Premium of 1st Short Put Option (Short Spread) |
p2 |
Premium of Short Put Option (Long Spread) / Premium of Long Put Option (Short Spread) |
p3 |
Premium of 2nd Long Put Option (Long Spread) / Premium of 2nd Short Put 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 |
The long put butterfly spread is created by buying one put with a lower strike price, selling two at-the-money puts, and buying a put with a higher strike price. Net debt is created when entering the position. The short put butterfly spread is created by writing one out-of-the-money put option with a low strike price, buying two at-the-money puts, and writing an in-the-money put option at a higher strike price.
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.
butterfly.put(100, 105, 95, 2.2, 3.2, 1.25, spread = 'long')butterfly.put(100, 105, 95, 2.2, 3.2, 1.25, spread = 'long')
Calculate the Delta (Option Greek) of a Contract
call.delta(s, k, t, sd, r, d = 0)call.delta(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price.
Oupput gives the delta of a Option Contract.
call.delta(100, 105, 0.25, 0.35, 0.0488)call.delta(100, 105, 0.25, 0.35, 0.0488)
Calculate the Option Greek of a Contract and Estimated Premium of Contract
call.estimate(s, k, t, sd, r, d = 0)call.estimate(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
"Greeks" is a term used in the options market to describe the different dimensions of risk involved in taking an options position. These Greeks are calculated in this function along with the premium of the option contract using the BSM Model.
Output gives the Option Greek of a Option Contract. Also the Premium of the contract is estimated.
call.estimate(100, 105, 0.25, 0.35, 0.0488)call.estimate(100, 105, 0.25, 0.35, 0.0488)
Calculate the Gamma (Option Greek) of a Contract
call.gamma(s, k, t, sd, r, d = 0)call.gamma(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Gamma represents the rate of change between an option's delta and the underlying asset's price.
Output gives the Gamma of a Option Contract.
call.gamma(100, 105, 0.25, 0.35, 0.0488)call.gamma(100, 105, 0.25, 0.35, 0.0488)
Calculate the Specified Option Greek of a Contract
call.greek( greek = c("delta", "gamma", "theta", "vega", "rho"), s, k, t, sd, r, d = 0 )call.greek( greek = c("delta", "gamma", "theta", "vega", "rho"), s, k, t, sd, r, d = 0 )
greek |
Character String of the greek to be calculated |
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price. Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. Gamma represents the rate of change between an option's delta and the underlying asset's price. Vega represents the rate of change between an option's value and the underlying asset's implied volatility. Rho represents the rate of change between an option's value and a 1% change in the interest rate.
Output gives the Specified Greek of a Option Contract.
call.greek('delta', 100, 105, 0.25, 0.35, 0.0488)call.greek('delta', 100, 105, 0.25, 0.35, 0.0488)
Calculate the Specified Minor Option Greek of a Contract
call.minorgreek(minorgreek = c("lambda", "vomma"), s, k, t, sd, r, d = 0)call.minorgreek(minorgreek = c("lambda", "vomma"), s, k, t, sd, r, d = 0)
minorgreek |
Character String of the minor greek to be calculated |
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Vomma is the rate at which the vega of an option will react to volatility in the market. In options trading, Lamba is the Greek letter assigned to variable which tells the ratio of how much leverage an option is providing as the price of that option changes.
Output gives the Specified Minor Greek of a Option Contract.
call.minorgreek('lambda', 100, 105, 0.25, 0.35, 0.0488)call.minorgreek('lambda', 100, 105, 0.25, 0.35, 0.0488)
Calculate the Rho (Option Greek) of Option Contract
call.rho(s, k, t, sd, r, d = 0)call.rho(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Rho represents the rate of change between an option's value and a 1% change in the interest rate.
Output gives the Rho of a Option Contract.
call.rho(100, 105, 0.25, 0.35, 0.0488)call.rho(100, 105, 0.25, 0.35, 0.0488)
This function can be used to develop a Bull/Bear Call Strategy.
call.spread(k1, k2, c1, c2, llimit = 20, ulimit = 20)call.spread(k1, k2, c1, c2, llimit = 20, ulimit = 20)
k1 |
Excercise Price of Long call Option |
k2 |
Excercise Price of Short Call Option |
c1 |
Premium of Long call Option |
c2 |
Premium of Short Call Option |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
Bull Call Spread uses two call options to create a range consisting of a lower strike price and an upper strike price.bear call spread is achieved by purchasing call options at a specific strike price while also selling the same number of calls with the same expiration date, but at a lower strike price.
