SmartOption Collar - Option Strike Calculator
Estimates call strike for collaring with puts given predictive edge
Function Syntax
=PFR.SmartOptionCollar(Security, CapturePercent, EdgeAtExpiration, BetweenStrikes, TradingDate, ExpirationDate, RefreshMode)
Parameters
| Parameter |
Description |
| Security | Bloomberg security |
| CapturePercent | Upside capture % (0.70=70%) |
| EdgeAtExpiration | Excess win rate (0.10=10%) |
| BetweenStrikes | Strike increment (default=0.5) |
| TradingDate | Purchase date |
| ExpirationDate | Option expiration date |
| RefreshMode | Refresh rate INTERVAL,DAILY,...,FREEZE |
Output Columns
| Column |
Description |
| Output 1 | Last Price |
| Output 2 | Raw Call Strike |
| Output 3 | Tradable Call Strike |
| Output 4 | % Distance to Call |
| Output 5 | Call Symbol |
| Output 6 | Call Price |
| Output 7 | Call Price (BS) |
| Output 8 | Call Delta |
| Output 9 | Call Delta (BS) |
| Output 10 | Yield Estimate |
| Output 11 | High Yield Alert |
Note: This function requires Bloomberg Terminal to be running and logged in.