Title:	Option Strategies and Valuation
Version:	1.0.3
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>.
License:	GPL-3
Encoding:	UTF-8
LazyData:	true
RoxygenNote:	7.1.0
Imports:	purrr, ggplot2, plotly, stats
Depends:	R (≥ 2.10)
NeedsCompilation:	no
Packaged:	2020-05-07 11:07:40 UTC; Kanhaiiya Agrawal
Author:	Anurag Agrawal [aut, cre]
Maintainer:	Anurag Agrawal <agrawalanurag1999@gmail.com>
Repository:	CRAN
Date/Publication:	2020-05-11 11:10:06 UTC

Box Spread Strategy Function

Description

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

Usage

box.spread(
  k_long_call,
  k_short_call,
  k_long_put,
  k_short_put,
  c1,
  c2,
  p1,
  p2,
  llimit = 20,
  ulimit = 20
)

Arguments

Details

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.

Value

Returns the profit/loss generated from the strategy along with the profit/loss of individual contract and an interactive graph for the same.

Examples

box.spread(100, 105, 95, 110, 3.2, 2.6, 1.1, 2.4)

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

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')

Butterfly Put Spread Strategy Function

Description

This function can be used to develop a Butterfly Put Spread Strategy

Usage

butterfly.put(
  k1,
  k2,
  k3,
  p1,
  p2,
  p3,
  spread = c("long", "short"),
  llimit = 20,
  ulimit = 20
)

Arguments

Details

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.

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.put(100, 105, 95, 2.2, 3.2, 1.25, spread = 'long')

Call Delta

Description

Calculate the Delta (Option Greek) of a Contract

Usage

call.delta(s, k, t, sd, r, d = 0)

Arguments

Details

Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price.

Value

Oupput gives the delta of a Option Contract.

Examples

call.delta(100, 105, 0.25, 0.35, 0.0488)

Option Greek and Estimated Premium of Call Option

Description

Calculate the Option Greek of a Contract and Estimated Premium of Contract

Usage

call.estimate(s, k, t, sd, r, d = 0)

Arguments

Details

"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.

Value

Output gives the Option Greek of a Option Contract. Also the Premium of the contract is estimated.

Examples

call.estimate(100, 105, 0.25, 0.35, 0.0488)

Call Gamma

Description

Calculate the Gamma (Option Greek) of a Contract

Usage

call.gamma(s, k, t, sd, r, d = 0)

Arguments

Details

Gamma represents the rate of change between an option's delta and the underlying asset's price.

Value

Output gives the Gamma of a Option Contract.

Examples

call.gamma(100, 105, 0.25, 0.35, 0.0488)

Specified Call Option Greek

Description

Calculate the Specified Option Greek of a Contract

Usage

call.greek(
  greek = c("delta", "gamma", "theta", "vega", "rho"),
  s,
  k,
  t,
  sd,
  r,
  d = 0
)

Arguments

Details

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.

Value

Output gives the Specified Greek of a Option Contract.

Examples

call.greek('delta', 100, 105, 0.25, 0.35, 0.0488)

Specified Minor Option Greek

Description

Calculate the Specified Minor Option Greek of a Contract

Usage

call.minorgreek(minorgreek = c("lambda", "vomma"), s, k, t, sd, r, d = 0)

Arguments

Details

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.

Value

Output gives the Specified Minor Greek of a Option Contract.

Examples

call.minorgreek('lambda', 100, 105, 0.25, 0.35, 0.0488)

Estimated Premium of Option Contract

Description

Calculate the Estimated Premium of Option Contract

Usage

call.premium.est(s, k, t, sd, r, d = 0)

Arguments

Details

Estimate is calculated based on Black-Scholes Model. The Black Scholes model, also known as the Black-Scholes-Merton (BSM) model, is a mathematical model for pricing an options contract.

Value

Output gives the Estimated Premium of a Option Contract.

Examples

call.premium.est(100, 105, 0.25, 0.35, 0.0488)

Call Rho

Description

Calculate the Rho (Option Greek) of Option Contract

Usage

call.rho(s, k, t, sd, r, d = 0)

Arguments

Details

Rho represents the rate of change between an option's value and a 1% change in the interest rate.

Value

Output gives the Rho of a Option Contract.

Examples

call.rho(100, 105, 0.25, 0.35, 0.0488)

Bull/Bear Call Spread Strategy Function

Description

This function can be used to develop a Bull/Bear Call Strategy.

Usage

call.spread(k1, k2, c1, c2, llimit = 20, ulimit = 20)

Arguments

Details

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.

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

call.spread(1.2, 3.2, 100, 105)

Call Theta

Description

Calculate the Theta (Option Greek) of Option Contract

Usage

call.theta(s, k, t, sd, r, d = 0)

Arguments

Details

Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.

Value

Output gives the Theta of a Option Contract.

Examples

call.theta(100, 105, 0.25, 0.35, 0.0488)

Call Vega

Description

Calculate the Vega (Option Greek) of Option Contract

Usage

call.vega(s, k, t, sd, r, d = 0)

Arguments

Details

Vega represents the rate of change between an option's value and the underlying asset's implied volatility.

Value

Output gives the Vega of a Option Contract.

Examples

call.vega(100, 105, 0.25, 0.35, 0.0488)

Continous Rate

Description

Converts nominal rate into Continously compounded Rate

Usage

cont.rate(r, t)

Arguments

Details

Generates Continuously Compounded Rate

Value

Generates Continuously Compounded Rate

Examples

cont.rate(0.025, 4)

Iron Condour Strategy Function

Description

This function can be used to develop a Iron Condour Strategy.

