[R-SIG-Finance] probability of 50% profit on short options trade

[David L. Van Brunt, Ph.D.]

Hello; I've been following the "dough" trading platform for a bit and they
are big on short options strategies such as strangles, straddles,
verticals, etc.  One nice thing their platform does is compute the
probability of reaching 50% of target (max) profit, and they recommend
taking profits at that point in time.

I was wondering if there is a way to do this in R... I know there is (monte
carlo, for example) but if there is a package or tool that has done some of
the heavy lifting already, it would save me re-inventing the wheel. The
motivation, of course, is that I'd like to pass many tickers into a script
that helps me find the best trading opportunities.  Their thinking is
described here: https://www.dough.com/blog/probability-of-50-profit-on-dough

Can anyone point me in the right direction to get started?

---------------------------------------
David L. Van Brunt, Ph.D.
mailto:dlvanbrunt at gmail.com

	[[alternative HTML version deleted]]