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.
call.spread(1.2, 3.2, 100, 105)call.spread(1.2, 3.2, 100, 105)
Calculate the Theta (Option Greek) of Option Contract
call.theta(s, k, t, sd, r, d = 0)call.theta(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.
Output gives the Theta of a Option Contract.
call.theta(100, 105, 0.25, 0.35, 0.0488)call.theta(100, 105, 0.25, 0.35, 0.0488)
Calculate the Vega (Option Greek) of Option Contract
call.vega(s, k, t, sd, r, d = 0)call.vega(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Vega represents the rate of change between an option's value and the underlying asset's implied volatility.
Output gives the Vega of a Option Contract.
call.vega(100, 105, 0.25, 0.35, 0.0488)call.vega(100, 105, 0.25, 0.35, 0.0488)
Converts nominal rate into Continously compounded Rate
cont.rate(r, t)cont.rate(r, t)
r |
rate (nominal) |
t |
number of compounding period |
Generates Continuously Compounded Rate
Generates Continuously Compounded Rate
cont.rate(0.025, 4)cont.rate(0.025, 4)
This function can be used to develop a Iron Condour Strategy.
iron.condour( k_long_call, k_short_call, k_long_put, k_short_put, c1, c2, p1, p2, llimit = 20, ulimit = 20 )iron.condour( k_long_call, k_short_call, k_long_put, k_short_put, c1, c2, p1, p2, llimit = 20, ulimit = 20 )
k_long_call |
Excercise Price of Long call Option |
k_short_call |
Excercise Price of Short call Option |
k_long_put |
Excercise Price of Long Put Option |
k_short_put |
Excercise Price of Short Put Option |
c1 |
Premium of Long call Option |
c2 |
Premium of Short call Option |
p1 |
Premium of Long Put Option |
p2 |
Premium of Short Put Option |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
An Iron condor is an options strategy created with four options consisting of two puts (one long and one short) and two calls (one long and one short), and four strike prices, all with the same expiration date.
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.
iron.condour(100, 95, 105, 102, 2.3, 1.25, 3.2, 2.3)iron.condour(100, 95, 105, 102, 2.3, 1.25, 3.2, 2.3)
Calculate the Delta (Option Greek) of a Contract
put.delta(s, k, t, sd, r, d = 0)put.delta(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price.
Oupput gives the delta of a Option Contract.
put.delta(100, 105, 0.25, 0.35, 0.0488)put.delta(100, 105, 0.25, 0.35, 0.0488)
Calculate the Option Greek of a Contract and Estimated Premium of Contract
put.estimate(s, k, t, sd, r, d = 0)put.estimate(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
"Greeks" is a term used in the options market to describe the different dimensions of risk involved in taking an options position. These Greeks are calculated in this function along with the premium of the option contract using the BSM Model.
Output gives the Option Greek of a Option Contract. Also the Premium of the contract is estimated.
put.estimate(100, 105, 0.25, 0.35, 0.0488)put.estimate(100, 105, 0.25, 0.35, 0.0488)
Calculate the Gamma (Option Greek) of a Contract
put.gamma(s, k, t, sd, r, d = 0)put.gamma(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Gamma represents the rate of change between an option's delta and the underlying asset's price.
Output gives the Gamma of a Option Contract.
put.gamma(100, 105, 0.25, 0.35, 0.0488)put.gamma(100, 105, 0.25, 0.35, 0.0488)
Calculate the Specified Option Greek of a Contract
put.greek( greek = c("delta", "gamma", "theta", "vega", "rho"), s, k, t, sd, r, d = 0 )put.greek( greek = c("delta", "gamma", "theta", "vega", "rho"), s, k, t, sd, r, d = 0 )
greek |
Character String of the greek to be calculated |
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price. Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay. Gamma represents the rate of change between an option's delta and the underlying asset's price. Vega represents the rate of change between an option's value and the underlying asset's implied volatility. Rho represents the rate of change between an option's value and a 1% change in the interest rate.
Output gives the Specified Greek of a Option Contract.
put.greek('delta', 100, 105, 0.25, 0.35, 0.0488)put.greek('delta', 100, 105, 0.25, 0.35, 0.0488)
Calculate the Specified Minor Option Greek of a Contract
put.minorgreek(minorgreek = c("lambda", "vomma"), s, k, t, sd, r, d = 0)put.minorgreek(minorgreek = c("lambda", "vomma"), s, k, t, sd, r, d = 0)
minorgreek |
Character String of the minor greek to be calculated |
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Vomma is the rate at which the vega of an option will react to volatility in the market. In options trading, Lamba is the Greek letter assigned to variable which tells the ratio of how much leverage an option is providing as the price of that option changes.