Usage

iron.condour(
  k_long_call,
  k_short_call,
  k_long_put,
  k_short_put,
  c1,
  c2,
  p1,
  p2,
  llimit = 20,
  ulimit = 20
)

Arguments

Details

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.

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

iron.condour(100, 95, 105, 102, 2.3, 1.25, 3.2, 2.3)

Put Delta

Description

Calculate the Delta (Option Greek) of a Contract

Usage

put.delta(s, k, t, sd, r, d = 0)

Arguments

Details

Delta represents the rate of change between the option's price and a $1 change in the underlying asset's price.

Value

Oupput gives the delta of a Option Contract.

Examples

put.delta(100, 105, 0.25, 0.35, 0.0488)

Option Greek and Estimated Premium of Put Option

Description

Calculate the Option Greek of a Contract and Estimated Premium of Contract

Usage

put.estimate(s, k, t, sd, r, d = 0)

Arguments

Details

"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.

Value

Output gives the Option Greek of a Option Contract. Also the Premium of the contract is estimated.

Examples

put.estimate(100, 105, 0.25, 0.35, 0.0488)

Put Gamma

Description

Calculate the Gamma (Option Greek) of a Contract

Usage

put.gamma(s, k, t, sd, r, d = 0)

Arguments

Details

Gamma represents the rate of change between an option's delta and the underlying asset's price.

Value

Output gives the Gamma of a Option Contract.

Examples

put.gamma(100, 105, 0.25, 0.35, 0.0488)

Put Greeks

Description

Calculate the Specified Option Greek of a Contract

Usage

put.greek(
  greek = c("delta", "gamma", "theta", "vega", "rho"),
  s,
  k,
  t,
  sd,
  r,
  d = 0
)

Arguments

Details

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.

Value

Output gives the Specified Greek of a Option Contract.

Examples

put.greek('delta', 100, 105, 0.25, 0.35, 0.0488)

Specified Minor Option Greek

Description

Calculate the Specified Minor Option Greek of a Contract

Usage

put.minorgreek(minorgreek = c("lambda", "vomma"), s, k, t, sd, r, d = 0)

Arguments

Details

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.

Value

Output gives the Specified Minor Greek of a Option Contract.

Examples

put.minorgreek('lambda', 100, 105, 0.25, 0.35, 0.0488)

Estimated Premium of Put Option

Description

Calculate the Estimated Premium of Option Contract

Usage

put.premium.est(s, k, t, sd, r, d = 0)

Arguments

Details

Estimate is calculated based on Black-Scholes Model. The Black Scholes model, also known as the Black-Scholes-Merton (BSM) model, is a mathematical model for pricing an options contract.

Value

Output gives the Estimated Premium of a Option Contract.

Examples

put.premium.est(100, 105, 0.25, 0.35, 0.0488)

Put Rho

Description

Calculate the Rho (Option Greek) of Option Contract

Usage

put.rho(s, k, t, sd, r, d = 0)

Arguments

Details

Rho represents the rate of change between an option's value and a 1% change in the interest rate.

Value

Output gives the Estimated Premium of a Option Contract.

Examples

put.rho(100, 105, 0.25, 0.35, 0.0488)

Bull/Bear Put Spread Strategy Function

Description

This function can be used to develop a Bull/Bear Put Strategy.

Usage

put.spread(k1, k2, long_put, short_put, llimit = 20, ulimit = 20)

Arguments

Details

The strategy uses two put options to form a range consisting of a high strike price and a low 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

put.spread(1.2, 3.2, 100, 105)

Put Theta

Description

Calculate the Theta (Option Greek) of Option Contract

Usage

put.theta(s, k, t, sd, r, d = 0)

Arguments

Details

Theta represents the rate of change between the option price and time, or time sensitivity - sometimes known as an option's time decay.

Value

Output gives the Theta of a Option Contract.

Examples

put.theta(100, 105, 0.25, 0.35, 0.0488)

Put Vega

Description

Calculate the Vega (Option Greek) of Option Contract

Usage

put.vega(s, k, t, sd, r, d = 0)

Arguments

Details

Vega represents the rate of change between an option's value and the underlying asset's implied volatility.

Value

Output gives the Vega of a Option Contract.

Examples

put.vega(100, 105, 0.25, 0.35, 0.0488)

Long Straddle Strategy Function

Description

This function can be used to develop a Long Straddle Strategy.

Usage

straddle.long(c, p, k, ulimit = 10, llimit = 10)

Arguments

Details

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.

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

straddle.long(1.2, 3.2, 100)

Short Straddle Strategy Function

Description

This function can be used to develop a Short Straddle Strategy.

Usage

straddle.short(c, p, k, ulimit = 10, llimit = 10)

Arguments

Details

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.

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

straddle.short(1.2, 3.2, 100)

Long Strangle Strategy Function

Description

This function can be used to develop a Long Strangle Strategy.

Usage

strangle.long(c, p, k_call, k_put, ulimit = 10, llimit = 10)

Arguments

Details

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.

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

strangle.long(1.2, 3.2, 100, 105)

Short Strangle Strategy Function

Description

This function can be used to develop a Short Strangle Strategy.

Usage

strangle.short(c, p, k_call, k_put, ulimit = 10, llimit = 10)

Arguments

Details

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.

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

strangle.short(1.2, 3.2, 100, 105)