Calculate option payoff for a specific date

Options & Futures
1

Hey guys,

 I have finished all the option trading courses and I was unable to learn a way to calculate the payoff of an option contract for a date other than the expiry. We can get the option Greeks using mibian, so can you please provide me with an example to calculate the payoff of an option contract, let's say 3 days from now. I want to know what will happen if I hold the contract for 3 days, what would be my possible pay off.

I was hoping to learn this in the advanced course but was unable to find it, if I missed this in the course please guide me to that section.

Thank you

2

Hi Abinash,



Thanks for your query. In the BS function of the mibian package, you need to change the daysToExpiration parameter to get the options price after n days.



BS([underlyingPrice, strikePrice, interestRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z)



Note: You need to assume the underlyingPrice and the volatility after n days in the above equation.



I hope this helps!



Thanks,

Team Quantra