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FINS3635 Options, Futures and Risk Management

FINS3635: Options, Futures and Risk Management Techniques Assignment

Group Members Yizhi Luo ( Hueson) Ke Sun (Duran) Zhefeng He (Tim)

Student Number 3284806 3284758 3285248

FINS3635 Options, Futures and Risk Management

Contents
Companies ... 1.1 Boeing Company................ 1.2 Lexmark International Inc................. 1.3 China Automotive System Inc.. 2 Plots of option prices for September 1, 2010. 2.1 Option Prices against Time to Maturity 2.1.1 Boeing Company (BA).. 2.1.2 Lexmark International Inc (LXK). 2.1.3 China Automotive System Inc (CAAS). 2.2 Option Prices against Strike Prices 2.2.1 Boeing Company (BA) 2.2.2 Lexmark International Inc (LXK)... 2.2.3 China Automotive System Inc (CAAS).. 2.3 Option Prices against Time to Maturity and Strike Price (3-D).. 2.3.1 Boeing Company (BA) 2.3.2 Lexmark International Inc (LXK) 2.3.3 China Automotive System Inc (CAAS) 3 Discussion of the trends of Option Prices.. 4 Discussion of the differences between selected stocks.. 5 Observation and Analysis for option prices for 15 (working) days. 5.1 Boeing Company (BA).. 5.2 Lexmark International Inc (LXK). 5.3 China Automotive System Inc (CAAS).. 1 Practical news Effects and Expectations on the stock performance.... Variety of Option Trading Strategies formed. 7.1 Bear Spread with call options 7.2 Bear Spread with put options 7.3 Bull Spread with call options 7.4 Bull Spread with put options. 7.5 Box Spread........ 7.6 Butterfly Spread.. 7.7 Inverted Butterfly Spread.. 7.8 Neutral Calendar Spread. 7.9 Bearish Calendar Spread. 7.10 Bullish Calendar Spread.. 7.11 Reverse Calendar Spread. 7.12 Straddle, Strip, Strap and Strangle Calculation of profits/losses (included in the above sessions) 8 Appendices. 6 7 3 3 3 3 3 3 3 4 4 4 4 5 5 6 6 7 8 9 9 10 11 11 11 12 13 13 14 15 16 17 17 18 19 20 21 22 22

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FINS3635 Options, Futures and Risk Management

1. Companies
The three stocks chosen are: Boeing Company with a market cap $48.9 billion Lexmark international Inc with a market cap $3.54 billion China Automotive System Inc with a market cap $454.91 million

2. Plots of Option Prices


2.1 Option Price against Time to Maturity

Plot of option price against time to maturity for strike price $60 (Boeing Company )

FINS3635 Options, Futures and Risk Management

Plot of option price against time to maturity for strike price $35 (Lexmark international Inc )

Plot of option price against time to maturity for strike price $15 (China Automotive System Inc)

FINS3635 Options, Futures and Risk Management

2.2 Plot of option price against strike price


Plot of option price against strike price for maturity 17/09/10 (Boeing Company )

Plot of option price against strike price for maturity 15/10/10 ((Lexmark international Inc )

FINS3635 Options, Futures and Risk Management

Plot of option price against strike price for maturity 18//02/11 (China Automotive System Inc)

2.3 Plot of option price against strike price and time to maturity
Note : Some maturities are not included due to the limited options available on those maturities. Some strike price are not included as it is not available on all maturities .

