Call Delta

Description

Calculates the delta of the European- style call option

Usage

calldelta(s, x, sigma, t, r, d = 0)

Arguments

Details

The delta of an option can be defined as the rate of change of the option value given a $1 change in the underlying asset price.

Value

Returns the call delta

Examples

calldelta(100, 100, 0.20, (45/365), 0.02, 0.02)

Call Option Evaluation

Description

Creates a data.frame containing call option greeks; delta, gamma, vega, theta, rho and the call premium

Usage

calleval(s, x, sigma, t, r, d = 0)

Arguments

Value

Returns a data.frame containing the option premium and greeks:

• Premium

• Delta

• Gamma

• Vega

• Theta

• Rho

Author(s)

John T. Buynak

Examples

calleval(100, 100, 0.20, (45/365), 0.02, 0.02)

Call Option Greek

Description

Computes the selected option greek, including premium

Usage

callgreek(greek = c("delta", "gamma", "theta", "vega", "rho", "premium"),
  s, x, sigma, t, r, d = 0)

Arguments

Value

Returns the desired option greek, including premium

Examples

callgreek("delta", 100, 100, 0.20, (45/365), 0.02, 0.02)
callgreek("gamma", 100, 100, 0.20, (45/365), 0.02, 0.02)

Call Premium

Description

Calculates the premium of a European-style call option using the Black-Scholes option pricing model

Usage

callpremium(s, x, sigma, t, r, d = 0)

Arguments

Value

Returns the value of the call option

Examples

callpremium(100, 100, 0.20, (45/365), 0.02, 0.02)

Call Rho

Description

Calculates the rho of the European- style call option

Usage

callrho(s, x, sigma, t, r, d = 0)

Arguments

Details

Rho measures the change in the option's value given a 1

Value

Returns the call rho

Examples

callrho(100, 100, 0.20, (45/365), 0.02, 0.02)

Call Theta

Description

Calculates the theta of the European- style call option

Usage

calltheta(s, x, sigma, t, r, d = 0)

Arguments

Details

Theta is the "time-decay" of the option value measured as a daily value

Value

Returns the call theta

Examples

calltheta(100, 100, 0.20, (45/365), 0.02, 0.02)

Double Vertical Spread Analytics

Description

Calculates the key analytics of a Double Vertical Credit Spread

Usage

dv(s, x1, x2, x3, x4, t, r, sigma, sigma2 = sigma, sigma3 = sigma,
  sigma4 = sigma, vol = sigma, d = 0)

Arguments

Value

Returns a data.frame

Examples

dv(s = 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, t = 0.08, r = 0.02, sigma = 0.2, vol = 0.3)

Implied Volatility Calculation

Description

Computes the implied volatility of an option, either a call or put, given the option premium and key parameters

Usage

iv.calc(type, price, s, x, t, r, d = 0)

Arguments

Value

Returns a single option's implied volatility

Examples

iv.calc(type = "call", price = 2.93, s = 100, x = 100, t = (45/365), r = 0.02, d = 0)

Lambda

Description

Calculates the Lambda of the call or put option

Usage

lambda(type = "call", s, x, sigma, t, r, d = 0)

Arguments

Details

Lambda, or elasticity is the percentage change in the option valueper percentage change in the underlying price. It is a measure of leverage.

Value

Calculates the Lambda of the option contract

Examples

lambda(type = "put", s = 100, x = 100, sigma = 0.15, t = 45/365, r = 0.02)

Dual Option Evaluation

Description

Creates a data.frame containing both call and put option greeks; delta, gamma, vega, theta, rho and the option premium

Usage

opteval(s, x, sigma, t, r, d = 0)

Arguments

Value

Returns a data.frame containing the call and put option premium and greeks:

• Premium

• Delta

• Gamma

• Vega

• Theta

• Rho

Examples

opteval(100, 100, 0.20, (45/365), 0.02, 0.02)

Option Gamma

Description

Calculates the gamma of a European- style call and put option

Usage

optiongamma(s, x, sigma, t, r, d = 0)

Arguments

Details

Gamma is the rate of change of the option's delta given a $1 change in the underlying asset.

