ReAKKT: Visualizing option strategies with R

It has been a while since I wrote something about options.

Recently I found myself in a need for simple tool for visualizing option strategies.

Option strategy is a combination of a number of option positions - both long and short - and sometimes underlying assets (such as equities) - i.e. it has multiple "legs".

To calculate the payoff (*) of the option strategy one needs to know:

types of assets used to construct a particular strategy - possibilities include CALL and PUT options, as well as underlying assets
type of positions opened - options can be bought or sold (written); underlying assets can be bought or sold short
option strike prices - any option has a price at which it "activates"; for example CALL option with a strike price of 100, generates profit only when the price of underlying asset is above 100
option premiums - buying an option has a price, writing it generates some income
amount of assets utilized - for example you can buy more than 1 option

Transaction costs are not cover by my simplistic model.

(*) payoff is the value of the strategy at expiration; it should not be confused with the theoretical value derived from option pricing models such as Black-Scholes

Probably the simplest options-related investment strategy is a purchase of some stock and hedging it with PUT option - as a result, while one have unlimited profit potential, his loss is limited with the help of PUT option:

> assets.mat

trans type strike price amount

[1,] "buy" "base" "40" "0" "1"

[2,] "buy" "put" "35" "2" "1"