Formula for calculating BreakEvenPoint of 2+ CoveredCalls

Q

Quanto

I'm seeking a generic formula for calculating the BreakEvenPoint (BEP) of 2+ CoveredCalls (CC).
Of course a CoveredCall consists of a LongStock plus a ShortCall.
Reading the BEP from the PnL chart is not satisfactory; rather a generic math formula is needed.
For example for these 3 CoveredCalls: https://optioncreator.com/stzn4en
Here the stock was bought at different prices ($15, $16, $17), but all the options were ShortSold when the stock was at $16. Just a demo.
On the PnL chart the BEP of these 3 CCs is somewhere about 6.75 or so, but need the exact value using a formula.
Anyone know a formula?

BreakEvenPoint_of_3_CoveredCalls.png
 
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Btw, the BEP formula "B/E = initial underlying price – call premium received" at https://www.macroption.com/covered-call/#break-even-point for just 1 CoveredCall is definitely wrong if the buy price of the owned stock was different from the current stock price (as is the case in my example above).
I guess similarily wrong even at many other such "options expert" sites... :)
 
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Quanto said:
Anyone know a formula?
More...

Total stock cost minus total premium sold divided by number of shares.

Example:
Bought at 15x100 , 16x100 , 17x100
Sold 1x1.3, 1x1.5, 1x1.8
1500+1600+1700 = 4800
1.3+1.5+1.8= 4.6 (460)
4800-460 = 4340
4340/300 = 14.47
 
BKR88 said:
Total stock cost minus total premium sold divided by number of shares.

Example:
Bought at 15x100 , 16x100 , 17x100
Sold 1x1.3, 1x1.5, 1x1.8
1500+1600+1700 = 4800
1.3+1.5+1.8= 4.6 (460)
4800-460 = 4340
4340/300 = 14.47
More...
Thx, looks logical, but unfortunately I was not able to verify/confirm it.
Could you please tell also the other parameters like the strikes and DTEs you used.
 
Quanto said:
Thx, looks logical, but unfortunately I was not able to verify/confirm it.
Could you please tell also the other parameters like the strikes and DTEs you used.
More...

Strikes & DTE make no difference if you're only looking at BE.
Obviously the different strikes & DTE will move/decay at different rates but doesn't change BE.
Your graphs will be different with different strikes & DTE.
 
BKR88 said:
Strikes & DTE make no difference if you're only looking at BE.
Obviously the different strikes & DTE will move/decay at different rates but doesn't change BE.
Your graphs will be different with different strikes & DTE.
More...
Can you do your calc also by using the numbers in the initial posting?

Because something does not fit when using your numbers --> watch the PnL chart and of course especially the BEP (non-existent :-)):
https://optioncreator.com/stnn078
 
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Quanto said:
Can you do your calc also by using the numbers in the initial posting?

Because something does not fit when using your numbers --> watch the PnL chart and of course especially the BEP (non-existent :)):
https://optioncreator.com/stnn078
More...

1500+1600+1700 = 4800
973+1295+788 = 3056
4800-3056 = 1744
1744/300 = 5.81

Quanto said:
but all the options were ShortSold when the stock was at $16.
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Definitely NOT.
Add the premium to the strike.
So the 12 sold for 9.73 and the 20 sold for 7.88 all when the stock was 16 ??? NO!
Silly to sell the 4 strike on a 16 stock.
That graph tool is messing you up.
Keep it simple and do the math.

Vol is lower but look at the Apr calls on F below with stock 11.4
Nothing like your graph tool.

f.jpg
 
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BKR88 said:
1500+1600+1700 = 4800
973+1295+788 = 3056
4800-3056 = 1744
1744/300 = 5.81



Definitely NOT.
Add the premium to the strike.
So the 12 sold for 9.73 and the 20 sold for 7.88 all when the stock was 16 ??? NO!
Silly to sell the 4 strike on a 16 stock.
That graph tool is messing you up.
Keep it simple and do the math.

Vol is lower but look at the Apr calls on F below with stock 11.4
Nothing like your graph tool.

View attachment 331741
More...
5.81 is wrong. It has to be about 6.75, just watch the orange line crossing 0 at the y axis.
The Premiums were calculated using the Black-Scholes calculator using S=16, DTE=90, IV=300.
It does not make any sense to come up with a new set of such data as it does not add any new value or insight to the problem.
And: you better should use such a table that also includes the IVs.
 
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