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- option_chain = getOptionChain("QQQ", Exp="2018-02-16")
- opt_right = -1 # 1 - call, -1 - put
- option_board_right = ifelse(opt_right==1, 1, 2)
- option_board = option_chain[[option_board_right]]
- target = 130
- profit_at_strike = option_board %>%
- mutate(Mid=(Ask+Bid)/2) %>%
- mutate(Profit = (target-Strike)*opt_right ) %>%
- mutate(Profit = pmax(0,Profit)) %>%
- mutate(Q_mult = mean(Mid) / Mid) %>%
- mutate(Q_mult_Profit = Q_mult * Profit)
- plot(profit_at_strike$Q_mult_Profit~profit_at_strike$Strike)
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