| Title: | Bullish Trading Strategies Through Graphs |
|---|---|
| Description: | Stock, Options and Futures Trading Strategies for Traders and Investors with Bullish Outlook are represented here through their Graphs. The graphic indicators, strategies, calculations, functions and all the discussions are for academic, research, and educational purposes only and should not be construed as investment advice and come with absolutely no Liability. Guy Cohen (“The Bible of Options Strategies (2nd ed.)”, 2015, ISBN: 9780133964028). Zura Kakushadze, Juan A. Serur (“151 Trading Strategies”, 2018, ISBN: 9783030027919). John C. Hull (“Options, Futures, and Other Derivatives (11th ed.)”, 2022, ISBN: 9780136939979). |
| Authors: | MaheshP Kumar [aut, cre] |
| Maintainer: | MaheshP Kumar <[email protected]> |
| License: | GPL-3 |
| Version: | 1.0.1 |
| Built: | 2024-10-31 16:32:35 UTC |
| Source: | https://github.com/cran/bullishTrader |
The trading strategy that is implemented with an expectation that the price of the stock or the underlying will rise in future is called a bullish strategy. As explained by Chance (2019), an option is a derivative contract in which one party, the buyer, pays a sum of money to the other party, the seller or writer, and receives the right to either buy (known as call option) or right to sell (known as put option) an underlying asset at a fixed price either on a specific expiration date (European option) or at any time prior to the expiration date (American Option). So the right to buy is one type of option, referred to as a call or call option, whereas the right to sell is another type of option, referred to as a put or put option.
Further, it is explained by Chance (2019) that a derivative is a financial instrument that derives its performance from the performance of an underlying asset. Derivatives can be used as insurance that allows for the transfer of risk from one party to another. As everyone knows, insurance is a financial contract that provides protection against loss. The party bearing the risk purchases an insurance policy, which transfers the risk to the other party, the insurer, for a specified period of time. The risk itself does not change, but the party bearing it does. Derivatives allow for this same type of transfer of risk.
Derivatives are associated with an underlying asset. As such, the underlying asset is often simply referred to as the underlying, whose value is the source of risk. Derivatives are created in the form of legal contracts. They involve two parties: the buyer and the seller (sometimes known as the writer); each of whom agrees to do something for the other, either now or later. The buyer, who purchases the derivative, is referred to as the long or the holder because he owns (or holds) the derivative and holds a long position. The seller is referred to as the short because he holds a short position (Chance, 2019).
aBullCallSpread( ST, XH, XL, CL, CH, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Bull Call Spread ", sub = " bullishTrader / MaheshP Kumar" )aBullCallSpread( ST, XH, XL, CL, CH, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Bull Call Spread ", sub = " bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
XH |
Higher Strike Price or eXercise price. |
XL |
Lower Strike Price or eXercise price. |
CL |
Call Premium paid for the bought Call at Lower Strike. |
CH |
Call Premium received for the sold Call at Higher Strike. |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
This is a vertical spread consisting of a long position in a close to ATM (at the money) call option with a strike price XL, and a short position in an OTM (out of the money) call option with a higher strike price XH. This is a net debit (V0Dr) trade as option premium or option price (CH) received on call shorted at higher strike price (XH) is less than premium or price (CL) paid for the call bought at lower strike price (XL). So, V0Dr is equal to CL minus CH. The outlook of the trader (or investor) is bullish and the strategy profits if the stock price rises (Kakushadze & Serur, 2018).
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 and Breakeven(BE) point for Bull Call Spread and draws its graph in the Plots tab.
returns a profit and loss graph of Bull Call Spread.
