zShortSyntheticFutureV0 function

Plots per share Initial cost for Short Synthetic Future in the Plots tab.

Plots per share Initial cost for Short Synthetic Future in the Plots tab.

This strategy results from shorting a call of the option on Future and buying a put of the option on the Future of the same strike price with the same expiration. On initiation, this is a net credit Strategy and results in net cash inflow as premium received on shorting a call of the option on Future is more than premium paid on buying a put of the option on Future (Kakushadze & Serur, 2018).

zShortSyntheticFutureV0( STF, XF, COF, POF, hl = 0.5, hu = 1.5, xlab = "Future Contract Price ($) at Expiration of Options on Future", ylab = " Initial Value [ V0] ($)", main = "Short Synthetic Future V0 [Dr/Cr]" )

Arguments

  • STF: Future contract price at time T.
  • XF: Strike Price of Option on Future.
  • COF: Call Premium received from Option on Future.
  • POF: Put premium paid on 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.

Returns

Returns a graph of the strategy.

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 plot per share Initial cost for Short Synthetic Future in the Plots tab.

Examples

zShortSyntheticFutureV0(20,20,2.80,2.60)

References

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

Author(s)

MaheshP Kumar, maheshparamjitkumar@gmail.com

  • Maintainer: MaheshP Kumar
  • License: GPL-3
  • Last published: 2022-10-06

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