Black-Scholes Option Pricing Model with Dividends

Current Stock Price(S)

Exercise Price(K)
Risk-Free Interest Rate(rf)
Expected Life of Option(T)
Volatility(Sigma)
Dividend Yield(d)
Call Option Value

P1@353.1 30.247368
$
353.10 P2@354.1 30.906751
$
340.00 P3@352.1 29.594875
7.00% P@Sig=30%30.247368
0.2461538462 P@Sig=31% 30.8927
35.0% P@rf=8% 30.752837
30.061708
2% P@T=64days
$

33.2817
1.571428571

Note: Enter values in the light cells in the spreadsheet.

Sensitivities
Delta_F
Delta_B
Gamma
Vega
Rho
Theta
Delta

Date
SBI
SpotMoves(%)
21Sep10
225.43
22Sep10
225.22
23Sep10
220.05
24Sep10
222.82
27Sep10
223.02
28Sep10
222.14
29Sep10
220.39
30Sep10
222.59
1Oct10
227.04
4Oct10
231.23
5Oct10
229.54 0.0182318236
6Oct10
229.83 0.0204688749
7Oct10
227.52 0.0339468303
8Oct10
225.24 0.0108607845
11Oct10
226.52 0.0156936598
12Oct10
227.74 0.0252093275
13Oct10
231.74 0.0514996143
14Oct10
227.94 0.0240352217
15Oct10
224.93 0.0092935166
18Oct10
223.23 0.0345975868
19Oct10
223.91 0.0245273155
20Oct10
222.78 0.0306748466
21Oct10
225.92 0.0070323488
22Oct10
226.37 0.0050168709
25Oct10
228.42 0.0083877803
26Oct10
226.23 0.006630368
27Oct10
221.35 0.0448347286
28Oct10
217.81 0.0444415197
29Oct10
232.6 0.0340994976
1Nov10
246.4 0.1037942929
2Nov10
246.27 0.0998615515
3Nov10
247.73 0.1119938953
4Nov10
253.21 0.1207949717
5Nov10
254 0.1220568096
8Nov10
251.06 0.0991156641
9Nov10
253.83 0.1219997348
10Nov10
251.04
0.134131466
11Nov10
247.42 0.1359441715
12Nov10
240.09 0.0322012038
15Nov10
244.64 0.0071428571
16Nov10
240.46 0.0235919925
18Nov10
232.88 0.0599442942
19Nov10
229.74 0.0926898622
22Nov10
236.01 0.0708267717

23Nov10
24Nov10
25Nov10
26Nov10
29Nov10
30Nov10
1Dec10
2Dec10
3Dec10
6Dec10
7Dec10
8Dec10
9Dec10
10Dec10
13Dec10
14Dec10
15Dec10
16Dec10
20Dec10
21Dec10
22Dec10
23Dec10
24Dec10
27Dec10
28Dec10
29Dec10
30Dec10
31Dec10
3Jan11
4Jan11
5Jan11
6Jan11
7Jan11
10Jan11
11Jan11
12Jan11
13Jan11
14Jan11
17Jan11
18Jan11
19Jan11
20Jan11
21Jan11
24Jan11
25Jan11

231.39
225.02
223.25
224.83
230.86
228.42
233.49
238.23
236.29
230.24
222.1
220.88
211.66
223.42
224.08
223.9
215.74
221.15
220.01
227.67
226.35
225.93
223.63
225.11
222.37
225.89
227.37
229.02
228.97
220.81
213.87
210.69
209.84
202.8
204.59
213.89
205.2
201.84
200.23
202.29
204.65
210.11
213.11
216.78
207.58

0.0783478053
0.1135011622
0.1106994901
0.0913022391
0.0384439169
0.0663015043
0.02898611
0.0229732051
0.0285104901
0.0244481166
0.0401486668
0.0183983646
0.0519148936
0.0062714051
0.0293684484
0.0197881096
0.0760203863
0.0716954204
0.0688983876
0.0111622655
0.0191355245
0.0228630931
0.0565529623
0.0075642288
0.0076312031
0.0088878964
0.0539074812
0.0355867059
0.0407254216
0.0301313304
0.0551358516
0.0674545213
0.0616643563
0.0991071032
0.0799568287
0.0531232016
0.0975062673
0.1186795913
0.1255186269
0.083873013
0.0431103006
0.0027528597
0.0155833016
0.0689349112
0.014614595

27Jan11
28Jan11
31Jan11
1Feb11
2Feb11
3Feb11
4Feb11
7Feb11
8Feb11
9Feb11
10Feb11
11Feb11
14Feb11
15Feb11
16Feb11
17Feb11
18Feb11
21Feb11
22Feb11
23Feb11
24Feb11
25Feb11
28Feb11
1Mar11
3Mar11
4Mar11
7Mar11
8Mar11
9Mar11
10Mar11
11Mar11
14Mar11
15Mar11
16Mar11
17Mar11
18Mar11
21Mar11
22Mar11
23Mar11
24Mar11
25Mar11
28Mar11
29Mar11
30Mar11
31Mar11

202.87
203.69
204.32
198.96
202.28
205.4
199.2
195.75
190.31
191.41
191.97
200.11
206.85
210.84
210.12
211.4
205.24
207.53
205.42
201.22
190.27
197.25
194.17
205.24
203.91
203.27
202.03
204.12
207.05
202.91
201.38
203.82
199.32
205.49
202.37
200.51
200.72
200.83
208.18
210.62
218.22
220.16
219.9
221.82
223.24

0.0515218103
0.0073586745
0.01228696
0.0063427059
0.000049434
0.0036647935
0.051925182
0.0814602787
0.1221053603
0.077897678
0.053728989
0.0175757278
0.0123825372
0.0597104946
0.038758157
0.029211295
0.0303212851
0.0601787995
0.0793967737
0.0512512408
0.0088555503
0.0142921393
0.0613004593
0.026560425
0.0295545403
0.0384578997
0.0156402261
0.0164313593
0.0079349625
0.0083987675
0.0583907079
0.0333079848
0.0265231498
0.0012180861
0.0075523515
0.0135779997
0.0064841855
0.0161179698
0.0054576189
0.0379971416
0.0836230013
0.0801687764
0.1032510536
0.0794685873
0.103127934

1Apr11
4Apr11
5Apr11
6Apr11
7Apr11
8Apr11
11Apr11
13Apr11
15Apr11
18Apr11
19Apr11
20Apr11
21Apr11
25Apr11
26Apr11
27Apr11
28Apr11
29Apr11
2May11
3May11
4May11
5May11
6May11
9May11
10May11
11May11
12May11
13May11
16May11
17May11
18May11
19May11
20May11
23May11
24May11
25May11
26May11
27May11
30May11
1Jun11
2Jun11
3Jun11
6Jun11
7Jun11
8Jun11

220.58
223.84
222.25
220.1
220.8
219.66
220.12
225.37
220.34
216.82
218.01
222.47
223.7
222.53
224.29
221.37
223.5
222.89
219.66
213.56
211.53
206
216.76
216.6
215.24
215.34
210.43
214.61
211.55
207.95
206.45
206.02
208.64
201.38
203.76
201.75
205.25
213.63
215.54
216.94
209.78
209.48
211.61
211.23
209.81

0.1000947584
0.1151853328
0.1066573719
0.057258142
0.0483334916
0.0065988452
0.000181686
0.0248749432
0.0066720765
0.028758287
0.0116511016
0.0061204432
0.0065241845
0.0110404362
0.0158061594
0.0077847583
0.0153552608
0.0110041265
0.0030861396
0.0150355133
0.0297234072
0.0740324538
0.0310236924
0.0266480924
0.0403495475
0.0272394633
0.0584787472
0.0371483692
0.0369206956
0.0262689642
0.0240155061
9.708738E005
0.0374607861
0.0702677747
0.0533358112
0.0631095013
0.0246162619
0.0045664228
0.0188607894
0.043231546
0.0161298135
0.016794486
0.014235046
0.0489125037
0.0296917943