MaheshP Kumar, [email protected]
Chance,D.M.(2019). Basics of Derivative Pricing and Valuation. In CFA Program Curriculum 2020 Level I Volumes 1-6. (Vol. 5, pp. 385-453). Wiley Professional Development (P&T). ISBN 9781119593577, https://bookshelf.vitalsource.com/books/9781119593577
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
aBullCallSpread(17,17,15,1.64,0.51) aBullCallSpread(50,50,47,5,3.2,hl=0.7,hu=1.2) aBullCallSpread(1000,1000,998,14.5,13.25,hl=0.98,hu=1.02)aBullCallSpread(17,17,15,1.64,0.51) aBullCallSpread(50,50,47,5,3.2,hl=0.7,hu=1.2) aBullCallSpread(1000,1000,998,14.5,13.25,hl=0.98,hu=1.02)
This is a vertical spread consisting of a long position in an OTM (out of the money) put option with a strike price XL, and a short position in another OTM (out of the money) put option with a higher strike price XH. This is a net credit (V0Cr) trade as option premium or option price (PH) received on put shorted at higher strike price (XH) is more than premium (PL) paid on the put bought at lower strike price (XL). So, V0Cr is equal to PH minus PL. The outlook of trader or investor is bullish (Kakushadze & Serur, 2018).
aBullPutSpread( ST, XH, XL, PH, PL, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Bull Put Spread ", sub = "bullishTrader / MaheshP Kumar" )aBullPutSpread( ST, XH, XL, PH, PL, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Bull Put Spread ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
XH |
Higher Strike Price or eXercise price. |
XL |
Lower Strike Price or eXercise price. |
PH |
Option premium or option price received on put shorted at higher strike price (XH). |
PL |
Option premium or option price paid on the put bought at lower strike price (XL). |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 and also the Breakeven (BE) point for Bull Put Spread and draws its graph in the Plots tab.
returns a profit and loss graph of Bull Put Spread.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
aBullPutSpread(17,17,15,1.50,0.50) aBullPutSpread(50,50,48,4,2.6,hl=0.7,hu=1.2) aBullPutSpread(1000,1000,995,40,37,hl=0.98,hu=1.02)aBullPutSpread(17,17,15,1.50,0.50) aBullPutSpread(50,50,48,4,2.6,hl=0.7,hu=1.2) aBullPutSpread(1000,1000,995,40,37,hl=0.98,hu=1.02)
A long call gives trader or investor the right to buy in return of the call premium or call price paid to secure this right from the call seller. The call buyer hopes that the underlying share price will rise that would result in profits (Kakushadze & Serur, 2018).
aLongCall( ST, X, C, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Long Call ", sub = "bullishTrader / MaheshP Kumar" )aLongCall( ST, X, C, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Long Call ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
C |
Call Premium paid on bought 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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
This method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and also the Breakeven (BE) point for a long call and draws its graph in the Plots tab.
returns a profit and loss graph of Long Call.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
aLongCall(17,17,1.44) aLongCall(50,50,4,hl=0.7,hu=1.2) aLongCall(1000,1000,10,hl=0.97,hu=1.02)aLongCall(17,17,1.44) aLongCall(50,50,4,hl=0.7,hu=1.2) aLongCall(1000,1000,10,hl=0.97,hu=1.02)
Long stock is owning and holding the stock on the expectation that its price will rise (Hull, 2022).
aLongStock( ST, S0, C = 0, hl = 0, hu = 1.8, xlab = "Spot Price ($) on Expiration", ylab = "Realized Profit / Loss [ PnL ] upon Sale ($)", main = "Long Stock ", sub = "bullishTrader / MaheshP Kumar" )aLongStock( ST, S0, C = 0, hl = 0, hu = 1.8, xlab = "Spot Price ($) on Expiration", ylab = "Realized Profit / Loss [ PnL ] upon Sale ($)", main = "Long Stock ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
S0 |
Initial Stock Price |
C |
Transaction Cost. |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
This method is developed, and the given examples are created, to compute per share Profit and Loss at the time of the sale of a held stock and also the Breakeven (BE) point for a long stock position and draws its graph in the Plots tab.
returns a profit and loss graph of Covered Call.
