Option strike selection

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.

Habilidades: Finanzas, Lenguaje de Programación R

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Información del empleador:
( 3 comentarios ) Schertz, United States

Nº del proyecto: #6661244

Adjudicado a:


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 Más

$25 USD en 1 día
(1 comentario)

3 freelancers están ofertando el promedio de $25 para este trabajo


A proposal has not yet been provided

$25 USD en 1 día
(0 comentarios)

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 Más

$24 USD en 1 día
(0 comentarios)