9Jun11
10Jun11
13Jun11
14Jun11
15Jun11
16Jun11
17Jun11
20Jun11
21Jun11
22Jun11
23Jun11
24Jun11
27Jun11
28Jun11
29Jun11
30Jun11
1Jul11
4Jul11
5Jul11
6Jul11
7Jul11
8Jul11
11Jul11
12Jul11
13Jul11
14Jul11
15Jul11
18Jul11
19Jul11
20Jul11
21Jul11
22Jul11
25Jul11
26Jul11
27Jul11
28Jul11
29Jul11
1Aug11
2Aug11
3Aug11
4Aug11
5Aug11
8Aug11
9Aug11
10Aug11

209.6
207.18
207.92
211.11
206.23
205.7
206.44
204.97
202.8
203.78
206.04
212.82
215.88
216.66
217.45
218.93
218.97
219.95
219.46
215.09
217.97
212.04
210.8
209.33
210.8
213.81
212.13
209.52
212.36
209.07
208.2
213.61
214.97
207.91
204.98
203.49
207.35
209.07
204.34
200.39
198.63
193.3
190.18
188.03
192.74

0.0389095415
0.0094031669
0.0267284557
0.0205530296
0.049368489
0.0194489465
0.0145121253
0.0313784793
0.0399091038
0.0287402888
0.0169847328
0.0272227049
0.0382839554
0.0262896121
0.0544052757
0.0643169665
0.0606956016
0.0730838659
0.0821499014
0.0555010305
0.0579013784
0.0036650691
0.0235315916
0.0338318102
0.0305817429
0.0233864706
0.0312371558
0.0474198682
0.0323521371
0.027988284
0.044822682
0.0074042633
0.0197817837
0.0067835475
0.0276091082
0.0482671531
0.0225333522
0.0021477663
0.0377660576
0.0415171952
0.0459654179
0.0950798184
0.1153184165
0.0956182964
0.0597131427

11Aug11
12Aug11
16Aug11
17Aug11
18Aug11
19Aug11
22Aug11
23Aug11
24Aug11
25Aug11
26Aug11
29Aug11
30Aug11
2Sep11
5Sep11
6Sep11
7Sep11
8Sep11
9Sep11
12Sep11
13Sep11
14Sep11
15Sep11
16Sep11
19Sep11
20Sep11
21Sep11
22Sep11
23Sep11
26Sep11
27Sep11
28Sep11
29Sep11
30Sep11
3Oct11
4Oct11
5Oct11
7Oct11
10Oct11
11Oct11
12Oct11
13Oct11
14Oct11
17Oct11
18Oct11

188.51
187.99
187.12
181.96
172.76
166.43
170.2
170.43
168.44
166.77
164.05
171.61
174.8
177.43
176.64
177.85
179.47
183.79
179.36
172.47
170.48
172.81
175.24
176.78
171.9
176.47
180.24
172.47
168.75
171.61
177.21
173.75
178.14
175.08
167.82
160.19
155.85
164.89
168.53
166.5
171.94
175.97
178.08
179.77
175.3

0.0736154111
0.0933687003
0.1049887597
0.1095233434
0.1378811318
0.1621104566
0.1195033626
0.1038489852
0.1041855023
0.134741102
0.1297543897
0.0871322943
0.0658401026
0.0248955814
0.0224589025
0.0686174368
0.0544653349
0.0783899548
0.0648302066
0.0341788091
0.0391953673
0.0069925995
0.0025171625
0.0036634166
0.0268342391
0.0077593478
0.0042904107
0.0615920344
0.0591547725
0.0049863744
0.0394767715
0.0054395
0.0165487332
0.0096164725
0.0237347295
0.0922536408
0.1353195739
0.0439496724
0.0013037037
0.0297768195
0.0297387281
0.0127769784
0.0003368137
0.0267877542
0.0445715648

19Oct11
20Oct11
21Oct11
24Oct11
25Oct11
26Oct11
28Oct11
31Oct11
1Nov11
2Nov11
3Nov11
4Nov11
8Nov11
9Nov11
11Nov11
14Nov11
15Nov11
16Nov11
17Nov11
18Nov11
21Nov11
22Nov11
23Nov11
25Nov11
28Nov11
29Nov11
30Nov11
1Dec11
2Dec11
5Dec11
6Dec11
7Dec11
8Dec11
9Dec11
12Dec11
13Dec11
14Dec11
15Dec11
16Dec11
19Dec11
20Dec11
21Dec11
22Dec11
23Dec11
27Dec11

180.83
175.61
174.11
173.69
175.68
174.34
186.67
186.23
179
177
175.61
176.86
176.26
172.43
164.2
164.2
157.97
157.77
155.64
154.02
146.32
149.09
145.34
143.64
149.97
146.79
142.49
152.43
157.54
155.91
155.91
153.57
148.86
146.23
141.42
141.29
140.88
139.72
135.2
131.44
130.68
140.47
145.63
144.35
145.22

0.1288469942
0.1267885788
0.0559160653
0.0306176942
0.0551351351
0.0139583576
0.0608058192
0.0457659479
0.0042832508
0.0096976612
0.0288668916
0.0071180457
0.0123485153
0.0072543036
0.0653460838
0.0581622118
0.1537472545
0.1528217795
0.1305027933
0.1298305085
0.1667900461
0.1570168495
0.1754226711
0.1669663052
0.0866626066
0.1060292326
0.0979932899
0.0338467389
0.0122076587
0.0122711336
0.0655412794
0.0300489637
0.0242190725
0.0180311891
0.0570114023
0.0374684924
0.0112990385
0.0833825362
0.1418052558
0.1569495222
0.1618241293
0.0853031191
0.02169824
0.012856459
0.0268703154

28Dec11
29Dec11
30Dec11
3Jan12
4Jan12
5Jan12
6Jan12
9Jan12
10Jan12
11Jan12
12Jan12
13Jan12
16Jan12
17Jan12
18Jan12
19Jan12
20Jan12
23Jan12
24Jan12
25Jan12
26Jan12
27Jan12
30Jan12
31Jan12
1Feb12
2Feb12
3Feb12
6Feb12
7Feb12
8Feb12
9Feb12
10Feb12
13Feb12
14Feb12
15Feb12
16Feb12
17Feb12
21Feb12
22Feb12
23Feb12
24Feb12
27Feb12
28Feb12
29Feb12
1Mar12

139.47
137.19
136.93
145.16
148.62
149.62
150.34
149.56
154.9
156.03
156.28
157.89
158.32
157.11
153.93
159.44
168.49
171.35
177.61
176.01
176.01
177.59
170.44
180.43
177.98
180.47
183.26
185.61
187.55
184.09
187.96
186.09
186.93
188.74
196.23
193.76
196.32
198.26
191.54
188.79
186.33
177.49
182.16
181.26
176.7

0.0128813079
0.0261925043
0.0199685084
0.0736686391
0.1307060256
0.1449341904
0.0702641133
0.0269861979
0.0730862487
0.0744387825
0.1205277121
0.1508856331
0.1562112028
0.082322954
0.0357287041
0.0656329368
0.1207263536
0.1456940358
0.1466107166
0.1280522976
0.1262477604
0.1247704098
0.0765538151
0.1484310356
0.1562398493
0.131899147
0.0876609888
0.0832214765
0.0559653173
0.0459064826
0.0678938697
0.0478630554
0.0967495893
0.0460566425
0.1025396112
0.0736410484
0.0712648696
0.0681536555
0.0212743268
0.0255309903
0.0086720579
0.0462141974
0.0255175734
0.0396312387
0.0995260664