MaheshP Kumar, [email protected]
Hull, J. C. (2022). Options, Futures, and Other Derivatives (11th ed.). Pearson Education (US). https://bookshelf.vitalsource.com/books/9780136940043.
aLongStock(20,18) aLongStock(90,85,hl=0.7,hu=1.2) aLongStock(1000,990,hl=0.97,hu=1.02) aLongStock(1000,990,5,hl=0.97,hu=1.02)aLongStock(20,18) aLongStock(90,85,hl=0.7,hu=1.2) aLongStock(1000,990,hl=0.97,hu=1.02) aLongStock(1000,990,5,hl=0.97,hu=1.02)
This strategy consists of a short position one (or two) call options with a strike price X1L, and and buying two (or three) call options with a strike price X2H. The outlook of trader or investor is strongly bullish (Kakushadze & Serur, 2018) .
callRatioBackspread( ST, X2H, X1L, CX2H, CX1L, hl = 0, hu = 1.7, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Call Ratio Backspread ", sub = "bullishTrader / MaheshP Kumar" )callRatioBackspread( ST, X2H, X1L, CX2H, CX1L, hl = 0, hu = 1.7, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Call Ratio Backspread ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X2H |
Higher Strike Price or eXercise price. |
X1L |
Lower Strike Price or eXercise price. |
CX2H |
Call Premium received for the sold Calls at higher Strike. |
CX1L |
Call Premium paid for the bought Calls at Lower Strike. |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 and also the Breakeven (BE) point for Call Ratio Backspread and draws its graph in the Plots tab. EXAMPLE, Buying two HypoERP December 30 calls at $2.50 and shorting HypoERP December 25 put at $4.90
returns a profit and loss graph of Call ratio backspread.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
callRatioBackspread(25,30,25,2.50,4.90) callRatioBackspread(25,30,25,2.20,4.90)callRatioBackspread(25,30,25,2.50,4.90) callRatioBackspread(25,30,25,2.20,4.90)
This strategy is a covered call augmented by a long put option as insurance against the stock price falling. It amounts to buying stock, buying an OTM put option with a strike price XL, and selling an OTM call option with a higher strike price XH. The outlook of trader or investor is moderately bullish (Kakushadze & Serur, 2018).
collarStrategy( ST, S0, XL, XH, PXL, CXH, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Collar Strategy", sub = "bullishTrader / MaheshP Kumar" )collarStrategy( ST, S0, XL, XH, PXL, CXH, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Collar Strategy", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
S0 |
Initial Stock Price. |
XL |
Lower Strike Price or eXercise price. |
XH |
Higher Strike Price or eXercise price. |
PXL |
Call Premium paid for the bought Calls at Lower Strike. |
CXH |
Call Premium received for the sold Calls at higher Strike. |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
According to conceptual details given by Cohen (2015), and a closed-form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and also the Breakeven (BE) point for Collar Strategy and draws its graph in the Plots tab.
returns a profit and loss graph of Collar Strategy.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
collarStrategy(30,19,20,35,6.50,5) collarStrategy(800,770,750,790,80,70,hl=0.92,hu=1.02)collarStrategy(30,19,20,35,6.50,5) collarStrategy(800,770,750,790,80,70,hl=0.92,hu=1.02)
This strategy is also known as buy-write strategy that results from buying stock and writing a call option with a strike price X against the stock position. The outlook of trader or investor on the stock price is neutral to bullish. The covered call strategy has the same payoff as writing a put option (short/naked put). While maintaining the long stock position, the trader can generate income by periodically selling OTM call options (Kakushadze & Serur, 2018).
coveredCall( ST, X, C, S0, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Covered Call ", sub = "bullishTrader / MaheshP Kumar" )coveredCall( ST, X, C, S0, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Covered Call ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
C |
Call Premium received on shorted call. |
S0 |
Initial Stock Price |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and Breakeven (BE) point for Covered Call and draws its graph in the Plots tab.
