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Jan 21st, 2018
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  1. option_chain = getOptionChain("QQQ", Exp="2018-02-16")
  2.  
  3. opt_right = -1 # 1 - call, -1 - put
  4.  
  5. option_board_right = ifelse(opt_right==1, 1, 2)
  6.  
  7. option_board = option_chain[[option_board_right]]
  8.  
  9. target = 130
  10.  
  11. profit_at_strike = option_board %>%
  12. mutate(Mid=(Ask+Bid)/2) %>%
  13. mutate(Profit = (target-Strike)*opt_right ) %>%
  14. mutate(Profit = pmax(0,Profit)) %>%
  15. mutate(Q_mult = mean(Mid) / Mid) %>%
  16. mutate(Q_mult_Profit = Q_mult * Profit)
  17.  
  18.  
  19. plot(profit_at_strike$Q_mult_Profit~profit_at_strike$Strike)
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