Options¶

Options are derivative contracts written against an underlying asset. They come in four flavors depending whether they are calls or puts, and depending on whether they are short or long.

A long put option costs money to purchase and gives the owner the right to sell the underlying at the strike price. A long call option also costs money to purchase and gives the owner the right to purchase the underlying at the strike price.

A short put option pays the seller a premium and obligates them to buy the underlying at the strike price should the owner of the long option chooses to exercise. A short call option also pays the seller a premium, and requires them to sell the underlying at the strike price when the owner elects to exercise.

The risk associated with single long options is simply the cost of the option. Risks asssociated with single short options depends on whether they are short puts or short calls. Short puts carry almost the same risk as owning the underlying outright, but less so because a premium is received to sell this option. A single short call option also receives a premium, but this risk is considered unlimited since the price of an underlying is not bounded on the upside, as they are bounded on the bottom side (underlying price cannot go below zero).

Four types are provided to model these single options:

Each option type as the same fields.

An example in REPL:

julia> Appleput = LongPut(Ticker("AAPL"), 1.21, 90.00)
type:           LongPut
ticker:         AAPL
strike:         90.0
expiry:         2015-03-09
currency:       USD

The default expiry is today, which is more likely incorrect. The default currency is USD.