returns a profit and loss graph of Covered Call.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
coveredCall(17,17,1.44,15.84) coveredCall(50,50,4,48,hl=0.7,hu=1.2) coveredCall(1000,1000,10,990,hl=0.97,hu=1.02)coveredCall(17,17,1.44,15.84) coveredCall(50,50,4,48,hl=0.7,hu=1.2) coveredCall(1000,1000,10,990,hl=0.97,hu=1.02)
This strategy amounts to augmenting a covered call by writing a put option with the same strike price(X) and time-to-maturity (TTM) as the sold call option and thereby increasing the income (Kakushadze & Serur, 2018).
coveredShortStraddle( ST, X, C, P, S0, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Covered Short Straddle ", sub = "bullishTrader / MaheshP Kumar" )coveredShortStraddle( ST, X, C, P, S0, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Covered Short Straddle ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
C |
Call Premium received on shorted call. |
P |
Put Premium received on shorted Put. |
S0 |
Initial Stock Price |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and Breakeven (BE) point for Covered Short Straddle and draws its graph in the Plots tab.
returns a profit and loss graph of Covered Short Straddle.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
coveredShortStraddle(17,17,1.44,3.56,15.84) coveredShortStraddle(50,50,4,11,48,hl=0.7,hu=1.2) coveredShortStraddle(1000,1000,10,33,990,hl=0.97,hu=1.015)coveredShortStraddle(17,17,1.44,3.56,15.84) coveredShortStraddle(50,50,4,11,48,hl=0.7,hu=1.2) coveredShortStraddle(1000,1000,10,33,990,hl=0.97,hu=1.015)
This strategy amounts to augmenting a covered call by writing an OTM put option with a higher strike price (XL) and the same time to maturity (TTM) as the sold call option (whose strike price is XH) and thereby increasing the income. Breakeven (BE) point of Covered Short Strangle varies depending on the relationship between the stock price, premiums received, and the strikes (Kakushadze & Serur, 2018).
coveredShortStrangle( ST, XH, XL, CXH, PXL, S0, hl = 0, hu = 1.6, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Covered Short Strangle ", sub = "bullishTrader / MaheshP Kumar" )coveredShortStrangle( ST, XH, XL, CXH, PXL, S0, hl = 0, hu = 1.6, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Covered Short Strangle ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
XH |
Higher Strike Price or eXercise price. |
XL |
Lower Strike Price or eXercise price. |
CXH |
Call Premium received on shorted higher Strike call. |
PXL |
Put Premium received on shorted lower Strike Put. |
S0 |
Initial Stock Price |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Sub title of the Graph. |
According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration for Covered Short Strangle and draws its graph in the Plots tab.
returns a profit and loss graph of Covered Short Strangle.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
coveredShortStrangle(17,21,12,1.44,3.56,15.84) coveredShortStrangle(50,55,45,4,11,48,hl=0.7,hu=1.2) coveredShortStrangle(1000,1010,990,10,24,990,hl=0.97,hu=1.02)coveredShortStrangle(17,21,12,1.44,3.56,15.84) coveredShortStrangle(50,55,45,4,11,48,hl=0.7,hu=1.2) coveredShortStrangle(1000,1010,990,10,24,990,hl=0.97,hu=1.02)
This strategy results from buying an OTM call option with a strike price X2H and selling an OTM put option with a strike price X1L, where X2H is greater than X1L (Kakushadze & Serur, 2018).
longCombo( ST, X1L, X2H, PX1L, CX2H, hl = 0, hu = 1.9, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Long Combo ", sub = "bullishTrader / MaheshP Kumar" )longCombo( ST, X1L, X2H, PX1L, CX2H, hl = 0, hu = 1.9, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Long Combo ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X1L |
Lower Strike Price or eXercise price. |
X2H |
Higher Strike Price or eXercise price. |
PX1L |
Put Premium received for the sold Put at Lower Strike. |
CX2H |
Call Premium paid for the bought Call at higher Strike . |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 and Breakeven (BE) point for Long Combo and draws its graph in the Plots tab.
