options-payoff

安装量: 61
排名: #12252

安装

npx skills add https://github.com/himself65/finance-skills --skill options-payoff
Options Payoff Curve Skill
Generates a fully interactive HTML widget (via
visualize:show_widget
) showing:
Expiry payoff curve
(dashed gray line) — intrinsic value at expiration
Theoretical value curve
(solid colored line) — Black-Scholes price at current DTE/IV
Dynamic sliders for all key parameters
Real-time stats: max profit, max loss, breakevens, current P&L at spot
Step 1: Extract Strategy From User Input
When the user provides a screenshot or text, extract:
Field
Where to find it
Default if missing
Strategy type
Title bar / leg description
"custom"
Underlying
Ticker symbol
SPX
Strike(s)
K1, K2, K3... in title or leg table
nearest round number
Premium paid/received
Filled price or avg price
5.00
Quantity
Position size
1
Multiplier
100 for equity options, 100 for SPX
100
Expiry
Date in title
30 DTE
Spot price
Current underlying price (NOT strike)
middle strike
IV
Shown in greeks panel, or estimate from vega
20%
Risk-free rate
4.3%
Critical for screenshots
The spot price is the CURRENT price of the underlying index/stock, NOT the strikes. For SPX, check market data — as of March 2026 SPX ≈ 5,500. Never default spot to a strike price value. Step 2: Identify Strategy Type Match to one of the supported strategies below, then read the corresponding section in references/strategies.md . Strategy Legs Key Identifiers butterfly Buy K1, Sell 2×K2, Buy K3 3 strikes, "Butterfly" in title vertical_spread Buy K1, Sell K2 (same expiry) 2 strikes, debit or credit calendar_spread Buy far-expiry K, Sell near-expiry K Same strike, 2 expiries iron_condor Sell K2/K3, Buy K1/K4 wings 4 strikes, 2 spreads straddle Buy Call K + Buy Put K Same strike, both types strangle Buy OTM Call + Buy OTM Put 2 strikes, both OTM covered_call Long 100 shares + Sell Call K Stock + short call naked_put Sell Put K Single leg ratio_spread Buy 1×K1, Sell N×K2 Unequal quantities For strategies not listed, use custom mode: decompose into individual legs and sum their P&Ls. Step 3: Compute Payoffs Black-Scholes Put Price d1 = (ln(S/K) + (r + σ²/2)·T) / (σ·√T) d2 = d1 - σ·√T put = K·e^(-rT)·N(-d2) - S·N(-d1) Black-Scholes Call Price (via put-call parity) call = put + S - K·e^(-rT) Butterfly Put Payoff (expiry) if S >= K3: 0 if S >= K2: K3 - S if S >= K1: S - K1 else: 0 Net P&L per share = payoff − premium_paid Vertical Spread (call debit) Payoff (expiry) long_call = max(S - K1, 0) short_call = max(S - K2, 0) payoff = long_call - short_call - net_debit Calendar Spread Theoretical Value Calendar cannot be expressed as a simple expiry function — always use BS pricing for both legs: value = BS(S, K, T_far, r, IV_far) - BS(S, K, T_near, r, IV_near) For expiry curve of calendar: near leg expires worthless, far leg = BS with remaining T. Iron Condor Payoff (expiry) put_spread = max(K2-S, 0) - max(K1-S, 0) // short put spread call_spread = max(S-K3, 0) - max(S-K4, 0) // short call spread payoff = credit_received - put_spread - call_spread Step 4: Render the Widget Use visualize:read_me with modules ["chart", "interactive"] before building. Required Controls (sliders) Structure section: All strike prices (K1, K2, K3... as needed by strategy) Premium paid/received Quantity Multiplier (100 default, show for clarity) Pricing variables section: IV % (5–80%, step 0.5) DTE — days to expiry (0–90) Risk-free rate % (0–8%) Spot price: Full-width slider, range = [min_strike - 20%, max_strike + 20%], defaulting to ACTUAL current spot Required Stats Cards (live-updating) Max profit (expiry) Max loss (expiry) Breakeven(s) — show both for two-sided strategies Current theoretical P&L at spot Chart Specs X-axis: SPX/underlying price Y-axis: Total USD P&L (not per-share) Blue solid line = theoretical value at current DTE/IV Gray dashed line = expiry payoff Green dashed vertical = strike prices (K2 center strike brighter) Amber dashed vertical = current spot price Fill above zero = green 10% opacity; below zero = red 10% opacity Tooltip: show both curves on hover Code template Use this JS structure inside the widget, adapting pnlExpiry() and bfTheory() per strategy: // Black-Scholes helpers (always include) function normCDF ( x ) { / Horner approximation / } function bsCall ( S , K , T , r , sig ) { / standard BS call / } function bsPut ( S , K , T , r , sig ) { / standard BS put / } // Strategy-specific expiry payoff (returns per-share value BEFORE premium) function expiryValue ( S , ... strikes ) { ... } // Strategy-specific theoretical value using BS function theoreticalValue ( S , ... strikes , T , r , iv ) { ... } // Main update() reads all sliders, computes arrays, destroys+recreates Chart.js instance function update ( ) { ... } // Attach listeners [ 'k1' , 'k2' , ... , 'iv' , 'dte' , 'rate' , 'spot' ] . forEach ( id => { document . getElementById ( id ) . addEventListener ( 'input' , update ) ; } ) ; update ( ) ; Step 5: Respond to User After rendering the widget, briefly explain: What strategy was detected and how legs were mapped Max profit / max loss at current settings One key insight (e.g., "spot is currently 950 pts below the profit zone, expiring tomorrow") Keep it concise — the chart speaks for itself. Reference Files references/strategies.md — Detailed payoff formulas and edge cases for each strategy type references/bs_code.md — Copy-paste ready Black-Scholes JS implementation with normCDF Read the relevant reference file if you're unsure about payoff formula edge cases for a given strategy.
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