2Mar12
5Mar12
6Mar12
7Mar12
8Mar12
9Mar12
12Mar12
13Mar12
14Mar12
15Mar12
16Mar12
19Mar12
20Mar12
21Mar12
22Mar12
23Mar12
26Mar12
27Mar12
28Mar12
29Mar12
30Mar12
2Apr12
3Apr12
4Apr12
5Apr12
9Apr12
10Apr12
11Apr12
12Apr12
13Apr12
16Apr12
17Apr12
18Apr12
19Apr12
20Apr12
23Apr12
24Apr12
25Apr12
26Apr12
27Apr12
30Apr12
1May12
2May12
3May12
4May12

180.54
174.07
170.65
172.03
176.7
182.84
185.79
185.97
190.78
186.04
183.54
181.58
181.72
186.81
179.93
182.11
174.5
175.58
171.87
171.15
178.04
178.09
181.64
178.05
178.05
173.41
172.76
172.94
175.87
173
174.72
177.09
176.25
175.57
172.21
168.78
169.56
167.68
168.29
172.17
176.47
176.46
176.41
171.51
166.67

0.0682287366
0.1133353708
0.1392615757
0.1018586196
0.0640394089
0.0187302098
0.0467631979
0.0209156785
0.0525212402
0.0528579513
0.0166168162
0.0431435629
0.0648696162
0.0859152473
0.0182795699
0.0039925618
0.0607675332
0.0558692262
0.0991194045
0.0800365513
0.0299662199
0.0192201784
0.0004402377
0.0468925646
0.0104485078
0.0477733238
0.0099713467
0.0150358811
0.0232734043
0.0108092317
0.0186474949
0.0056151384
0.0296740806
0.0139286717
0.0327997753
0.026699729
0.0185228062
0.0304151729
0.0431000171
0.0047976879
0.0100160256
0.0035575131
0.0009078014
0.0231246796
0.032170025

7May12
8May12
9May12
10May12
11May12
14May12
15May12
16May12
17May12
18May12
22May12
23May12
24May12
25May12
28May12
29May12
30May12
31May12
1Jun12
4Jun12
5Jun12
6Jun12
7Jun12
8Jun12
11Jun12
12Jun12
13Jun12
14Jun12
15Jun12
18Jun12
19Jun12
20Jun12
21Jun12
22Jun12
25Jun12
26Jun12
27Jun12
28Jun12
29Jun12
2Jul12
3Jul12
4Jul12
5Jul12
6Jul12
9Jul12

169.65
166.03
164.39
162.83
162.64
160.14
163.37
158.88
157.49
161.04
160.16
158.66
164.12
162.92
166.88
167.74
163.45
156.65
156.34
157.77
158.41
161.68
166.01
165.83
165.35
167.81
169.87
163.77
169.14
163.31
165.36
166.6
169.93
170.34
169.38
168.82
170.5
171.39
179.9
178.88
180.32
180.56
184.17
187.02
186

0.0051546392
0.0208185893
0.0196207061
0.0324439955
0.0553522681
0.0925369751
0.0741811175
0.099370784
0.0817445047
0.0337793244
0.0559386973
0.0443895682
0.0016424357
0.0005527237
0.0260698475
0.0474584738
0.000489686
0.0140357503
0.0073020509
0.0203055142
0.0109265734
0.0190344132
0.0115159639
0.0178615271
0.0091682646
0.0004173125
0.0392780667
0.0454516438
0.0818728412
0.035114407
0.0438734928
0.03043048
0.0236130354
0.0271965266
0.0243725431
0.0060187116
0.0037087184
0.0465286683
0.0636159395
0.0953401506
0.0904692791
0.0837935174
0.0837992114
0.0979218035
0.0981225646

10Jul12
11Jul12
12Jul12
13Jul12
16Jul12
17Jul12
18Jul12
19Jul12
20Jul12
23Jul12
24Jul12
25Jul12
26Jul12
27Jul12
30Jul12
31Jul12
1Aug12
2Aug12
3Aug12
6Aug12
7Aug12
8Aug12
9Aug12
10Aug12
13Aug12
14Aug12
15Aug12
16Aug12
17Aug12
20Aug12
21Aug12
22Aug12
23Aug12
24Aug12
27Aug12
29Aug12
30Aug12
31Aug12
3Sep12
4Sep12
5Sep12
6Sep12
7Sep12
10Sep12
11Sep12

188.58
187.31
185.57
185.21
184.02
184.58
187.84
190.17
187.03
182.6
183.27
183.59
181.35
185.65
192.9
192.28
191.92
191.78
187.99
190.8
194.86
191.65
190.53
190.95
189.79
193.96
193.96
191.28
192.43
192.43
195.04
194.77
194.77
190.87
187.05
183.28
183.99
180.43
180.56
182.53
175.93
179.29
187.57
186.86
189.16

0.1170477432
0.0985923754
0.0827352821
0.029516398
0.028734347
0.0236246673
0.0403190075
0.0325785959
5.347022E005
0.0182795699
0.028157811
0.0198601249
0.0227407447
0.0023756817
0.0482556244
0.041716329
0.0217206133
0.0084661093
0.0051328664
0.0449069003
0.0632400284
0.0439021733
0.0506203474
0.0285483437
0.0161223432
0.0087372582
0.0106294289
0.002607154
0.0236182776
0.0085429769
0.0009237401
0.0162796765
0.0222537133
0.0004189578
0.0144370093
0.0550628996
0.051402351
0.0567231284
0.0616847685
0.0514472795
0.0979799016
0.0794783591
0.0369666786
0.0210090638
0.0112804063

12Sep12
13Sep12
14Sep12
17Sep12
18Sep12
19Sep12
20Sep12
21Sep12
24Sep12
25Sep12
26Sep12
27Sep12
28Sep12
1Oct12
2Oct12
3Oct12
4Oct12
5Oct12
8Oct12
9Oct12
10Oct12
11Oct12
12Oct12
15Oct12
16Oct12
17Oct12
18Oct12
19Oct12
22Oct12
23Oct12
24Oct12
25Oct12
26Oct12
29Oct12
30Oct12
31Oct12
1Nov12
2Nov12
5Nov12
6Nov12
7Nov12
8Nov12
9Nov12
12Nov12
13Nov12

189.82
191.89
201.6
212.13
209.81
209.81
204.51
213.1
214.19
213.38
213.1
211.07
211.76
210.13
210.13
210.6
216.68
213.34
210.44
212.83
210.84
211.59
208.95
210.68
208.65
209.91
212.99
211.46
215.12
215.89
215.89
217.43
215.67
213.69
209.03
210.04
211.47
215.93
215.53
216.14
218.59
215.2
211.84
211.68
211.95

0.0356831078
0.0429371161
0.1173308208
0.1748449269
0.1494548841
0.192576593
0.1406659602
0.1361091859
0.1462592315
0.1280397547
0.1226425034
0.0999530981
0.0503968254
0.0094281808
0.0015251895
0.0037653115
0.0595080925
0.0011262318
0.0175078202
0.0025775612
0.0106053496
0.0024636377
0.0132697393
0.0026174273
0.0070432589
0.0032763533
0.0170297212
0.0088122246
0.022239118
0.0143776723
0.0239518118
0.0276005482
0.032160804
0.0142870704
0.0018212317
0.000619313
0.0071364853
0.0211387496
0.001905913
0.0011579971
0.012506369
0.0102561744
0.0177586127
0.0094061491
0.0139692867