Plot of call option price against strike price and time to maturity for Boeing Company

FINS3635 Options, Futures and Risk Management

Plot of put option price against strike price and time to maturity for Boeing Company

Plot of call option price against strike price and time to maturity for Lexmark international Inc

FINS3635 Options, Futures and Risk Management

Plot of put option price against strike price and time to maturity for Lexmark international Inc

Plot of call option price against strike price and time to maturity for CAAS

FINS3635 Options, Futures and Risk Management

Plot of put option price against strike price and time to maturity for CAAS

3.1 Relationship between Option Prices and Strike prices


For all 3 stocks, call options prices are negatively correlated with the strike prices and put options are, on the other hand, positively correlated with the strike prices. There is an exponential decreasing or increasing trend for option prices . This is therefore, consistent with the theory studied. For call options when strike price increase, the intrinsic value of option max(s-k,0) decrease or stay with 0. Time value of call option decrease as it is less likely for option to land in the money. is less likely to land in the money. Hence the value of call options is negatively correlated with strike price. Reverse applies on cases of put option

3.2 Relationship between Option Price and Time to Maturity


Both call and put options price are positively correlated with time to maturity. When time to maturity increase, the time value of the option also increase as it is more likely to sit in the money. For an American call or put options, the price of option will definitely increase as time to maturity increase.

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FINS3635 Options, Futures and Risk Management

Differences between three stocks

For Boeing, the exponential distribution trend of option price against strike price is more obvious compare to the other 2 company. The reason behind this is that for large stocks, it is easier for investors to collect the information of company in order to predict the price movement . For small stock , due to insufficient information and investors may hold different opinion on the future price movement. For a given strike price, the price movement on call and put option price by increasing time to maturity is not exactly the same. The reason behind this is that investors have different expectation on stock price on different maturity.

5 Relationship between Option Prices and Stock Prices


Plot of stock price and option price for strike price $60, maturity 21/01/11 (Boeing Company)

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FINS3635 Options, Futures and Risk Management

Stock price experienced up and down but never stay under $61 during 15 days period. Call options price seemed positively correlated with the stoke price and put option prices were negatively correlated with the stoke price. The change in option price was not as big as that of the stock price. This is because for call options, when stock price increase, the intrinsic value of option max(s-k,0) increase or stay with 0. There possibility happen that the stock price will be under $60. In that scenario, an increase in stock price does not necessarily indicate into an increase in option price. Reverse cases applies on put option. So the level of price change in option price will not be as big as stock price.

Plot of stock price and option price for strike price $35, maturity 21/01/11 (Lexmark international Inc)

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FINS3635 Options, Futures and Risk Management

Stock prices performed extremely well as there almost no price drop in the 14 days period. Call option prices are positively correlated with the strike price and put option prices are negatively correlated with the strike price. Again the performance of call option is not as strong as the stock. The reason behind has been presented previously. Plot of stock price and option price for strike price $15, maturity 18/02/11 (China Automotive System)

Stock price experience d up and down but above $ 15 for most of time. Call options prices seemed slightly positively correlated with the stock price and put options seemed slightly negatively correlated with the stock price. The reason that the correlation was insignificant is that for a company, the option is traded at a low volume and frequency , so that the option price remains static and unresponsive despite the change in stock price.

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FINS3635 Options, Futures and Risk Management

Expectation of stock price on Boeing company

It has been 2 years since Boeing delayed its deliver on the 787 aircraft : a revolutionary high-speed, low fuel-consumption aircraft for the world's airline . This has cause many airlines to delay or even cancel their 787 orders, or extract penalties from Boeing for failure to deliver their planes on time . This definitely has done a lot of damage on the public image of Boeing and operating profit has decreased for 3 consecutive year. In the first quarter of last financial year, a net loss of $1.564 billion is reported due to a decline in passenger in airline industry while the world is recovering from global financial crisis. Recently, Boeing has walked out from the crisis and has improved in performance. This can be seen in the last quarter of last financial year, a net profit of $787 million is reported, a huge improvement from the first quarter(Appendix 1). T he increase in profit should be credited for the increase in orders of airplanes, as Boeing confirmed a whopping delivery of 124 planets to its customers last quarter , 11 more than the comparable quarter last year . Furt hermore, it is amazing that BA has received 104 more orders of planes in just a week, with all disclosed orders going to 737s We believe BAs stock price will continue to increase steadily in the coming years due to the long- awaited arrival of 787 aircraft and recovery of Boeing from the global financial crisis which supported by Boeing s increasing trend in stock price, start from March 2009 until now. (Appendix 2) Two trading strategies are suggested for this projected increase in stock price , strategies are most likely to earn profit if our expectations are correct. The first suggestion is to buy a call option and the second one is to form a strap position (buying 2 call options and buy a put option with same strike price). We used data from 08/10/2010 with stock price 69.23 and a strike price of $70 and a maturity ending Jan, 11, 2011. Data used to calculate profits is shown in figure of Appendix D. The profit of buying a call option:

