Iron Condor Strategy Calculator with Real-Time Stock Data

https://6namdang-ironcondor-app-qa4zkz.streamlit.app/

This project implements an Iron Condor options strategy calculator using real-time stock data fetched from Yahoo Finance. It leverages the Black-Scholes option pricing model and calculates option Greeks (Delta, Gamma, Theta, Vega, Rho) to provide a comprehensive analysis of the strategy. Additionally, it includes a Streamlit app to allow users to interactively visualize the payoff diagram and Greeks of their Iron Condor strategy.

Screen.Recording.2024-11-26.012922.mp4

Features

• Real-time Stock Data: Fetches live stock prices using Yahoo Finance.
• Black-Scholes Pricing: Calculates the theoretical price of call and put options using the Black-Scholes formula.
• Greeks Calculation: Computes the option Greeks (Delta, Gamma, Theta, Vega, and Rho) for call and put options in the Iron Condor strategy.
• Iron Condor Payoff: Visualizes the payoff diagram of the Iron Condor strategy at expiration.
• Interactive UI: Built using Streamlit, allowing users to modify key parameters such as stock ticker, strike prices, time to expiration, and implied volatility.

Input Parameters:

• Stock Ticker: Enter the ticker symbol of the stock you want to analyze (e.g., AAPL, MSFT).
• Strike Prices: Set the strike prices for the Iron Condor strategy:
  • Short Call Strike (K1): Set the strike price for the short call.
  • Short Put Strike (K2): Set the strike price for the short put.
  • Long Call Strike (K3): Set the strike price for the long call.
  • Long Put Strike (K4): Set the strike price for the long put.
• Time to Expiration (T): Set the number of days until expiration (converted to years).
• Risk-Free Interest Rate (r): Set the annual risk-free interest rate (e.g., 0.05 for 5%).
• Implied Volatility (σ): Set the implied volatility of the underlying asset.
• Premiums: Set the premium prices for the call and put options in the Iron Condor strategy.

Output:

• Payoff Diagram: Displays a graph showing the profit and loss for the Iron Condor strategy at different stock prices at expiration.
• Greeks Plot: Displays the Delta, Gamma, Theta, Vega, and Rho values for each leg of the Iron Condor strategy.

Papers:

Black-Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637–654. https://doi.org/10.1086/260062

Merton, R. C. (1973). Theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141–183. https://doi.org/10.2307/3003143

Hull, J. (2017). Options, futures, and other derivatives (10th ed.). Pearson Education.

Black, F., & Scholes, M. (1972). The valuation of option contracts and a test of market efficiency. The Journal of Finance, 27(2), 399–417. https://doi.org/10.1111/j.1540-6261.1972.tb00843.x

Breeden, D., & Litzenberger, R. (1978). Prices of state-contingent claims implicit in option prices. Journal of Business, 51(4), 621–651. https://doi.org/10.1086/296393

Installation

To run this project locally, you need to install the following Python libraries:

pip install streamlit numpy matplotlib yfinance scipy
streamlit run app.py