roptions (version 1.0.3)

box.spread: 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

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

Value

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

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.

Examples

# NOT RUN {
box.spread(100, 105, 95, 110, 3.2, 2.6, 1.1, 2.4)
# }