14Nov12
15Nov12
16Nov12
19Nov12
20Nov12
21Nov12
22Nov12
23Nov12
26Nov12
27Nov12
28Nov12
29Nov12
30Nov12
3Dec12
4Dec12
5Dec12
6Dec12
7Dec12
10Dec12
11Dec12
12Dec12
13Dec12
14Dec12
17Dec12
18Dec12
19Dec12
20Dec12
21Dec12
24Dec12
26Dec12
27Dec12
28Dec12
31Dec12
2Jan13
3Jan13
4Jan13
7Jan13
8Jan13
9Jan13
10Jan13
11Jan13
14Jan13
15Jan13
16Jan13
17Jan13

211.68
210.93
205.46
204.23
204.82
208.89
206.52
205.02
203.66
206.82
206.82
216.35
219.97
220.46
223.87
223.96
227.14
226.34
224.29
224.53
222.64
224.25
227.21
228.82
229.79
227.75
227.93
224.78
224.3
229.73
227.29
228.31
227.65
234.8
234.41
236.48
236.43
235.91
236.09
235.9
232.71
237.03
240.87
235.97
232.5

0.0078080366
0.0025535537
0.0484879359
0.0524288962
0.0523734616
0.0443753145
0.0403345725
0.0321941088
0.0378873772
0.0242038217
0.0229591837
0.0256957284
0.0706220189
0.0794692259
0.0930084953
0.0721432333
0.0998450513
0.1039898546
0.1012962781
0.0856300164
0.0764916352
0.0365149064
0.0329135791
0.0379207112
0.0264439183
0.0169226648
0.0034780312
0.0068922859
4.458514E005
0.0231594887
0.0208857348
0.0181047938
0.0019365345
0.0261340792
0.0201053135
0.0383315038
0.0372921511
0.0495150814
0.052563531
0.0268576155
0.0238461877
0.038193684
0.0580716011
0.0049829642
0.0081481165

18Jan13
21Jan13
22Jan13
23Jan13
24Jan13
25Jan13
28Jan13
29Jan13
30Jan13
31Jan13
1Feb13
4Feb13
5Feb13
6Feb13
7Feb13
8Feb13
11Feb13
12Feb13
13Feb13
14Feb13
15Feb13
18Feb13
19Feb13
20Feb13
21Feb13
22Feb13
25Feb13
26Feb13
27Feb13
28Feb13
1Mar13
4Mar13
5Mar13
6Mar13
7Mar13
8Mar13
11Mar13
12Mar13
13Mar13
14Mar13
15Mar13
18Mar13
19Mar13
20Mar13
21Mar13

235.24
235.51
234.03
236.2
232.9
234.59
238.05
240.24
242.54
238.23
234.23
236.35
233.21
231.05
228.97
226.03
224.54
225.77
228.52
225.24
224.37
224.4
226.28
224.31
215.92
218.51
218.78
212.8
216.63
208.08
211.27
211.73
218.72
221.67
223.43
227.86
226.39
224.62
217.14
222.13
213.5
210.28
206.52
200.31
207.07

0.0052435724
0.0038912152
0.0079691408
0.000465924
0.0127172531
0.0080787246
0.0043032528
0.0026155187
0.0278425224
0.0246451613
0.0042934875
0.0035667275
0.0035038243
0.0218035563
0.0168741949
0.0364891939
0.056752783
0.0602314352
0.0578048982
0.0545271376
0.0420953763
0.0505606093
0.0297157069
0.0291711751
0.0569943661
0.0332699199
0.025652445
0.0574478452
0.0520304569
0.0761854022
0.0583857022
0.0564616756
0.0334099346
0.0117694262
0.0347814005
0.0427898037
0.0347838011
0.0555451128
0.0023542446
0.0675221069
0.0105552137
0.0068483446
0.0557790783
0.0963594532
0.0732220382

22Mar13
25Mar13
26Mar13
27Mar13
28Mar13
1Apr13
2Apr13
3Apr13
4Apr13
5Apr13
8Apr13
9Apr13
10Apr13
11Apr13
12Apr13
15Apr13
16Apr13
17Apr13
18Apr13
19Apr13
22Apr13
23Apr13
24Apr13
25Apr13
26Apr13
29Apr13
30Apr13
1May13
2May13
3May13
6May13
7May13
8May13
9May13
10May13
13May13
14May13
15May13
16May13
17May13
20May13
21May13
22May13
23May13
24May13

205.67
202.52
204.18
204.18
209.04
210.31
209.38
206.28
202
199.63
197.82
198.01
200.86
207.8
209.07
209.42
215.78
219.53
224.53
224.53
229.69
232.26
232.26
235.47
228.9
230.64
232.73
232.73
234.34
225.99
228.53
232.79
232.03
230.53
233.07
229.76
229.49
238.25
241.5
246.09
241.96
242.2
242.02
234.46
240.83

0.0973843588
0.1054375193
0.0909981302
0.0596849959
0.0589294557
0.014941452
0.0042800076
0.001162115
0.0084369228
0.0359298788
0.0381679389
0.0222694055
0.0162601626
0.0177294544
0.0001435132
0.0042318482
0.0305664342
0.0642330812
0.1115346535
0.1247307519
0.161106056
0.1729710621
0.1563277905
0.1331568816
0.0948486153
0.1013274759
0.0785522291
0.0601284562
0.0436912662
0.0065024718
0.0050502852
0.0022819254
0.0009902695
0.020979318
0.0182175623
0.00381547
0.0139217119
0.023718472
0.030553896
0.0889419886
0.0587669015
0.0404226986
0.0430547774
0.0170476728
0.0332947183

27May13
28May13
29May13
30May13
31May13
3Jun13
4Jun13
5Jun13
6Jun13
7Jun13
10Jun13
11Jun13
12Jun13
13Jun13
14Jun13
17Jun13
18Jun13
19Jun13
20Jun13
21Jun13
24Jun13
25Jun13
26Jun13
27Jun13
28Jun13
1Jul13
2Jul13
3Jul13
4Jul13
5Jul13
8Jul13
9Jul13
10Jul13
11Jul13
12Jul13
15Jul13
16Jul13
17Jul13
18Jul13
19Jul13
22Jul13
23Jul13
24Jul13
25Jul13
26Jul13

243.88
246.39
242.98
236.56
230.89
229.03
227.64
226.88
230.92
228.34
223.56
215.3
216.25
213.77
220.43
220.29
218.19
217.34
209.23
208.97
209.83
206.57
205.23
206.11
214.15
213.58
215.82
212.8
212.74
210.31
205.59
206.87
207.71
211.59
212.08
212.21
200.69
196.05
196.89
191.86
194.89
197.93
190.36
186.97
186.31

0.0614554318
0.073641553
0.0198530955
0.0204554865
0.0617660206
0.0534385849
0.0601156069
0.0625568135
0.0150985243
0.0518623095
0.0833196654
0.1261820691
0.1100090542
0.0963391951
0.0453029581
0.0381609396
0.0415129151
0.0420486601
0.0939286333
0.08482964
0.06141528
0.0405480725
0.0509595376
0.0358329045
0.02848977
0.0304598484
0.0108620927
0.0208889298
0.016775797
0.0064124037
0.0202068341
0.0014522922
0.0120840033
0.0265877444
0.0096661219
0.0064144583
0.0701047169
0.078712406
0.0745040895
0.0877276402
0.0520453329
0.043215546
0.0835299215
0.1163571057
0.1215107507

29Jul13
30Jul13
31Jul13
1Aug13
2Aug13
5Aug13
6Aug13
7Aug13
8Aug13
9Aug13
12Aug13
13Aug13
14Aug13
15Aug13
16Aug13
19Aug13
20Aug13
21Aug13
22Aug13
23Aug13
26Aug13
27Aug13
28Aug13
29Aug13
30Aug13
2Sep13
3Sep13
4Sep13
5Sep13
6Sep13
9Sep13
10Sep13
11Sep13
12Sep13
13Sep13
16Sep13
17Sep13
18Sep13
19Sep13
20Sep13
23Sep13
24Sep13
25Sep13
26Sep13
27Sep13