returns a profit and loss graph of Long Combo Strangle.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
longCombo(19,15,25,1.50,2.00) longCombo(19,15,25,1.50,1.50) longCombo(19,15,25,1.80,1.50) longCombo(60,47,57,5,4,hl=0.4,hu=1.4) longCombo(1000,980,1010,80,80,hl=0.965,hu=1.025) longCombo(1000,980,1010,80,78,hl=0.965,hu=1.025) longCombo(1000,980,1010,76,78,hl=0.965,hu=1.025)longCombo(19,15,25,1.50,2.00) longCombo(19,15,25,1.50,1.50) longCombo(19,15,25,1.80,1.50) longCombo(60,47,57,5,4,hl=0.4,hu=1.4) longCombo(1000,980,1010,80,80,hl=0.965,hu=1.025) longCombo(1000,980,1010,80,78,hl=0.965,hu=1.025) longCombo(1000,980,1010,76,78,hl=0.965,hu=1.025)
This is a variation of the long call butterfly strategy and the strikes are no longer equidistant; instead we have X3H minus X2M is less than X2M minus X1L. This results in a sideways strategy with a bullish bias (Kakushadze & Serur, 2018).
modifiedCallButterfly( ST, X1L, X2M, X3H, CX1L, CX2M, CX3H, hl = 0.8, hu = 1.3, xlab = "Spot Price ($) at Expiration", ylab = " Profit / Loss [ PnL ] at Expiration ($)", main = "Modified Call Butterfly ", sub = "bullishTrader / MaheshP Kumar" )modifiedCallButterfly( ST, X1L, X2M, X3H, CX1L, CX2M, CX3H, hl = 0.8, hu = 1.3, xlab = "Spot Price ($) at Expiration", ylab = " Profit / Loss [ PnL ] at Expiration ($)", main = "Modified Call Butterfly ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X1L |
Lower Strike Price or eXercise price. |
X2M |
Medium Strike Price or eXercise price. |
X3H |
Higher Strike Price or eXercise price. |
CX1L |
Call Premium Paid for the bought Call at Lower Strike. |
CX2M |
Call Premium received from the sold Call at Medium Strike. |
CX3H |
Call Premium paid for the bought Call at higher Strike . |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 and Breakeven (BE) point at expiration for Modified Call Butterfly and draw its graph in the Plots tab.
Returns a graph Modified Call Butterfly.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group. https://bookshelf.vitalsource.com/books/9780133964448
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
modifiedCallButterfly(50,45,55,60,6.12,1.30,0.50) modifiedCallButterfly(1000,980,1020,1030,60,20,7,hl=0.97,hu=1.05)modifiedCallButterfly(50,45,55,60,6.12,1.30,0.50) modifiedCallButterfly(1000,980,1020,1030,60,20,7,hl=0.97,hu=1.05)
This is a variation of the long put butterfly strategy and the strikes are no longer equidistant; instead we have X3H minus X2M is less than X2M minus X1L. This results in a sideways strategy with a bullish bias (Cohen,2015).
modifiedPutButterfly( ST, X1L, X2M, X3H, P1XL, PX2M, PX3H, hl = 0.8, hu = 1.3, xlab = "Spot Price ($) at Expiration", ylab = " Profit / Loss [ PnL ] at Expiration ($)", main = "Modified Put Butterfly ", sub = "bullishTrader / MaheshP Kumar" )modifiedPutButterfly( ST, X1L, X2M, X3H, P1XL, PX2M, PX3H, hl = 0.8, hu = 1.3, xlab = "Spot Price ($) at Expiration", ylab = " Profit / Loss [ PnL ] at Expiration ($)", main = "Modified Put Butterfly ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X1L |
Lower Strike Price or eXercise price. |
X2M |
Medium Strike Price or eXercise price. |
X3H |
Higher Strike Price or eXercise price. |
P1XL |
Put Premium Paid for the bought Put at Lower Strike. |
PX2M |
Put Premium received from the sold Put at Medium Strike. |
PX3H |
Put Premium paid for the bought Put at higher Strike . |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
According to conceptual details and formula given by Cohen (2015), this method is developed, and the given examples are created, to compute per share Profit and Loss and Breakeven (BE) point at expiration for Modified Put Butterfly and draw its graph in the Plots tab.
