This package utilizes functionality from the package “optionstrat” and “plotly” to produce a 3D graph plotting a selected option parameter over time for a double vertical option spread. The available parameters are the option premium or an option greek such as delta, gamma, vega, theta or rho. A double vertical option spread is an option strategy composed of 4 options of the same type (calls or puts) with different strike prices, the highest and lowest strike option are typically long while the middle two are short. The double vertical spread is also known as an “Iron Condor”, or an “Iron Butterfly” if the middle two options have the same strike.
visualize((type = "call", parameter = "premium", s = 100, si = 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, v1 = 0.20, v2 = v1, v3 = v1, v4 = v1, ti = 45/365, r = 0.02, d = 0, ls = 1, low = 75, high = 125, e1 =(45/365), e2 = (30/365), e3 = (15/365), e4 = (1/365), c1 = 1, c2 = 1, c3 = 1, c4 = 1))
type Character String: “call” or “put”parameter Character String: “premium”, “delta”, “gamma”, “vega”, “theta”, “rho”s Underlying Asset Pricesi Initial Price of the underlying assetx1 Option 1 Strikex2 Option 2 Strikex3 Option 3 Strikex4 Option 4 Strikev1 Option 1 Volatilityv2 Option 2 Volatilityv3 Option 3 Volatilityv4 Option 4 Volatilityti Initial time to maturity in yearsr Annualized continuously compounded risk-free rated Annualized continuously compounded dividend yieldls Numerical either 1 or -1low Lower Limit for the price rangehigh Upper Limit for the price rangee1 Expiration, in years. Set to 45/365e2 Expiration, in years. Set to 30/365e3 Expiration, in years. Set to 15/365e4 Expiration, in years. Set to 1/365c1 Option 1, Number of Contractsc2 Option 2, Number of Contractsc3 Option 3, Number of Contractsc4 Option 4, Number of Contracts