185.72
185.21
181.81
182.84
177.42
180.49
173.27
173.65
175.01
175.01
173.41
178.51
181.19
181.19
171.72
163.07
166.08
165.91
166.22
170.61
166.09
160.52
159.27
161.44
160.75
165.32
156.71
163.55
178.74
191.68
191.68
193.92
193.95
190.24
188.39
193.99
192.49
194.62
207.25
197.45
188.66
188.97
187.04
189.22
184.66

0.1248291786
0.0771338881
0.072634532
0.0713596424
0.0752632128
0.0738878342
0.1245895013
0.0877810464
0.0639674814
0.0606516022
0.0662825759
0.0361751525
0.0034101535
0.0090242835
0.0321271559
0.0965150424
0.0414959312
0.0445724158
0.0502257014
0.0251414205
0.0422120985
0.1007786679
0.1209779789
0.1090016005
0.0638830655
0.0137977556
0.0564185934
0.0142245796
0.0753218626
0.1234980365
0.1540730929
0.2080737603
0.2177434545
0.17839445
0.1719440124
0.1734212436
0.2283198264
0.1899724855
0.1595054269
0.0301022538
0.0157554257
0.0255259901
0.0356277391
0.0053616484
0.0197993524

30Sep13
1Oct13
3Oct13
4Oct13
7Oct13
8Oct13
9Oct13
10Oct13
11Oct13
14Oct13
15Oct13
17Oct13
18Oct13
21Oct13
22Oct13
23Oct13
24Oct13
25Oct13
28Oct13
29Oct13
30Oct13
31Oct13
1Nov13
5Nov13
6Nov13
7Nov13
8Nov13
11Nov13
12Nov13
13Nov13
14Nov13
18Nov13
19Nov13
20Nov13
21Nov13
22Nov13
25Nov13
26Nov13
27Nov13
28Nov13
29Nov13
2Dec13
3Dec13
4Dec13
5Dec13

176.73
182.15
187.57
186.12
183.24
187.42
190.08
189.61
199.41
199.43
194.91
192.98
201.77
202.05
202.03
205.15
204.18
204.44
203
214.93
219.8
224.19
226.69
219.2
216.08
210.29
209.98
207.44
202.55
202.98
210.42
214.73
217
209.83
206.05
204.11
214.92
208.75
208.53
207.62
213.73
217.66
217.08
213.25
227.17

0.0889736584
0.0537170762
0.0362244374
0.1019541616
0.0719675867
0.0065726704
0.0058739482
0.0137403764
0.0538526583
0.079984837
0.1028687829
0.0594564919
0.0757050701
0.085589942
0.1025431129
0.0946003628
0.0741792929
0.0782131744
0.0180031092
0.0777215063
0.1276999641
0.1617266038
0.1235069634
0.0848799802
0.0695441271
0.0250548379
0.0284063082
0.014674232
0.0022167488
0.0555994975
0.0426751592
0.0421963513
0.0427455997
0.0427463504
0.0464179933
0.029387988
0.0235260501
0.0063150791
0.0295235744
0.022859395
0.0157304439
0.0136450426
0.0003686636
0.0162989086
0.1024993934

6Dec13
9Dec13
10Dec13
11Dec13
12Dec13
13Dec13
16Dec13
17Dec13
18Dec13
19Dec13
20Dec13
23Dec13
24Dec13
26Dec13
27Dec13
30Dec13
31Dec13
2Jan14
3Jan14
6Jan14
7Jan14
8Jan14
9Jan14
10Jan14
13Jan14
14Jan14
15Jan14
16Jan14
17Jan14
20Jan14
21Jan14
22Jan14
23Jan14
24Jan14
27Jan14
28Jan14
29Jan14
30Jan14
31Jan14
3Feb14
4Feb14
5Feb14
6Feb14
7Feb14
10Feb14

228.78
240.34
231.67
231.67
226.52
217
219.51
219.66
219.16
212.7
217.54
219.61
219.77
219.93
222.05
219.34
219.75
215.12
213.36
208.16
210
210.86
210.17
204.9
210.98
207.29
211.67
211.78
206.91
208.8
215.61
217.59
215.89
211.64
201.96
203.73
200.28
194.91
197.54
192.7
193.73
193.25
191.61
192.09
192.11

0.1208661996
0.118276568
0.1097964072
0.1109672469
0.0910316925
0.0152996772
0.0084994946
0.0118850193
0.0277139508
0.0636967909
0.0491301687
0.0862528085
0.0513661674
0.0506755298
0.0197333569
0.0107834101
0.0010933443 VIX
IVMoves DeltaPnL GammaPnL
0.0206683056
16.55
0.0264646833
15.87
0.68
6.13 0.3007748
0.0213446168
16.5
0.63
4.94 0.1956522
0.0346602924
16.32
0.18
8.03 0.5159083
0.0398433587
16.32
0
9.23 0.6817419
0.0436820312
16.18
0.14
10.12 0.8194336
0.0683399263
15.58
0.6
15.83 2.0056591
0.0498536366
15.95
0.37
11.55 1.0673376
0.0549375399
15.74
0.21
12.72 1.2961239
0.0367690557
15.42
0.32
8.52 0.5805947
0.0155262179
15.54
0.12
3.60 0.1035236
0.0302305962
15.41
0.13
7.00 0.3924655
0.003074558
15.35
0.06
0.71 0.0040595
0.0267142857
15.55
0.2
6.19 0.3064751
0.0319169117
15.85
0.3
7.39 0.4374716
0.0272160632
15.58
0.27
6.30 0.3180964
0.0328940947
15.83
0.25
7.62 0.4646693
0.0427528676
18.67
2.84
9.90 0.7849439
0.0171740074
17.72
0.95
3.98 0.1266635
0.0538101762
18.04
0.32
12.46 1.2434747
0.0796581358
17.25
0.79
18.45 2.7250118
0.0452853898
16.82
0.43
10.49 0.8806926
0.0771072797
18.27
1.45
17.86 2.5532825
0.1014795232
18.69
0.42
23.50 4.4224705
0.1118617584
18.93
0.24
25.91 5.373675
0.1124646811
18.94
0.01
26.05 5.4317581
0.0923738424
18.55
0.39
21.39 3.6644275
0.0487720341
19.05
0.5
11.30 1.021527

11Feb14
12Feb14
13Feb14
14Feb14
17Feb14
18Feb14
19Feb14
20Feb14
21Feb14
24Feb14
25Feb14
26Feb14
28Feb14
3Mar14
4Mar14
5Mar14
6Mar14
7Mar14
10Mar14
11Mar14
12Mar14
13Mar14
14Mar14
18Mar14
19Mar14
20Mar14
21Mar14
24Mar14
25Mar14
26Mar14
27Mar14
28Mar14
31Mar14
1Apr14
2Apr14
3Apr14
4Apr14
7Apr14
9Apr14
10Apr14
11Apr14
15Apr14
16Apr14
17Apr14
21Apr14

193.77
199.84
196.72
197.69
201.83
207.56
206.18
201.57
205.06
207.24
206.22
207.29
208.77
205.96
213.82
219.88
226.79
240.38
238.72
239.63
242.33
244
243
240.9
241.99
240.15
239.91
248.44
250.51
251.3
251.8
251.84
249.01
244.79
248.61
246.75
246.09
241.83
251.96
249.47
247.21
243.89
244.51
252.57
256.4