Returns a graph Modified Put Butterfly.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
modifiedPutButterfly(50,45,55,60,0.98,6.12,10.28) modifiedPutButterfly(1000,980,1020,1030,10,60,100,hl=0.97,hu=1.05)modifiedPutButterfly(50,45,55,60,0.98,6.12,10.28) modifiedPutButterfly(1000,980,1020,1030,10,60,100,hl=0.97,hu=1.05)
This strategy consists of a short position in NS close to ATM put options with a strike price X1L, and a long position in NL ITM put options with a strike price X2H, where NL is less than NS. Typically, NL is equal to 1 and NS is equal to 2, or NL is 2 and NS is 3. This is an income strategy if it is structured as a net credit trade. The trader’s outlook is neutral to bullish (Kakushadze & Serur, 2018).
ratioPutSpread( ST, X2H, X1L, PX2H, PX1L, hl = 0, hu = 1.7, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Ratio Put Spread ", sub = "bullishTrader / MaheshP Kumar" )ratioPutSpread( ST, X2H, X1L, PX2H, PX1L, hl = 0, hu = 1.7, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Ratio Put Spread ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X2H |
Higher Strike Price or eXercise price. |
X1L |
Lower Strike Price or eXercise price. |
PX2H |
Premium received for the sold s at higher Strike. |
PX1L |
Premium paid for the bought s at Lower Strike. |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and also the Breakeven (BE) point for Ratio Put Spread and draws its graph in the Plots tab.
returns a profit and loss graph of Ratio Put Spread.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
ratioPutSpread(25,30,25,1.33,0.42)ratioPutSpread(25,30,25,1.33,0.42)
Selling a put is a simple, short-term income strategy. When you sell a put, you have sold you receive a put premium or put price and obligation to buy from put buyer. Trader or investors outlook is bullish and the expectation is that price will rise and will never be exercised (Kakushadze & Serur, 2018).
shortPut( ST, X, P, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Short Put ", sub = "bullishTrader / MaheshP Kumar" )shortPut( ST, X, P, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Short Put ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
P |
Put Premium received on sold Put. |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
This method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and also the Breakeven (BE) point for a Short Put and draws its graph in the Plots tab.
returns a profit and loss graph of Short Put.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
shortPut(17,18,1.44) shortPut(50,55,8,hl=0.7,hu=1.2) shortPut(1000,1000,10,hl=0.97,hu=1.02)shortPut(17,18,1.44) shortPut(50,55,8,hl=0.7,hu=1.2) shortPut(1000,1000,10,hl=0.97,hu=1.02)
This is a volatility strategy consisting of a long position in two ATM call options, and a long position in an ATM put option with a strike price K. This is a net debit trade. The trader or investor has bullish outlook (Kakushadze & Serur, 2018) .
strapStrategy( ST, X, C1, C2, P1, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Strap Strategy ", sub = "bullishTrader / MaheshP Kumar" )strapStrategy( ST, X, C1, C2, P1, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Strap Strategy ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
C1 |
Call Premium paid on bought first call. |
C2 |
Call Premium paid on bought second call. |
P1 |
Put Premium paid on bought Put. |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
This method is developed, and the given examples are created, to compute per share Profit and Loss at expiration and also the Breakeven (BE) point for a Strap Strategy and draws its graph in the Plots tab.
returns a profit and loss graph of Strap Strategy.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
strapStrategy(25,25,2.40,2.40,1.70) strapStrategy(40,40,3,3,2,hl=0.7,hu=1.2) strapStrategy(1000,1010,18,18,10,hl=0.955,hu=1.055)strapStrategy(25,25,2.40,2.40,1.70) strapStrategy(40,40,3,3,2,hl=0.7,hu=1.2) strapStrategy(1000,1010,18,18,10,hl=0.955,hu=1.055)
This strategy is also known as married put or protective put and results from buying stock and an ATM or OTM put option with a strike price X is less than or equal to S0. The trader or investor has bullish outlook. This is a hedging strategy, the put option hedges the risk of the stock price falling (Kakushadze & Serur, 2018).
