bullishTrader (version 1.0.1)

longCombo: Calculates Profit and Loss (PnL) per share (or unit of the underlying) and Breakeven (BE) point at expiration for Long Combo and draws its graph in the Plots tab.

Description

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).

Usage

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"
)

Value

returns a profit and loss graph of Long Combo Strangle.

Arguments

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.

Author

MaheshP Kumar,

Details

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.

References

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

Examples

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)