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Yes okay, I didn't know that it was wrong to calculate with the greeks(delta) at expiration. So, we only calculate from strike 105 to 110 (strike/underlying) price at expiration even that the underlying was at 100 when we entered the 105 strike? Yes it is easy to be confused sometimes of...

No problem, yes it must be the beers, I was going insane for a while :) Then we are on the same track now then. I think my calculation in the first post reflects the profit and loss at the 2 strikes then (*100).

The profit will be the entire initial credit: $100 at expiration.

Your calculation is not right. It is the opposite. We simply keep the credit which is the intial credit == $50 We want the underlying to close UNDER $105 at expiration to keep the credit.

I will take a simple example that hopefully will help us. We enter a CALL credit spread like this: Buy 1 Call - Strike 110 at 0.50 Sell 1 Call - Strike 105 at 1.00 Underlying will close at 100 on expiration. What is the profit or loss?

Yes, we are on the same track there completely! Yes it would be nice to have a look at your script. The only thing that remains is this as you say: Isn't it on the contrary? We sell a call at strike $110. Now if the underlying closes at $105 which is below, we keep the credit. On the other...

>> The 105 strike and the 115 strike long positions are worthless. I am with you on that one. It must be something that I miss completely. You say that I owe the difference which will be: (110-105) X 2 Contracts X 100 shares/Contract => Cost to you of $1000 But I have shorted 2 calls at 110...

Thanks for the spreadsheet. I am not sure now but are your calculation wrong and the below correct? I am a little confused. Expiration PnL at price points below. (Price points should be just above 105 and just below 110 for the purpose of the riskprofile to illustrate. Not how it is in...

I am not sure I followed your explanation. Do my calculation look correct when looking at the total profit(not value) at strike 1 and strike 2 at expiration. I think it is equal to your explanation?

Yes, that is true. All strikes are at the same expiration. So it would be the scenario as it looks like on the risk profile at expiration.

Hello, I am trying to manually calculate what the profit in a risk graph is at strike 1 and strike 2 in this example. I use the delta value of 0.30 as $0.30/1 dollar increase in the underlying for strike 1. I wonder if I have calculated this correctly? Current Spot price: $100.0 Strike 1: Buy...

Thanks alot, that was very helpful!

Hello, I wonder if there is any free software where you can study the riskprofile graphs for a strategy you put in. With free, I mean a software that does not have a trial. As long as it is possible to study how the riskprofile behaves when changing around strike prices and contracts?

Thanks for the help and explanation!

Thanks Bob, I found the calculator also, I just was a bit confused of the debitspread as I have not calculated margin on that before. I have looked at your example but I just liked to break it down below. So, now if I understand we can break this down to a debitspread and a creditspread like...

Yes, it is something strange. I tried again with new values for the below PUT option: Symbol: MSFT Expiration: 18 Nov 2016 dividendyield = 0.0241; riskfreerate = 0.0024; stockprice = 59.66; strikeprice = 60...

I am sorry, I did use the wrong terminology. All position are "to open". So the example should then look like this: Positions to enter: Buy to open 1 contracts Nov 150 Call at 3.30 Sell to open 3 contracts Nov 155 Call at 1.00 Buy to open 2 contracts Nov 160 Call at 0.24 Then I know wonder...

Hello, I wonder how we would go about if we will calculate the margin requirement for the below trade? Underlying IBM is at 151.26 Buy to close 1 contracts Nov 150 Call at 3.30 Sell to open 3 contracts Nov 155 Call at 1.00 Buy to close 2 contracts Nov 160 Call at 0.24

For symbol CSCO, I am trying out the C# code found here: http://www.risk256.com/code/Options.cs I call the THETA function: //Current information! double dividendyield = 0.0328; double riskfreerate = 0.0024; double stockprice = 30.35; double strikeprice = 32; double yearsexpiration = (double)30...

Hello, I am looking at the 30 DTE ATM option in MSFT today. I have inserted the values in this calculator: http://www.bilddump.se/bilder/20161021232224-195.252.32.111.png As seen we can read the PUT value: 11.37 What does that mean in this case. The PUT option price is at: 1.80 How much...