Profit = Max [(
The profit of using strap position:

70) -3.9, -3.9]

Profit = 2( 70) 7.8 4.85 Profit = (70- ) 7.8 4.85

if if

70, 70.

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FINS3635 Options, Futures and Risk Management

Option Trading Strategies

Option trading strategy were created for Boeing company on September 9th 2010 and closed out on September 23rd 2010 . Profit/ Loss are calculated for each strategy.

7.1 Bear Spread using Call Options.

How to form this strategy : buy a call with strike


Maturity are the same for 2 calls; Outcome of this strategy

and write a call with strike

where

>

: Both upside profit and downside risk are limited;

When to use this strategy : Investor anticipates a decrease in stock price.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 62.5 for $ 4.8 and write a call option with strike price $ 57.5 for $ 8.6. So we receive $ 3.8 on Sep 9th The profit/loss diagram of this strategy is shown below,

The existing position is closed out on Sep 23rd 2010 by purchasing a call option with strike price $ 57.5 for $ 7.75 and shorting a call option with strike price $ 62.5 for $ 3.9. There is therefore a loss of $ 0.05 from simple calculation.

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FINS3635 Options, Futures and Risk Management

7.2 Bear Spread using Put Options.

How to form this strategy : buy a put with strike Maturity is the same for 2 puts;
Outcome of this strategy

and write a put with strike

where

<

: Both upside profit and downside risk are limited;

When to use this strategy : Investor anticipate a decrease in stock price.

The maturity we choose is 19 Nov 2010. We buy a put option with strike price $ 62.5 for $ 3.02 and write a call option with strike price $ 57.5 for $ 1.69. So we pay $ 1.33 on Sep 9th The profit/loss diagram of this strategy is as following,

The existing position is closed out on Sep 23rd 2010 by purchase a put option with strike price $ 57.5 for $ 1.3 and write a put option with strike price $ 62.5 for $ 2.77. There is thus a profit of $ 0.14.

7.3 Bull Spread using Call Options

How to form this strategy : buy a call with strike Maturity are the same for 2 calls;

and write a call with strike

where

>

Outcome of this strategy : Both upside profit and downside risk are limited; When to use this strategy : Investor anticipate an increase in stock price.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 57.5 for $ 8.6 and write a call option with strike price $ 62.5 for $ 4.8. So we pay $ 3.8 on Sep 9th

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as following,

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 62.5 for $ 3.9 and write a call option with strike price $ 57.5 for $ 7.75. There is a profit of $ 0.05

7.4 Bull spread using put option.

How to form this strategy : buy a put with strike Maturity are the same for 2 puts

and write a put with strike

where

>

Outcome of this strategy : Both upside profit and downside risk are limited When to use this strategy : Investor anticipate an increase in stock price

The maturity we choose is 19 Nov 2010. We buy a put option with strike price $ 57.5 for $ 1.69 and write a put option with strike price $ 62.5 for $ 3.02 . So we receive $ 1.33 on Sep 9th

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is shown below

The existing position is closed out on Sep 23rd 2010 by purchase a put option with strike price $ 62.5 for $ 2.77 and write a put option with strike price $ 57.5 for $ 1.3. There is a loss of $ 0.14

7.5 Box Spread

How to form this strategy : buy a call with strike , write a put with strike write a call with strike , buy a put with strike where > . Maturity are the same for 2 calls and 2 puts;
Outcome of this strategy : Payoff is the same for all stock prices;