syntheticCall( ST, X, P, S0, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Synthetic Call/ Married put/ Protective put ", sub = "bullishTrader / MaheshP Kumar" )syntheticCall( ST, X, P, S0, hl = 0, hu = 1.5, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = "Synthetic Call/ Married put/ Protective put ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X |
Strike Price or eXercise price. |
P |
Put Premium paid on bought Put. |
S0 |
Initial Stock Price |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 and Breakeven (BE) point for Synthetic Call and draws its graph in the Plots tab.
returns a profit and loss graph of Synthetic Call.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
syntheticCall(35,35,2.55,35.50) syntheticCall(15,15,1.46,15.84,hl=0.6,hu=1.4) syntheticCall(1000,1000,20,990,hl=0.98,hu=1.035)syntheticCall(35,35,2.55,35.50) syntheticCall(15,15,1.46,15.84,hl=0.6,hu=1.4) syntheticCall(1000,1000,20,990,hl=0.98,hu=1.035)
This is a vertical spread consisting of a short position in (usually) a close to ATM (at the money) call option with a strike price X1L, a long position in an OTM (out of the money) call option with a strike price X2M, and a long position in another OTM call option with a higher strike price X3H. A bear call ladder typically arises when a bear call spread (a bearish strategy) goes wrong (the stock trades higher), so the trader buys another OTM call option (with the strike price X1L) to reverse from the initial bearish outlook to emerging bullish trends. On initiation, this is a net credit Strategy and results in net cash inflow as premium received on shorting a call (at lower strike) is more than premium paid on buying two calls (buying one call at somewhat middle priced strike X2M and then buying one more call at higher strike X3H) (Kakushadze & Serur, 2018).
zBearCallLadder( ST, X1L, X2M, X3H, CX1L, CX2M, CX3H, hl = 0, hu = 1.5, xlab = "Spot Price ($) at Expiration", ylab = " Profit / Loss [ PnL ] at Expiration ($)", main = "Bear Call Ladder ", sub = "bullishTrader / MaheshP Kumar" )zBearCallLadder( ST, X1L, X2M, X3H, CX1L, CX2M, CX3H, hl = 0, hu = 1.5, xlab = "Spot Price ($) at Expiration", ylab = " Profit / Loss [ PnL ] at Expiration ($)", main = "Bear Call Ladder ", sub = "bullishTrader / MaheshP Kumar" )
ST |
Spot Price at time T. |
X1L |
Lower Strike Price or eXercise price. |
X2M |
Medium Strike Price or eXercise price. |
X3H |
Higher Strike Price or eXercise price. |
CX1L |
Call Premium received for the sold Call at Lower Strike. |
CX2M |
Call Premium paid for the bought Call at Medium Strike. |
CX3H |
Call Premium paid for the bought Call at higher Strike . |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 and Breakeven (BE) point at expiration for Bear Call Ladder and draw its graph in the Plots tab.
Returns a graph Bear Call Ladder.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
zBearCallLadder(19,19,20,24,4.20,2.40,0.80) zBearCallLadder(50,50,52,56,8.1,3.70,2.50,hl=0.8,hu=1.2) zBearCallLadder(1000,1000,1005,1010,20,11,4,hl=0.995,hu=1.025)zBearCallLadder(19,19,20,24,4.20,2.40,0.80) zBearCallLadder(50,50,52,56,8.1,3.70,2.50,hl=0.8,hu=1.2) zBearCallLadder(1000,1000,1005,1010,20,11,4,hl=0.995,hu=1.025)
On initiation, this is a net debit Strategy and results in net cash outflow in the form of paying the amount of bought Stock Index Future. If the bullish outlook of the trader emerges as expected and the Stock Index Future (like Micro E mini) rises then the trader makes the profit as shown in the graph (TD Ameritrade, 2019).
