B3 Straddle ATM
- Utilities
- Wellington Silva
- Version: 1.2
- Updated: 4 August 2021
- Activations: 5
Script that generates a report of possible ATM Straddle operations.
It works for any asset on the spot market that has authorized stock options series on the B3 (Brazilian stock exchange).
Straddle operations presented in the report:
- Short Straddle operations
- Uncovered Short Straddle
- Covered Call Short Straddle
- Diagonal Covered Call Short Straddle (expiration of the covered call after the expiration of the short options)
- Iron Butterfly
- Iron Butterfly "Pozinho"
- Diagonal Iron Butterfly (diagonal long positions - expiring after the expiry of the short options)
- Inverted Diagonal Iron Butterfly (structure mounted with debit spreads)
- Long Straddle Operations:
- Uncovered Long Straddle
- Covered Long Straddle
- Calendar Covered Long Straddle (short covering in the same strike, expiration prior to the expiration of the long options)
- Diagonal Covered Long Straddle (short covering expiration prior to the expiration of long options)
For the report to work, B3's authorized option series file must be in the data directory of your metatrader terminal.
To do this, we put a tutorial video explaining it.
Input parameters:
- Maturity: year and month of expiration of the short options. Format: yyyy.mm
- Output File: name of the report that will be generated by the script.
- Interest(%): risk-free interest rate for calculating Black&Scholes Greek options.
The file will be generated in the data directory of your metatrader terminal.
This video shows how to use the script and where to find the generated operations report.
An example of the generated file can be found here.
P.S.: The report, the script, and all tutorial videos are in Brazilian Portuguese. Let us know If you need this stuff in English. You need to operate in Brazilian B3 Stock Exchange
Questions, suggestions or comments, find us on our channel on Telegram.
