Can such a PnL diagram exist?

E

earth_imperator

The PnL value in a PnL diagram usually rises or falls (or is a horizontally constant) when traced from initial spot to the lower and higher spot directions.
The question is: can it also change its direction from rising to falling PnL, or vice-versa, in the same half side from the initial spot?
Can such a PnL diagram exist? Any examples?
Of course meaning the PnL at expiration, not before.
 
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You can make it do many things. What are you trying to accomplish?
71655d358b9d59844fda51c93d48b4ab.png

https://gyazo.com/71655d358b9d59844fda51c93d48b4ab
 
Matt_ORATS said:
You can make it do many things. What are you trying to accomplish?
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Matt, thx, indeed a very interesting PnL diagram!

I just need to calculate (ie. to find) the nearest B/E point to both sides from given spot value.
Of course there can exist in total 0, 1, or 2 B/E points that are nearest to the given spot.
I need it inside my scanner for calculating a score for each candidate, where the distance to the B/E point in % will be part of the score; the bigger the distance the better the score gets, of course... As indicated this is just one of the many parts my score is made up of.

Again, thx, it helps me to continue & advance my work...
 
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earth_imperator said:
The PnL value in a PnL diagram usually rises or falls (or is a horizontally constant) when traced from initial spot to the lower and higher spot directions.
The question is: can it also change its direction from rising to falling PnL, or vice-versa, in the same half side from the initial spot?
Can such a PnL diagram exist? Any examples?
Of course meaning the PnL at expiration, not before.
More...

I don't quite understand your question, but if you take a balanced butterfly (121), call or put, your choice, you can make any arbitrary payoff diagram by superposition.
 
ET180 said:
I don't quite understand your question, but if you take a balanced butterfly (121), call or put, your choice, you can make any arbitrary payoff diagram by superposition.
More...
Just study the PnL diagram Matt has posted. I mean such PnL diagrams where the PnL can also change direction within the left or right side from the initial spot...

OTOH: I haven't verified it yet, maybe it's a case open for interpretation, b/c I'm only interested in the outcome if one closes the whole position at the shortest expiration... keeping initial IVs...
Complicated shaet... :)
 
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earth_imperator said:
Matt, thx, indeed a very interesting PnL diagram!

I just need to calculate (ie. to find) the nearest B/E point to both sides from given spot value.
Of course there can exist in total 0, 1, or 2 B/E points that are nearest to the given spot.
I need it inside my scanner for calculating a score for each candidate, where the distance to the B/E point in % will be part of the score; the bigger the distance the better the score gets, of course... As indicated this is just one of the many parts my score is made up of.
More...

Caveat / Correction: above I said "the bigger the B/E distance the better", but this applies only conditionally in some cases, in other cases "the shorter the B/E distance the better" applies! :)
For example in a ShortStraddle it is good if the B/E points are far off the initial spot (b/c one starts in plus),
but in a LongStraddle it's exactly the opposite! The nearer the B/E points to the initial spot the better (b/c one starts in minus).

Tricky sheat! :)
 
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