Value

Returns the option gamma

Examples

optiongamma(100, 100, 0.20, (45/365), 0.02, 0.02)

Option Vega

Description

Calculates the vega of a European- style call and put option

Usage

optionvega(s, x, sigma, t, r, d = 0)

Arguments

Details

Vega measures the change in the option's value given a 1

Value

Returns the option vega

Examples

optionvega(100, 100, 0.20, (45/365), 0.02, 0.02)

Plot Bear Call Spread

Description

Plot a bear call spread (credit spread)

Usage

plotbearcall(s, x1, x2, t, r, sigma, sigma2 = sigma, d = 0,
  ll = 0.75, ul = 1.25, xlab = "spot", ylab = "Profit/Loss",
  main = "Bear Call Spread", ...)

Arguments

Value

Returns a plot of a vertical call spread (credit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotbearcall(s= 100, x1 = 95, x2 = 105, t = (45/365), r = 0.02,
sigma = 0.20, sigma2 = 0.20, d = 0, ll = 0.75, ul = 1.25)

Plot Bear Put Spread

Description

Plot a bear put spread (debit spread)

Usage

plotbearput(s, x1, x2, t, r, sigma, sigma2 = sigma, d = 0, ll = 0.75,
  ul = 1.25, xlab = "spot", ylab = "Profit/Loss",
  main = "Bear Put Spread", ...)

Arguments

Value

Returns a plot of a vertical put spread (debit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotbearput(s= 100, x1 = 95, x2 = 105, t = (45/365), r = 0.02,
sigma = 0.20, sigma2 = 0.20, d = 0, ll = 0.75, ul = 1.25)

Plot Bull Call Spread

Description

Plot a bull call spread (debit spread)

Usage

plotbullcall(s, x1, x2, t, r, sigma, sigma2 = sigma, d = 0,
  ll = 0.75, ul = 1.25, xlab = "spot", ylab = "profit/loss",
  main = "Bull Call Spread", ...)

Arguments

Value

Returns a plot of a vertical call spread (debit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotbullcall(s= 100, x1 = 95, x2 = 105, t = (45/365), r = 0.02,
sigma = 0.20, sigma2 = 0.20, d = 0, ll = 0.75, ul = 1.25)

Plot Bull Put Spread

Description

Plot a bull put spread (credit spread)

Usage

plotbullput(s, x1, x2, t, r, d = 0, sigma, sigma2 = sigma, ll = 0.75,
  ul = 1.25, xlab = "spot", ylab = "Profit/Loss",
  main = "Bull Put Spread", ...)

Arguments

Value

Returns a plot of a vertical put spread (credit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotbullput(s= 100, x1 = 95, x2 = 105, t = (45/365), r = 0.02,
sigma = 0.20, sigma2 = 0.20, d = 0, ll = 0.75, ul = 1.25)

Plot Double Vertical Spread

Description

Plot a double vertical spread (credit spread)

Usage

plotdv(s, x1, x2, x3, x4, t, r, sigma, sigma2 = sigma, sigma3 = sigma,
  sigma4 = sigma, d = 0, ll = 0.75, ul = 1.25, xlab = "spot",
  ylab = "Profit/Loss", main = "Double Vertical Spread", ...)

Arguments

Details

The double vertical spread consists of a credit put spread and a credit debit spread.

Value

Returns a plot of a double vertical spread (credit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotdv(s= 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, t = (45/365), r = 0.02, sigma = 0.20)

Plot Custom Vertical Spread

Description

Plot Custom Vertical Spread

Usage

plotvertical(options = c("call", "put"), s, x1, x2, t, r, sigma,
  sigma2 = sigma, d = 0, ll = 0.75, ul = 1.25, xlab = "spot",
  ylab = "profit/loss", main = "Vertical Spread", ...)

Arguments

Value

Returns a plot of a custom vertical spread. Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotvertical("call", 100, 90, 110, (45/365), 0.02, 0.20)

Probability Above

Description

Calculates the probability of the underlying asset value remaining above a price level in a designated time frame, given the daily standard devaiation of the underlying returns.

Usage

prob.above(spot, lower, mean = 0, asd = 0, dsd = 0, dte = 0, p,
  quantile = FALSE, tradedays = 262)

Arguments

Details

This function has two separate possible operations: 1. Calculates the probability of the underlying asset value remaining above a price level in a designated time frame, given the daily standard devaiation of the underlying returns. 2. Calculates the price the asset will remain above, given the designated probability

Value

Returns a probability (if quantile = FALSE), Returns a data.frame (if quantile = TRUE)

Examples

prob.above(spot = 100, lower = 110, mean = 0, dsd = 0.01, dte = 45)
prob.above(spot = 100, mean = 0, dsd = 0.01, dte = 45, p = 0.75, quantile = TRUE)

Probability Below

Description

Calculates the probability of the underlying asset value remaining below a price level in a designated time frame, given the daily standard devaiation of the underlying returns.

