Option strike selection

已完成 已发布的 Oct 29, 2014 货到付款
已完成 货到付款

A simple function in R that accomplishes the following:

1. Reads a CSV file of option data (example file provided); data includes individual option contract information

2. Identifies the 3 closest expirations that have greater than or equal to 4 days remaining.

3. Determines the at-the-money put and call strikes, as well as strikes that are 20, 30, and 40 points away

4. Returns the prices of a hypothetical iron butterfly constructed by selling an at-the-money put and call, and buying an out-of-the-money put and call (width based on the 20, 30, and 40 strikes determined above), based on the 3 closest expirations.

5. Returns the implied volatility spread of hypothetical butterflies, computed as: the sum of the implied volatility of out-of-the-money put and call, minus the sum of the implied volatility of the at-the-money put and call

This is more of a data importing/manipulating problem, so financial knowledge is not absolutely crucial.

财务 R 编程语言

项目ID: #6661244

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3个方案 远程项目 活跃的Nov 23, 2014

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swolf1981

I've got plenty of experience using R to do data input/output and analysis. I'm not a financial guy, so I would have to have you clearly explain what you mean with financial terms like "Iron Butterfly", and a clear de 更多

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manikantadinesh

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jmc856

I will deliver exactly what you need in the timeframe. I work with R programming every week and am constantly learning more each day. I also understand quant finance, there is always opportunity for more work in the 更多

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