What-if analysis for options

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What-if analysis for options

Questions:

* What the price needs to be in order to break-even after a weekend, keeping IV constant?

* What the price needs to be in order to break-even after a weekend and IV increase of 2%?

* What the new ask price will be after 3 days and IV increase of 2%?

* What the new ask prices will be after 3 days and IV increase of 2% and price decrease of 1%?

* What the new ask prices will be after 3 days and IV increase of 2% and price increase of 1%?

*
* Download AAPL 2013-11 maturity options
fetchyahoooptions AAPL, m(2013-11)

* Keep only the monthly OPEX
keep if Maturity==date("16nov2013","DMY")

* Keep regular size options (no minis)
keep if strlen(Symbol)==strlen(Underlying)+15

* Keep only the Call options
keep if Type=="Call"

* Calculate the Implied Volatility
fetchyahoooptions AAPL, calconly iv

* What the price needs to be in order to break-even after a weekend, keeping IV constant
fetchyahoooptions AAPL, calconly price_target(day) target_day(-3) target_varname("PT_day3")

* What the price needs to be in order to break-even after a weekend and IV increase of 2%
fetchyahoooptions AAPL, calconly price_target(day iv) target_day(-3) target_iv(+2) target_varname("PT_day3_iv2")

* What the new ask prices will be after 3 days and IV increase of 2%
fetchyahoooptions AAPL, calconly new_ask(day iv) target_day(-3) target_iv(+2) target_varname("Ask_day3_iv2")

* What the new ask prices will be after 3 days and IV increase of 2% and price decrease of 1%
fetchyahoooptions AAPL, calconly new_ask(day iv) target_day(-3) target_iv(+2) price_change(-1) target_varname("Ask_day3_iv2_p1")

* What the new ask prices will be after 3 days and IV increase of 2% and price increase of 1%
fetchyahoooptions AAPL, calconly new_ask(day iv) target_day(-3) target_iv(+2) price_change(+1) target_varname("Ask_day3_iv2_p1_up")

order Underlying Type Maturity Strike Price PT* Ask*
drop if Strike>Price*1.2
drop if Strike

Break-even chart:

PT_3days_2iv

 

 

New Ask price chart:

AAPL_day3_iv2_p1