0.0488882344
0.0021969243
0.0092863373
0.0007593399
0.0473793461
0.0713880142
0.0669081501
0.0519805856
0.0675204331
0.0787569622
0.0642514321
0.0372798239
0.061254575
0.0418331731
0.0594064312
0.0593563307
0.099961199
0.1925385722
0.1641470789
0.1562922216
0.1751042576
0.1770948912
0.1639603391
0.1696445912
0.1317463287
0.0921866473
0.0578508753
0.0335302438
0.0493884048
0.0487000793
0.0390789419
0.0321311475
0.0247325103
0.0161477792
0.0273565023
0.0274828232
0.0257596599
0.0266060216
0.0057881921
0.0072821329
0.018228753
0.031567662
0.0180715634
0.0317823441
0.0313342183

18.63
17.43
17.8
16.66
15.83
15.41
15.07
15.16
14.04
14.3575
13.95
13.955
14.1775
15.2825
14.3925
13.8425
14.475
16.72
17.7775
17.325
17.04
16.82
16.4475
17.1275
16.8825
16.91
16.185
15.875
16.5375
16.92
17.765
18.3725
18.63
21.6225
20.685
21.2125
22.1075
22.6875
24.9525
26.9125
28.7175
29.185
31.875
31.16
30.8525

0.42
1.2
0.37
1.14
0.83
0.42
0.34
0.09
1.12
0.3175
0.4075
0.005
0.2225
1.105
0.89
0.55
0.6325
2.245
1.0575
0.4525
0.285
0.22
0.3725
0.68
0.245
0.0275
0.725
0.31
0.6625
0.3825
0.845
0.6075
0.2575
2.9925
0.9375
0.5275
0.895
0.58
2.265
1.96
1.805
0.4675
2.69
0.715
0.3075

11.32
0.51
2.15
0.18
10.97
16.53
15.50
12.04
15.64
18.24
14.88
8.63
14.19
9.69
13.76
13.75
23.15
44.59
38.02
36.20
40.56
41.02
37.98
39.29
30.51
21.35
13.40
7.77
11.44
11.28
9.05
7.44
5.73
3.74
6.34
6.37
5.97
6.16
1.34
1.69
4.22
7.31
4.19
7.36
7.26

1.0264004
0.0020727
0.0370337
0.0002476
0.9640204
2.1885613
1.9224991
1.1603538
1.9578461
2.6637044
1.7728571
0.5968371
1.6113325
0.7515359
1.5155666
1.5130114
4.2911236
15.92002
11.571094
10.490178
13.167445
13.468529
11.544782
12.359137
7.4539273
3.6495906
1.4372356
0.4828159
1.0475098
1.018515
0.6558337
0.4433642
0.2626906
0.1119783
0.3213877
0.3243626
0.2849629
0.3039961
0.0143878
0.0227733
0.1426994
0.4279499
0.1402489
0.4337904
0.4216439

22Apr14
23Apr14
25Apr14
28Apr14
29Apr14
30Apr14
2May14
5May14
6May14
7May14
8May14
9May14
12May14
13May14
14May14
15May14
16May14
19May14
20May14
21May14
22May14
23May14
26May14
27May14
28May14
29May14
30May14
2Jun14
3Jun14
4Jun14
5Jun14
6Jun14
9Jun14
10Jun14
11Jun14
12Jun14
13Jun14
16Jun14
17Jun14
18Jun14
19Jun14
20Jun14
23Jun14
24Jun14
25Jun14

257.98
259.91
254.1
255.1
252.56
248.68
250.48
250.49
255.12
254.13
257.8
275.72
279.74
280.16
281.88
279.02
293.06
293.68
289.98
288.11
290.3
292.16
290.91
289.42
291.24
287.39
283.61
292.84
291.67
293.88
292.63
297.26
297.45
296.25
293.98
291.88
285.67
282.79
289.9
284.3
282.35
279.37
282.84
287.86
284.1

0.0455116515
0.0561583161
0.0507381218
0.0124622956
0.0123862589
0.0059463614
0.027020378
0.0244570774
0.010096211
0.0088533541
0.0006977285
0.0608287484
0.1009051555
0.0982359859
0.1160912258
0.1220041821
0.1699936123
0.1724220528
0.1366415804
0.1337110927
0.1260667184
0.0596257072
0.0399299349
0.0330525414
0.0332056194
0.0299978496
0.0322459565
0.0028602561
0.0058279881
0.020027073
0.0080261798
0.0174561884
0.0224811797
0.023598922
0.0094080483
0.0156233689
0.0072634956
0.0343190821
0.0060685021
0.0325983395
0.035129686
0.0601830048
0.0491174987
0.0283206751
0.0336077284

34.385
33.355
31.1325
30.68
31.385
31.05
30.5925
33.055
34.1875
33.2675
33.6125
34.3
37.705
37.105
32.0475
32.42
36.765
24.2925
20.63
19.2325
17.91
17.835
17.705
19.84
19.1
17.5575
16.69
16.335
16.4975
15.795
15.565
15.4475
15.9825
17.095
16.6625
17.06
16.9025
17.7625
17.9825
17.695
18.58
18.7425
18.8475
18.9625
19.1875

3.5325
1.03
2.2225
0.4525
0.705
0.335
0.4575
2.4625
1.1325
0.92
0.345
0.6875
3.405
0.6
5.0575
0.3725
4.345
12.4725
3.6625
1.3975
1.3225
0.075
0.13
2.135
0.74
1.5425
0.8675
0.355
0.1625
0.7025
0.23
0.1175
0.535
1.1125
0.4325
0.3975
0.1575
0.86
0.22
0.2875
0.885
0.1625
0.105
0.115
0.225

10.54
13.01
11.75
2.89
2.87
1.38
6.26
5.66
2.34
2.05
0.16
14.09
23.37
22.75
26.89
28.26
39.37
39.93
31.65
30.97
29.20
13.81
9.25
7.66
7.69
6.95
7.47
0.66
1.35
4.64
1.86
4.04
5.21
5.47
2.18
3.62
1.68
7.95
1.41
7.55
8.14
13.94
11.38
6.56
7.78

0.889515
1.3543667
1.1055462
0.0666967
0.0658853
0.0151849
0.3135386
0.2568723
0.0437749
0.0336607
0.0002091
1.5890072
4.3725504
4.1442823
5.7877119
6.3923058
12.410044
12.767143
8.0181442
7.6779095
6.8250998
1.5267756
0.6847079
0.4691566
0.4735123
0.3864456
0.4465382
0.0035133
0.0145863
0.1722436
0.0276647
0.13086
0.2170433
0.2391621
0.0380108
0.1048232
0.0226568
0.5058007
0.0158151
0.4563511
0.5299765
1.5554492
1.0360497
0.3444414
0.4850499

26Jun14
27Jun14
30Jun14
1Jul14
2Jul14
3Jul14
4Jul14
7Jul14
8Jul14
9Jul14
10Jul14
11Jul14
14Jul14
15Jul14
16Jul14
17Jul14
18Jul14
21Jul14
22Jul14
23Jul14
24Jul14
25Jul14
28Jul14
30Jul14
31Jul14
1Aug14
4Aug14
5Aug14
6Aug14
7Aug14
8Aug14
11Aug14
12Aug14
13Aug14
14Aug14
18Aug14
19Aug14
20Aug14
21Aug14
22Aug14
25Aug14
26Aug14
27Aug14
28Aug14
1Sep14

280.53
276.93
283.63
287.61
290.4
290.81
292.57
290.27
282.24
280.61
277.8
271.32
268.85
278.92
292.17
290.12
296.09
296.52
296.65
301.89
301.28
295.13
290.2
297.69
294.25
295.13
298.28
297.31
289.42
288.97
287.43
288.18
292.66
290.44
295.93
306.14
308.58
308.55
308.99
307.91
302.86
301.61
308.06
311.36
319.66