Usage

prob.below(spot, upper, mean = 0, asd = 0, dsd = 0, dte = 0, p,
  quantile = FALSE, tradedays = 262)

Arguments

Details

This function has two separate possible operations: 1. Calculates the probability of the underlying asset value remaining below a price level in a designated time frame, given the daily standard devaiation of the underlying returns. 2. Calculates the price the asset will remain below, given the designated probability

Value

Returns a probability (if quantile = FALSE), Returns a data.frame (if quantile = TRUE)

Examples

prob.below(spot = 100, upper = 110, mean = 0, dsd = 0.01, dte = 45)
prob.below(spot = 100, mean = 0, dsd = 0.01, dte = 45, p = 0.75, quantile = TRUE)

Probability Between

Description

Calculates the probability of the underlying asset value falling between two prices in a designated time frame, given the daily standard devaiation of the underlying returns.

Usage

prob.btwn(spot, lower, upper, asd = 0, dsd = 0, dte = 0, mean = 0,
  p, quantile = FALSE, tradedays = 262)

Arguments

Details

This function has two separate possible operations: 1. Calculates the probability of the underlying asset value falling between two prices in a designated time frame, given the daily standard devaiation of the underlying returns. 2. Calculates the probable price range, given a set probability

Value

Returns a probability (if quantile = FALSE), Returns a data.frame (if quantile = TRUE)

Examples

prob.btwn(spot = 100, lower = 90, upper = 110, mean = 0, dsd = 0.01, dte = 45)
prob.btwn(spot = 100, mean = 0, dsd = 0.01, dte = 45, p = 0.75, quantile = TRUE)

Put Delta

Description

Calculates the delta of the European- style put option

Usage

putdelta(s, x, sigma, t, r, d = 0)

Arguments

Details

The delta of an option can be defined as the rate of change of the option value given a $1 change in the underlying asset price.

Value

Returns the put delta

Examples

putdelta(100, 0.20, (45/365), 0.02, 0.02)

Put Option Evaluation

Description

Creates a data.frame containing put option greeks; delta, gamma, vega, theta, rho and the putpremium

Usage

puteval(s, x, sigma, t, r, d = 0)

Arguments

Value

Returns a data.frame containing the option premium and greeks:

• Premium

• Delta

• Gamma

• Vega

• Theta

• Rho

Author(s)

John T. Buynak

Examples

puteval(100, 100, 0.20, (45/365), 0.02, 0.02)

Put Option Greek

Description

Computes the selected option greek, including premium

Usage

putgreek(greek = c("delta", "gamma", "theta", "vega", "rho", "premium"),
  s, x, sigma, t, r, d = 0)

Arguments

Value

Returns the dired option greek, including premium

Examples

putgreek("vega", 100, 100, 0.20, (45/365), 0.02, 0.02)

Put Premium

Description

Calculates the premium of a European-style put option using the Black-Scholes option pricing model

Usage

putpremium(s, x, sigma, t, r, d = 0)

Arguments

Value

Returns the value of the put option

Examples

putpremium(100, 100, 0.20, (45/365), 0.02, 0.02)

Put Rho

Description

Calculates the rho of the European- style put option

Usage

putrho(s, x, sigma, t, r, d = 0)

Arguments

Details

Rho measures the change in the option's value given a 1

Value

Returns the put rho

Examples

putrho(100, 100, 0.20, (45/365), 0.02, 0.02)

Put Theta

Description

Calculates the theta of the European- style put option

Usage

puttheta(s, x, sigma, t, r, d = 0)

Arguments

Details

Theta is the "time-decay" of the option value measured as a daily value.

Value

Returns the put theta

Examples

puttheta(100, 100, 0.20, (45/365), 0.02, 0.02)

Continuously Compounded Rate

Description

Convert a given nominal rate to a continuously compounded rate

Usage

r.cont(r, n)

Arguments

Value

Returns a continuously compounded rate

Examples

r.cont(0.12, 2)

Time Difference

Description

Computes the difference in time between two dates

Usage

tdiff(date1, date2, period = c("days, years"))

Arguments

Value

Returns a numeric value

Examples

tdiff("2018-01-01", "2018-06-30", "days")

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

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)