B3 Calendar Trava Horizontal
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Script that generates a report of possible Calendar options structures.
It works for any asset on the spot market that has authorized series of options on the B3 (Brazilian stock exchange).
The report presents the alternatives for assembling calendars structures, for a defined range of strikes, with the long option expiring in a certain number of months.
The main structures of the report are:
- Calendar
- Calendar Line
- Covered Calendar Line
In addition, the report presents alternatives to cover the cost of assembly of the structure.
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:
- Expiration: year and month of expiry of the structures' put options. Format: yyyy.mm
- Minimum number of months for the long option: minimum number of months, from the current date, for the expiration of the long options.
- Range of calendar lines: percentage range from the asset's spot price, upwards and downwards, for the assembly of structures.
- 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 folder 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 report 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.