0.0388858435
0.0305947422
0.0029704021
0.0078992756
0.0214562082
0.0299628121
0.0472491678
0.0262692688
0.0195233794
0.0122844069
0.0097315795
0.0202578269
0.0521101435
0.0302145266
0.0060950413
0.0023726832
0.0120313087
0.0215316774
0.051055839
0.0758347885
0.0845212383
0.0877561551
0.0794123117
0.0672952818
0.007119143
0.0172687164
0.0073963997
0.0026642385
0.0243721557
0.0427970453
0.0459705258
0.0235489445
0.0084769125
0.024354194
0.0057094308
0.0373055941
0.0345313129
0.0378056574
0.0676179946
0.065543136
0.0536826358
0.0466028177
0.0526207886
0.0720286462
0.0801878823

18.3125
17.7025
17.6275
17.8725
17.6625
17.57
17.805
18.155
19.4075
19.18
18.1875
15.965
15.7225
15.5625
14.7675
14.73
14.965
15.095
14.8975
14.64
14.69
14.72
14.22
14.3225
13.8875
13.8225
15.22
14.815
13.9475
14.2975
14.1375
14.6175
13.9975
13.4675
13.7625
13.22
13.5025
13.905
13.66
13.7325
13.62
13.7875
13.9025
13.0625
13.0675

0.875
0.61
0.075
0.245
0.21
0.0925
0.235
0.35
1.2525
0.2275
0.9925
2.2225
0.2425
0.16
0.795
0.0375
0.235
0.13
0.1975
0.2575
0.05
0.03
0.5
0.1025
0.435
0.065
1.3975
0.405
0.8675
0.35
0.16
0.48
0.62
0.53
0.295
0.5425
0.2825
0.4025
0.245
0.0725
0.1125
0.1675
0.115
0.84
0.005

9.01
7.09
0.69
1.83
4.97
6.94
10.94
6.08
4.52
2.85
2.25
4.69
12.07
7.00
1.41
0.55
2.79
4.99
11.83
17.56
19.58
20.33
18.39
15.59
1.65
4.00
1.71
0.62
5.64
9.91
10.65
5.45
1.96
5.64
1.32
8.64
8.00
8.76
15.66
15.18
12.43
10.79
12.19
16.68
18.57

0.6493684
0.4019775
0.0037891
0.0267968
0.1977034
0.3855434
0.9587303
0.2963494
0.1636885
0.0648062
0.0406701
0.1762357
1.1661453
0.3920484
0.0159537
0.0024176
0.0621633
0.1990966
1.1194352
2.4697049
3.0678902
3.3072215
2.708219
1.9448107
0.0217652
0.1280643
0.0234936
0.0030483
0.2550915
0.7865669
0.9075427
0.2381502
0.0308591
0.2547157
0.0139989
0.5976625
0.5120758
0.6137927
1.963508
1.8448563
1.2375871
0.9326796
1.1891121
2.2280176
2.7613763

2Sep14
3Sep14
4Sep14
5Sep14
8Sep14
9Sep14
10Sep14
11Sep14
12Sep14
15Sep14
16Sep14
17Sep14
18Sep14
19Sep14
22Sep14
23Sep14
24Sep14
25Sep14
26Sep14
29Sep14
30Sep14
1Oct14
7Oct14
8Oct14
9Oct14
10Oct14
13Oct14
14Oct14
16Oct14
17Oct14
20Oct14
21Oct14
22Oct14
23Oct14
27Oct14
28Oct14
29Oct14
30Oct14
31Oct14
3Nov14
5Nov14
7Nov14
10Nov14
11Nov14
12Nov14

318.22
316.16
314.33
309.41
313.56
309.15
314.02
313.17
312.88
310.67
305.15
305.95
313
314.44
315.77
307.7
303.28
293.06
295.59
291.7
286.71
285.77
285.93
289.71
297.68
291.79
295.58
295.61
292.11
301.04
307.38
316.42
314.2
315.07
314.61
320.25
321.17
322.81
325.33
329.14
334.27
336.94
333.4
337.11
341.59

0.039459071
0.0245641325
0.0187327824
0.0013592673
0.0183495177
0.020768672
0.0411458506
0.0165876777
0.0048818088
0.0281236314
0.0410722142
0.0322937753
0.004231222
0.0162567467
0.0070480929
0.0046902798
0.0342016432
0.0642143245
0.0552608029
0.0610615766
0.0604292971
0.0659584899
0.086485623
0.0786477547
0.0572885328
0.0517062073
0.0253890794
0.0087012898
0.011773064
0.0320191978
0.0720937533
0.1072540855
0.0988703529
0.0875358117
0.0568731524
0.0975358991
0.0865755464
0.0920131254
0.1137242819
0.0933430773
0.0874812935
0.0648505151
0.0611075748
0.0699527089
0.0857569689

13.53
13.4475
13.3925
13.0775
12.935
12.7925
12.7575
12.93
12.5175
12.365
13.255
13.2825
12.9475
12.325
11.8875
11.565
12.41
12.535
13.2975
12.9275
13.385
13.145
13
14.4625
14.1125
13.155
14.33
14.5
14.5925
16.4325
16.4
14.19
13.33
13.03
12.8625
13.515
13.3225
13.005
13.265
13.295
13.7375
13.755
14.11
13.93
14.8

0.4625
0.0825
0.055
0.315
0.1425
0.1425
0.035
0.1725
0.4125
0.1525
0.89
0.0275
0.335
0.6225
0.4375
0.3225
0.845
0.125
0.7625
0.37
0.4575
0.24
0.145
1.4625
0.35
0.9575
1.175
0.17
0.0925
1.84
0.0325
2.21
0.86
0.3
0.1675
0.6525
0.1925
0.3175
0.26
0.03
0.4425
0.0175
0.355
0.18
0.87

9.14
5.69
4.34
0.31
4.25
4.81
9.53
3.84
1.13
6.51
9.51
7.48
0.98
3.77
1.63
1.09
7.92
14.87
12.80
14.14
14.00
15.28
20.03
18.22
13.27
11.98
5.88
2.02
2.73
7.42
16.70
24.84
22.90
20.27
13.17
22.59
20.05
21.31
26.34
21.62
20.26
15.02
14.15
16.20
19.86

0.6686546
0.259126
0.1506998
0.0007934
0.1445964
0.1852361
0.7270432
0.1181624
0.0102346
0.3396651
0.7244432
0.4478636
0.0076885
0.1134946
0.021333
0.0094473
0.502345
1.7708099
1.3114221
1.6011947
1.5682063
1.8683125
3.212151
2.6563223
1.40943
1.1481364
0.2768229
0.0325144
0.0595233
0.44028
2.2320472
4.9401007
4.1979792
3.2906344
1.3890655
4.0854236
3.2188341
3.6358644
5.5541105
3.7417291
3.2865368
1.8060716
1.603608
2.1014409
3.1582533

13Nov14
14Nov14
17Nov14
18Nov14
19Nov14
20Nov14
21Nov14
24Nov14
25Nov14
26Nov14
27Nov14
28Nov14
1Dec14
2Dec14
3Dec14
4Dec14
5Dec14
8Dec14
9Dec14
10Dec14
11Dec14
12Dec14
15Dec14
16Dec14
17Dec14
18Dec14
19Dec14
22Dec14
23Dec14
24Dec14
26Dec14
29Dec14
30Dec14
31Dec14

338.5
338.46
334.77
336.24
336.58
337.59
346.14
354.66
347.45
342.08
344.64
350.88
351.63
354.1
358.82
362.2
359.8
353.8
350.4
352.05
347.95
346.3
345.25
330.7
332.35
345.75
356
359.2
353
353.1
350.95
349.15
350.25
353.1