When to use this strategy : Investor want to fix their payoff at one level

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 57.5 for $ 8.6, buy a put option with strike price $ 62.5 for $ 3.02, write a call option with strike price $ 62.5 for $ 4.8 , write a put option with strike price $ 57.5 for $ 1.69. So we pay $ 5.13 on Sep 9th The profit/loss diagram of this strategy is as follows

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FINS3635 Options, Futures and Risk Management

The existing position is closed out on Sep 23rd 2010 by purchase a put option with strike price $ 57.5 for $ 3.9, purchase a call option with strike price $ 62.5 for $ 1.3, write a put option with strike price $ 62.5 for $ 2.77, write a call option with strike price $ 57.5 for $ 7.75 . There is a profit of 0.19

7.6 Butterfly Spread How to form this strategy : buy a call with strike , buy a call with strike write 2 calls with strike , where < < and is close to current stock price . Maturity are the same for 4 calls; Outcome of this strategy : Profit if stock price is not volatile, otherwise suffer a loss; When to use this strategy : Investor anticipate a small volatility on stock price.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 60 for $ 6.15, buy a call option with strike price $ 70 for $ 1.31, write 2 call options with strike price $ 65 for $ 3.27 . So we pay $ 0.92 on Sep 9th The profit/loss diagram of this strategy is as follows

The existing position is closed out on Sep 23rd 2010 by purchase 2 call options with strike price $ 65 for $ 2.4, write a call option with strike price $ 60 for $ 5.5, write a call option with strike price $ 70 for $ 0.76 . There is a profit of 0.54

7.7 Inverted Butterfly Spread How to form this strategy : buy 2 calls with strike , write a call with strike write 1 call with strike , where < < and is close to current stock price. Maturity are the same for 4 calls; Outcome of this strategy : Profit if stock price is volatile, otherwise suffer a loss;

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FINS3635 Options, Futures and Risk Management

When to use this strategy : Investor anticipate a large volatility on stock price, but uncertain about the direction of movement.

The maturity we choose is 19 Nov 2010. We buy 2 call options with strike price $ 65 for $ 3.27, write a call option with strike price $ 60 for $ 6.15, write a call option with strike price $ 70 for $ 1.31, So we receive $ 0.92 on Sep 9th The profit/loss diagram of this strategy is shown below,

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 60 for $5.5, purchase a call option with strike price $70 for $ 0.76 , write 2 call option with strike price $ 65 for $2.4. There is a loss of 0.54

7.8 Neutral Calendar Spread How to form this strategy : sell a call with strike , buy a call with strike for a longer maturity , so the maturity of 2 options are different. Strike price is close to current stock price; Outcome of this strategy : Profit if stock price is around , otherwise suffer a loss;

When to use this strategy : Investor anticipate a small volatility on stock price.

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FINS3635 Options, Futures and Risk Management

We write a call with strike price $65, matures at 19/11/2010 for $3.27, buy a call with strike price $ 65, matures at 21/01/2011 for $4.85. So we pay $1.58 on Sep 9th 2010.

The profit/loss diagram of this strategy is as follows

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 65, matures at 19/11/2010 for $2.4, write a call option with strike price $65, matures at 21/01/2011 for $3.95 . There is a loss of 0.03

7.9 Bearish Calendar Spread How to form this strategy : sell a call with strike , buy a call with strike for a longer maturity , so the maturity of 2 options are different. Strike price is lower than current stock price; Outcome of this strategy : Profit if stock price is around , otherwise suffer a loss;

When to use this strategy : Investor anticipate a decrease on stock price.

We write a call with strike price $60, matures at 19/11/2010 for $6.15, buy a call with strike price $ 60, matures at 21/01/2011 for $8. So we pay $1.85 on Sep 9th 2010.

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as follows

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 60, matures at 19/11/2010 for $ 5.5, write a call option with strike price $60, matures at 21/01/2011 for $ 6.9 . There is a loss of 0.45

7.10 Bullish Calendar Spread How to form this strategy : sell a call with strike , buy a call with strike for a longer maturity , so the maturity of 2 options are different. Strike price is higher than current stock price; Outcome of this strategy : Profit if stock price is around , otherwise suffer a loss;

When to use this strategy : Investor anticipate a decrease on stock price.

