md`# Options Strategy Evaluation`
callPremiumReceived = chainByCallDelta.map(opt => Math.floor(callsSold * opt.callPrice))
netFuturePutValue = futurePutValue.map((value, i) => value - putPremiumSpent)
puts = ['PUTS', ..._.uniq(futureNetValueIndexed.flat().map(x => x.y))]
byPuts = {
const flattened = futureNetValueIndexed.flat()
const grouping = []
flattened.forEach((pair,i) => {
const idx = puts.findIndex(x => x == pair.y)
if (!grouping[idx]) {
grouping[idx] = [pair.y]
}
grouping[idx].push(pair.value.toLocaleString(undefined, { style: 'currency', currency: 'USD'}))
})
grouping[0] = calls
return grouping
}
calls = ['CALLS', ..._.uniq(futureNetValueIndexed.flat().map(x => x.x))]
futureNetValueIndexed = futureNetValue.map((callSeries, callIdx) => {
return callSeries.map((value, putIdx) => {
const call = chainByCallDelta[callIdx]
const put = chainByPutDelta[putIdx]
return {
x: `${call.strike}-STRIKE-${call.expiration}DTE-CALL`,
y: `${put.strike}-STRIKE-${put.expiration}DTE-PUT`,
value: `${value}`
}
})
})
putRows = futureNetValue.map((callSeries, callIdx) => {
return callSeries.map((value, putIdx) => {
const call = chainByCallDelta[callIdx]
const put = chainByPutDelta[putIdx]
return {
x: `${call.strike}-STRIKE-${call.expiration}DTE-CALL`,
y: `${put.strike}-STRIKE-${put.expiration}DTE-PUT`,
value: `${value}`
}
})
})
callsSold = {
const allocation = amountToHedge * (100-percentAllocation)/100
const ethAmount = Math.floor(allocation/Spot)
return ethAmount
}
putsBought = {
const allocation = amountToHedge * percentAllocation/100
const premium = Math.floor(allocation)
return chainByPutDelta.map(opt => Math.floor(premium / opt.put))
}
chainByOnlyPut = chainByPutDelta.map((c, i) => {
const { put, putDelta, strike, expiration } = c
const amountBought = putsBought[i]
const premiumAmt = amountBought * put
const premium = Math.round(premiumAmt).toLocaleString()
const futureAmt = futurePutValue[i]
const futureValue = futureAmt.toLocaleString()
const net = Math.round(futureAmt - premiumAmt).toLocaleString()
return {
putPrice: put,
putDelta,
strike,
expiration,
premium,
futureValue,
net
}
})
putDeltaIndex = {
return chains.map((e,i) => {
const optionToBuy = e.findIndex(x => x.putDelta <= -buyDelta/100)
return [i, optionToBuy]
})
}
chains = {
return EXPIRATIONS.map(e => {
return strikes.map(s => {
const time = e/365
const volatility = Volatility / 100
const callArgs = [Spot, s, time, volatility, RFR, 'call']
const putArgs = [Spot, s, time, volatility, RFR, 'put']
const callPrice = blackScholes.blackScholes(...callArgs)
const callDelta = greeks.getDelta(...callArgs)
const put = blackScholes.blackScholes(...putArgs)
const putDelta = greeks.getDelta(...putArgs)
return { callPrice, callDelta, put, putDelta, strike: s, expiration: e }
})
})
}
futureCallValue = futureChainCalls.map(({call}) => Math.floor(callsSold * call))
futurePutValue = futureChainPuts.map(({ put }, i) => Math.floor(putsBought[i] * put))
futureChainCalls = callDeltaIndex.map(([e,o]) => futureChains[e][o])
futureChainPuts = putDeltaIndex.map(([e,o]) => futureChains[e][o])
futureChains = {
return EXPIRATIONS.map(e => {
return strikes.map(s => {
const timeRemaining = e - daysIntoFuture
const time = timeRemaining <= 0 ? 0 : e/365
const volatility = futureVolatility / 100
const callArgs = [futureSpot, s, time, volatility, RFR, 'call']
const putArgs = [futureSpot, s, time, volatility, RFR, 'put']
const call = blackScholes.blackScholes(...callArgs)
const put = blackScholes.blackScholes(...putArgs)
return { call, put, strike: s, expiration: e }
})
})
}
dcc = 365
RFR = 0.01
greeks = require('https://bundle.run/greeks@1.0.0')
treemap = data => d3.treemap()
.round(true)
.tile(d3.treemapSliceDice)
.size([
width - margin.left - margin.right,
height - margin.top - margin.bottom
])
(d3.hierarchy(
{
values: d3.nest()
.key(d => d.x)
.key(d => d.y)
.entries(data)
},
d => d.values
).sum(d => d.value))
.each(d => {
d.x0 += margin.left;
d.x1 += margin.left;
d.y0 += margin.top;
d.y1 += margin.top;
})
margin = ({top: 30, right: -1, bottom: -1, left: 1})
format = d => d.toLocaleString()
height = 954
color = d3.scaleLinear().domain(d3.extent(futureNetValue.flat())).range(['#d3e4ff','#2275f9'])
width = height
import { text, slider, radio, number } from '@jashkenas/inputs'
import { tile } from '@d3/treemap'
_ = require("lodash");
Purpose-built for displays of data
Observable is your go-to platform for exploring data and creating expressive data visualizations. Use reactive JavaScript notebooks for prototyping and a collaborative canvas for visual data exploration and dashboard creation.