Output gives the Specified Minor Greek of a Option Contract.
put.minorgreek('lambda', 100, 105, 0.25, 0.35, 0.0488)put.minorgreek('lambda', 100, 105, 0.25, 0.35, 0.0488)
Calculate the Rho (Option Greek) of Option Contract
put.rho(s, k, t, sd, r, d = 0)put.rho(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Rho represents the rate of change between an option's value and a 1% change in the interest rate.
Output gives the Estimated Premium of a Option Contract.
put.rho(100, 105, 0.25, 0.35, 0.0488)put.rho(100, 105, 0.25, 0.35, 0.0488)
This function can be used to develop a Bull/Bear Put Strategy.
put.spread(k1, k2, long_put, short_put, llimit = 20, ulimit = 20)put.spread(k1, k2, long_put, short_put, llimit = 20, ulimit = 20)
k1 |
Excercise Price of Long Put Option |
k2 |
Excercise Price of Short Put Option |
long_put |
Premium of Long Put Option |
short_put |
Premium of Short Put Option |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
The strategy uses two put options to form a range consisting of a high strike price and a low strike price.
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.
put.spread(1.2, 3.2, 100, 105)put.spread(1.2, 3.2, 100, 105)
Calculate the Theta (Option Greek) of Option Contract
put.theta(s, k, t, sd, r, d = 0)put.theta(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.
Output gives the Theta of a Option Contract.
put.theta(100, 105, 0.25, 0.35, 0.0488)put.theta(100, 105, 0.25, 0.35, 0.0488)
Calculate the Vega (Option Greek) of Option Contract
put.vega(s, k, t, sd, r, d = 0)put.vega(s, k, t, sd, r, d = 0)
s |
Spot Price of Underlying Asset |
k |
Exercise Price of Contract |
t |
Time to Expiration |
sd |
Volatality |
r |
Risk free rate of return |
d |
Divident Yield (use cont.rate()), Default: 0 |
Vega represents the rate of change between an option's value and the underlying asset's implied volatility.
Output gives the Vega of a Option Contract.
put.vega(100, 105, 0.25, 0.35, 0.0488)put.vega(100, 105, 0.25, 0.35, 0.0488)
This function can be used to develop a Long Straddle Strategy.
straddle.long(c, p, k, ulimit = 10, llimit = 10)straddle.long(c, p, k, ulimit = 10, llimit = 10)
c |
Premium of Long call Option |
p |
Premium of Long Put Option |
k |
Excercise Price of Long call and Put Option |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
A straddle is a neutral options strategy that involves simultaneously buying both a put option and a call option for the underlying security with the same strike price and the same expiration date.
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.
straddle.long(1.2, 3.2, 100)straddle.long(1.2, 3.2, 100)
This function can be used to develop a Short Straddle Strategy.
straddle.short(c, p, k, ulimit = 10, llimit = 10)straddle.short(c, p, k, ulimit = 10, llimit = 10)
c |
Premium of Short call Option |
p |
Premium of Short Put Option |
k |
Excercise Price of Short call and Put Option |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
A straddle is a neutral options strategy that involves simultaneously selling both a put option and a call option for the underlying security with the same strike price and the same expiration date.
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.
straddle.short(1.2, 3.2, 100)straddle.short(1.2, 3.2, 100)
This function can be used to develop a Long Strangle Strategy.
strangle.long(c, p, k_call, k_put, ulimit = 10, llimit = 10)strangle.long(c, p, k_call, k_put, ulimit = 10, llimit = 10)
c |
Premium of Long call Option |
p |
Premium of Long Put Option |
k_call |
Excercise Price of Long call Option |
k_put |
Excercise Price of Long Put Option |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
A strangle is an options strategy where the investor holds a position in both a call and a put option with different strike prices, but with the same expiration date and underlying asset.
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.
strangle.long(1.2, 3.2, 100, 105)strangle.long(1.2, 3.2, 100, 105)
This function can be used to develop a Short Strangle Strategy.
strangle.short(c, p, k_call, k_put, ulimit = 10, llimit = 10)strangle.short(c, p, k_call, k_put, ulimit = 10, llimit = 10)
c |
Premium of Short call Option |
p |
Premium of Short Put Option |
k_call |
Excercise Price of Short call Option |
k_put |
Excercise Price of Short Put Option |
ulimit |
Upper Limit of Stock Price at Expiration, Default: 20 |
llimit |
Lower limit of stock price at Expiration., Default: 20 |
A strangle is an options strategy where the investor holds a position in both a call and a put option with different strike prices, but with the same expiration date and underlying asset.
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.
strangle.short(1.2, 3.2, 100, 105)strangle.short(1.2, 3.2, 100, 105)