We write a call with strike price $70, matures at 19/11/2010 for $1.31, buy a call with strike price $70, matures at 21/01/2011 for $2.68. So we pay $1.37 on Sep 9th 2010.

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $70, matures at 19/11/2010 for $ 0.76, write a call option with strike price $70, matures at 21/01/2011 for $ 1.94 . There is a loss of 0.19

7.11 Reverse Calendar Spread How to form this strategy : buy a call with strike , sell a call with strike for a longer maturity , so the maturity of 2 options are different. Strike price is close to current stock price; Outcome of this strategy : Profit if stock price is well above or well below , otherwise suffer a loss.;

When to use this strategy : Investor anticipate a large volatility on stock price, but uncertain about the . direction of movement

We buy a call with strike price $65, matures at 19/11/2010 for $3.27, write a call with strike price $ 65, matures at 21/01/2011 for $4.85. So we receive $1.58 on Sep 9th 2010.

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 65, matures at 21/01/2010 for $3.95, write a call option with strike price $65, matures at 19/11/2011 for $2.4 . There is a profit of 0.03

7.12 Straddle How to form this strategy : buy a call with strike for call and put;

, buy a put with strike

, Maturity are the same


, otherwise suffer a loss;

Outcome of this strategy : Profit if stock price is well above or well below

When to use this strategy : Investor anticipate a large volatility on stock price, but uncertain about the direction of movement. The maturity we choose is 19 Nov 2010. We buy a call option with strike price $65 for $ 3.27 and buy a put option with strike price $65 for $ 4.2 So we pay $ 7.47 on Sep 9th.

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by write a call option with strike price $ 65 for $2.4, write a put option with strike price $65 for $ 3.65 , There is a loss of 1.42

7.13 Strip How to form this strategy : buy a call with strike for call and 2 puts;

, buy 2 puts with strike

, Maturity are the same

Outcome of this strategy : Most profit if stock price is well below , otherwise suffer a loss;

, less profit if stock price well above

When to use this strategy : Investor anticipate a large volatility on stock price, a decrease in stock price is more likely than an increase; The maturity we choose is 19 Nov 2010. We buy a call option with strike price $65 for $ 3.27 and buy 2 put options with strike price $65 for $ 4.2. So we pay $ 11.67 on Sep 9th

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by write a call option with strike price $ 65 for $2.4, write 2 put options with strike price $65 for $3.65 , There is a loss of 1.97

7.14 Strap How to form this strategy : buy 2 call with strike for 2 calls and put;

, buy a put with strike

, Maturity are the same

Outcome of this strategy : Most profit if stock price is well above , otherwise suffer a loss;

, less profit if stock price well below

When to use this strategy : Investor anticipate a large volatility on stock price, a increase in stock price is more likely than an decrease; The maturity we choose is 19 Nov 2010. We buy 2 call options with strike price $65 for $ 3.27 and buy a put option with strike price $65 for $ 4.2. So we pay $ 10.74 on Sep 9th

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FINS3635 Options, Futures and Risk Management

The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by write 2 call options with strike price $ 65 for $2.4, write 1 put options with strike price $65 for $3.65 , There is a loss of 2.29

7.15 Strangle How to form this strategy : buy a call with strike Maturity are the same for call and put.;

, buy a put with strike


or well below

where

>

Outcome of this strategy : Profit if stock price is well above Similar strategy to straddle but with less upside and downside;

, otherwise suffer a loss.