zBuyingStockIndexFutureAtFairValue( SIT, SI0, R, d, n, hl = 0.9995, hu = 1.006, xlab = "Stock Index at position closing", ylab = "Profit / Loss [PnL] at position closing ($)", main = "Long on Stock Index like Micro E mini S & P 500 ", sub = "bullishTrader / MaheshP Kumar" )zBuyingStockIndexFutureAtFairValue( SIT, SI0, R, d, n, hl = 0.9995, hu = 1.006, xlab = "Stock Index at position closing", ylab = "Profit / Loss [PnL] at position closing ($)", main = "Long on Stock Index like Micro E mini S & P 500 ", sub = "bullishTrader / MaheshP Kumar" )
SIT |
Stock Index at time T. |
SI0 |
Stock Index Initial Value. |
R |
annualized financing rate |
d |
dividend yield of the index. |
n |
represents days in Future like 90day Stock Index Future. |
hl |
lower bound value for setting lower limit of X axis displaying spot price. |
hu |
upper bound value for setting upper limit of X axis displaying spot price. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
According to the information provided by TD Ameritrade (2019) and Hull (2022), this method is developed, and the given examples are created, to compute Profit and Loss at closing of the position in Stock Index Future (like Micro E mini) and draw its graph in the Plots tab.
returns a profit and loss graph of Covered Call.
MaheshP Kumar, [email protected]
TD Ameritrade. (2019, July 26). Micro E-Mini Futures Contracts. YouTube.https://youtu.be/SShGjJepCdA
Hull, J. C. (2022). Options, Futures, and Other Derivatives (11th ed.). Pearson Education (US). https://bookshelf.vitalsource.com/books/9780136940043.
zBuyingStockIndexFutureAtFairValue(3700,3709,0.0275,0.02,90) zBuyingStockIndexFutureAtFairValue(2900,2910,0.025,0.03,90,hl=0.9995,hu=1.005)zBuyingStockIndexFutureAtFairValue(3700,3709,0.0275,0.02,90) zBuyingStockIndexFutureAtFairValue(2900,2910,0.025,0.03,90,hl=0.9995,hu=1.005)
This strategy results from buying a call of the option on Future and selling a put of the option on the Future of the same strike price with the same expiration. On initiation, this is a net debit Strategy and results in net cash inflow as premium received on shorting a put of the option on Future is less than premium paid on buying a call of the option on Future (Kakushadze & Serur, 2018). This Strategy precisely mimics the long future position (Cohen, 2015).
zLongSyntheticFuture( STF, XF, COF, POF, hl = 0, hu = 2, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = " Long Synthetic Future ", sub = "bullishTrader / MaheshP Kumar" )zLongSyntheticFuture( STF, XF, COF, POF, hl = 0, hu = 2, xlab = "Spot Price ($) on Expiration", ylab = "Profit / Loss [ PnL ] at Expiration ($)", main = " Long Synthetic Future ", sub = "bullishTrader / MaheshP Kumar" )
STF |
Future contract price at time T. |
XF |
Strike Price of Option on Future. |
COF |
Call Premium paid on buying an Option on Future . |
POF |
Put premium received on shorting an Option on Future. |
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. |
xlab |
X axis label. |
ylab |
Y axis label. |
main |
Title of the Graph. |
sub |
Subtitle of the Graph. |
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 (per unit of the underlying) at expiration and Breakeven (BE) point for Long Synthetic Future and draws its graph in the Plots tab.
returns a profit and loss graph of Long Synthetic Future.
MaheshP Kumar, [email protected]
Cohen, G. (2015). The Bible of Options Strategies (2nd ed.). Pearson Technology Group.
Kakushadze, Z., & Serur, J. A. (2018, August 17). 151 Trading Strategies. Palgrave Macmillan. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3247865
zLongSyntheticFuture(12,14,4,2) zLongSyntheticFuture(200,205,7,2,hl=0.95,hu=1.15)zLongSyntheticFuture(12,14,4,2) zLongSyntheticFuture(200,205,7,2,hl=0.95,hu=1.15)