0.0569867291
0.0538344179
0.0370496577
0.0335351797
0.0226043629
0.0099320908
0.0273045646
0.0637672466
0.0306724808
0.0014344682
0.0181388479
0.0366956213
0.0503629357
0.0531168213
0.0660764157
0.0728990788
0.0394638008
0.0024248576
0.0084904303
0.0291452292
0.0096042247
0.0130528956
0.0181440719
0.0660830274
0.0737695781
0.0454168967
0.010561423
0.0152628604
0.0074200913
0.0029825309
0.0086219284
0.0082298585
0.0144822592
0.0677351073

14.435
13.8
13.9725
14.41
14.065
14.345
14.165
13.8525
13.0175
13.525
12.985
12.7425
12.8975
13.2025
12.395
12.3675
12.445
11.95
12.2075
12.495
12.2425
12.7725
13.7525
14.02
16.3075
16.925
14.5975
14.51
14.21
15.2975
15.07
14.645
14.5825
14.8625

0.365
0.635
0.1725
0.4375
0.345
0.28
0.18
0.3125
0.835
0.5075
0.54
0.2425
0.155
0.305
0.8075
0.0275
0.0775
0.495
0.2575
0.2875
0.2525
0.53
0.98
0.2675
2.2875
0.6175
2.3275
0.0875
0.3
1.0875
0.2275
0.425
0.0625
0.28

13.20
12.47
8.58
7.77
5.24
2.30
6.32
14.77
7.10
0.33
4.20
8.50
11.66
12.30
15.30
16.88
9.14
0.56
1.97
6.75
2.22
3.02
4.20
15.31
17.09
10.52
2.45
3.54
1.72
0.69
2.00
1.91
3.35
15.69

1.394619
1.2445953
0.5894901
0.482958
0.2194283
0.0423633
0.3201685
1.746238
0.4040228
0.0008837
0.1412952
0.5782779
1.0892566
1.2116363
1.8749991
2.2821921
0.6688149
0.0025251
0.0309576
0.3647901
0.0396125
0.0731681
0.1413766
1.8753743
2.3370215
0.885815
0.0479019
0.1000414
0.0236443
0.0038201
0.031924
0.0290866
0.0900701
1.9703154

VegaPnL TotalPnL VaR

0.43883
0.406559
0.11616
0
0.09035
0.3872
0.238773
0.13552
0.20651
0.07744
0.08389
0.03872
0.129066
0.193599
0.17424
0.161333
1.83274
0.61306
0.206506
0.50981
0.27749
0.93573
0.271039
0.154879
0.006453
0.25168
0.322666

6.27 18.4791
4.34 54.02219
7.63
8.55
9.39
14.21
10.24
11.56
8.14
3.42
6.69
0.68
6.62
8.02
6.45
8.24
7.28
4.46
11.01
16.23
9.89
14.37
18.81
20.38
20.61
17.98
9.95

0.27104
0.7744
0.238773
0.73568
0.53562
0.27104
0.21941
0.05808
0.72277
0.204893
0.26297
0.003227
0.143586
0.713091
0.57434
0.35493
0.408172
1.448768
0.682438
0.29201
0.18392
0.14197
0.24039
0.438825
0.15811
0.017747
0.46787
0.20005
0.427532
0.246839
0.545305
0.392039
0.166173
1.931153
0.605
0.340412
0.577571
0.374292
1.461675
1.264849
1.164823
0.301692
1.735941
0.46141
0.19844

10.57
1.28
2.43
0.56
11.40
18.45
17.20
13.26
16.87
21.11
16.39
9.23
15.94
11.15
14.70
14.91
27.85
61.96
50.27
46.40
53.54
54.34
49.28
52.09
37.81
25.02
14.37
8.05
12.91
12.54
10.25
8.28
6.16
5.78
6.05
7.03
6.83
5.48
2.82
0.40
2.91
6.58
2.31
7.33
7.48

2.279632
0.66469
1.43425
0.29201
0.454958
0.21619
0.29524
1.589128
0.730837
0.5937
0.222639
0.443665
2.197352
0.3872
3.26376
0.240386
2.803964
8.04889
2.36353
0.90185
0.85345
0.0484
0.08389
1.377782
0.47755
0.99542
0.55982
0.22909
0.104866
0.45335
0.14843
0.07583
0.345252
0.717931
0.27911
0.256519
0.10164
0.554985
0.141973
0.18553
0.571118
0.104866
0.06776
0.074213
0.145199

13.71
13.70
11.42
2.66
3.39
1.18
6.28
7.51
3.11
2.61
0.06
16.12
29.94
26.51
29.41
34.89
54.59
44.65
37.30
37.75
35.17
15.29
9.85
9.50
7.69
6.34
7.58
0.89
1.47
4.36
1.74
4.10
5.77
6.42
1.94
3.98
1.60
6.89
1.25
7.28
7.04
12.28
10.27
6.14
7.15

0.56466
0.39365
0.0484
0.158106
0.13552
0.05969
0.151653
0.225866
0.808277
0.14681
0.64049
1.43425
0.15649
0.10325
0.51304
0.0242
0.151653
0.083893
0.12745
0.16617
0.032267
0.01936
0.32267
0.066146
0.28072
0.04195
0.90185
0.26136
0.55982
0.225866
0.10325
0.309759
0.40011
0.34203
0.190373
0.35009
0.182306
0.259746
0.15811
0.046787
0.0726
0.108093
0.074213
0.54208
0.003227

8.92
7.08
0.64
1.64
5.03
7.27
12.05
6.61
3.55
2.93
2.85
5.95
11.06
6.71
0.91
0.57
3.00
5.27
12.82
19.87
22.68
23.65
20.78
17.60
1.39
4.09
2.64
0.36
5.95
8.90
9.84
4.91
1.59
5.73
1.53
8.89
8.69
9.63
17.47
17.07
13.60
11.83
13.45
18.37
21.34

0.298466
0.05324
0.03549
0.20328
0.09196
0.09196
0.02259
0.11132
0.2662
0.09841
0.574345
0.017747
0.21619
0.40172
0.28233
0.20812
0.545305
0.080666
0.492065
0.23877
0.295239
0.15488
0.09357
0.943797
0.22587
0.6179
0.758264
0.109706
0.059693
1.187409
0.02097
1.42618
0.55498
0.1936
0.10809
0.421079
0.12423
0.20489
0.167786
0.01936
0.285559
0.011293
0.229093
0.11616
0.561438

10.11
5.90
4.45
0.11
4.30
4.90
10.23
4.07
0.87
6.27
8.21
7.01
1.19
3.48
1.37
1.28
6.87
13.02
11.00
12.78
12.13
13.56
16.91
14.62
12.09
11.45
4.85
2.16
2.61
9.04
18.91
28.36
26.54
23.37
14.45
27.10
23.15
24.74
32.06
25.38
23.83
16.84
15.99
18.19
23.58

0.23555
0.40979
0.11132
0.282332
0.22264
0.180693
0.11616
0.20167
0.53885
0.327506
0.34848
0.15649
0.100026
0.196826
0.5211
0.01775
0.050013
0.31944
0.166173
0.185533
0.16295
0.342025
0.632424
0.172626
1.476195
0.398492
1.50201
0.05647
0.1936
0.701798
0.14681
0.27427
0.04033
0.180693

14.36
13.30
9.28
8.53
5.23
2.52
6.53
16.31
6.97
0.66
3.99
8.92
12.85
13.71
16.66
19.15
9.86
0.88
2.16
7.30
2.10
2.61
3.43
13.26
13.27
9.23
3.90
3.58
1.55
1.40
1.88
1.66
3.40
17.84