Say I currently hold a set of options positions with the same symbol/expiry that collectively have a net present value based on the estimated value at expiration of +10. I could also liquidate the positions now at a value of +6.
I am considering a set of multiple transactions with the same symbol/expiry. If I executed these transactions, I would net +8 including commissions. The estimated present value at expiration for the resulting positions would decline by -3 to 7. I could also liquidate the entire position after the transactions at a value of +5.
How to I determine the ROI of executing these transactions?
My gut says its 8 / 3 = 266%, I 'invested' that -3 that I lost in value to gain an immediate value of $8. But that does not seem to work for all the different scenarios, such as when a set of transactions results in both an increase in estimated NPV and a net benefit to the execution.
If there a general purpose equation that will allow me to measure ROI consistently across these scenarios? How do I account for the reduction in the liquidation value since only one of the two scenarios will occur (either the liquidation value will matter or the value at expiration)?