Option Calculator and Strategy

Fixed issues [10,Nov 2024]

• If you have downloaded this shiny app before, please remove previous version of this app(OptionCalc) and re-run the code below
• Fixed few packages to be installed automatically to run Shiny apps
• Fixed some Python code

Overview

This shiny dashboard is used for simple option calculations and strategy building.

• Option DATA : The option data is obtained using the yfinance package in Python via reticulate package
• Plot Package : The plot is created using the Plotly package.
• This shinydashboard is a beta version. In the future, we plan to improve the calculation of options and greeks and add strategies. We also plan to add an option chain table
• The theoretical prices and GREEKS of the options are calculated using the Black-Scholes Merton model. Many real market data and sites were consulted for the calculation, but the calculated values may differ slightly. We plan to improve this part gradually in the future.
• There are many ways to calculate the BEP for options strategies. However, to account for the possibility of users entering incorrect parameter values, we have calculated the BEP using the point at which the P/L value goes to zero, rather than the traditional calculation method. While this may result in a slight discrepancy, it should not be noticeable to the user.
• We have found a few minor errors in the calculator, which are not significant enough to inconvenience you, and we will improve them over time.
• The DTE is normally calculated automatically but will be blank on the day of option expiry. We plan to replace it with another number in the future. The DTE and other parameter values can be modified by the user. In this case, the option value will be calculated automatically by applying the modified parameters.
• The risk-free rate is based on the US 10-year Treasury yield. This is a widely used risk-free rate value in finance field, and we will replace it in the future when we find a more convincing value.
  
  

Run APPs via Rstudio or other IDEs

#install.packages(c('shiny','pacman'))
library(shiny)
runGitHub("OptionCalc","parkminhyung")

Guide

1. When you run the Shiny app, a blank field will appear for entering a Ticker. Please enter the Ticker of a U.S. stock in this field and then click the "Fetch Data" button.
   
   
   
   

2. When you enter a Ticker, the blank fields in the parameters section, except for Volatility, will be automatically filled.
   
   
   
   

3. The Volatility field is left blank. Once you enter the volatility of the stock, the theoretical option price will be calculated automatically on the right. This theoretical price is calculated based on the Black-Scholes model using the parameters provided. When these variables are adjusted, the theoretical option price is recalculated automatically.
   
   
   
   

4. When you select a desired strategy in the Strategy field, the Strike and Option Price fields will expand or contract according to the chosen strategy. For strategies involving multiple strike prices, the strike prices follow the order ( k1 < k2 < k3 < k4 ). Option prices will then be calculated automatically based on these strike prices.
   

• If you want to implement a Long Call Spread strategy, select "LONG" for the Side, "CALL" for the Option Type, and "Spread" for the Strategy. The same applies to other strategies as well.
  
  

5. The “-” or “+” sign in front of the option prices indicates selling or buying, respectively. For example, as shown in the image below, the Jade Lizard strategy involves selling a put at strike price ( k1 ), selling a call at strike price ( k2 ), and buying a call at strike price ( k3 ), so the appropriate “-” or “+” signs are added accordingly.
   
   
   
   

6. Once all parameters are filled in, click "Show Plot" in the option strategy plot section. This will display a plot and relevant details about the selected strategy, including an explanation of the strategy and its Greeks. The plot is created using the "Plotly" package. Additionally, below the plot, the strategy's profit, loss, and break-even points (BEP) are automatically calculated. IV is not currently available
   
   
   
   

7. With the Plotly package, you can zoom in on the plot by dragging. To reset the plot to its original view, simply double-click on it.
   
   

Available Strategies

• [Long / Short] Call
• [Long / Short] Put
• Covered [Call / Put]
• Protective [Call / Put]
• [Long / Short] Call Spread
• [Long / Short] Put Spread
• [Long / Short] Straddle
• [Long / Short] Strangle
• Strip
• Strap
• [Long / Short] Call Butterfly
• [Long / Short] Put Butterfly
• [Long / Short] Call Ladder
• [Long / Short] Put Ladder
• Lade Lizard / Reverse Jade Lizard
• [Long / Short] Call Condor
• [Long / Short] Put Condor

Contact

If you have any questions or suggestions, please contact : pmh621@naver.com