When to use this strategy : Investor anticipate a large volatility on stock price but uncertain about the direction of movement; The maturity we choose is 19 Nov 2010. We buy a call option with strike price $67.5 for $ 2.29 and buy a put option with strike price $62.5 for $ 3.02 So we pay $ 5.31 on Sep 9th

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The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by write a call option with strike price $ 67.5 for $ 1.46, write a put option with strike price $ 62.5 for $ 2.77 , There is a loss of 1.08

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Appendices
Appendix A

Appendix B

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Appendix C
Sep, 23, 2010 stock price 63.9 Call Options Strike 12.5 20 22.5 25 30 35 40 45 50 52.5 55 57.5 60 62.5 65 67.5 70 72.5 75 80 85 90 95 100 105 110 Expire at close Friday, January 21, 2011 Symbol BA110122C00012500 BA110122C00020000 BA110122C00022500 BA110122C00025000 BA110122C00030000 BA110122C00035000 BA110122C00040000 BA110122C00045000 BA110122C00050000 BA110122C00052500 BA110122C00055000 BA110122C00057500 BA110122C00060000 BA110122C00062500 BA110122C00065000 BA110122C00067500 BA110122C00070000 BA110122C00072500 BA110122C00075000 BA110122C00080000 BA110122C00085000 BA110122C00090000 BA110122C00095000 BA110122C00100000 BA110122C00105000 BA110122C00110000 Last Chg Bid Ask Vol Open Int 59.41 0 51.05 51.65 0 5 51.8 0 43.55 44.15 0 4 42.46 0 41.05 41.7 12 28 44.85 0 38.55 39.25 3 8 32.95 0 33.65 34.3 1 205 30.15 0 28.7 29.45 2 125 23.53 0 24.05 24.6 23 1,162 19 0 19.25 19.4 4 7,733 15.3 0 14.65 14.8 17 3,921 12.5 0 12.5 12.6 5 78 10.29 0 10.4 10.55 2 2,991 8.8 0 8.5 8.6 2 290 6.9 0 6.75 6.85 1 9,938 5.25 0 5.2 5.3 30 8,704 3.95 0 3.85 3.95 83 5,046 2.8 0 2.79 2.82 99 1,935 1.94 0 1.94 1.96 283 8,069 1.26 0 1.29 1.32 26 2,160 0.83 0 0.84 0.86 30 7,467 0.35 0 0.32 0.36 1 4,656 0.14 0 0.12 0.14 7 5,610 0.06 0 0.06 0.07 2 1,525 0.04 0 0.01 0.05 20 1,346 0.12 0 N/A 0.05 63 1,233 0.11 0 N/A 0.05 1 599 0.02 0 N/A 0.03 10 1,261

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Put Options Strike 5 7.5 10 12.5 15 17.5 20 22.5 25 30 35 40 45 50 52.5 55 57.5 60 62.5 65 67.5 70 72.5 75 80 85 90 95 100 105 110

Expire at close Friday, January 21, 2011 Symbol BA110122P00005000 BA110122P00007500 BA110122P00010000 BA110122P00012500 BA110122P00015000 BA110122P00017500 BA110122P00020000 BA110122P00022500 BA110122P00025000 BA110122P00030000 BA110122P00035000 BA110122P00040000 BA110122P00045000 BA110122P00050000 BA110122P00052500 BA110122P00055000 BA110122P00057500 BA110122P00060000 BA110122P00062500 BA110122P00065000 BA110122P00067500 BA110122P00070000 BA110122P00072500 BA110122P00075000 BA110122P00080000 BA110122P00085000 BA110122P00090000 BA110122P00095000 BA110122P00100000 BA110122P00105000 BA110122P00110000 Last Chg Bid Ask Vol Open Int 0.03 0 N/A 0.04 0 1,210 0.01 0 N/A 0.04 10 423 0.04 0 N/A 0.03 0 522 0.02 0 N/A 0.03 21 816 0.03 0 N/A 0.04 1 579 0.05 0 N/A 0.04 10 221 0.06 0 0.01 0.04 1 320 0.05 0 0.03 0.06 70 736 0.1 0 0.06 0.08 3 1,076 0.14 0 0.13 0.16 147 6,906 0.27 0 0.25 0.27 257 4,316 0.45 0 0.41 0.44 2 3,086 0.69 0 0.68 0.71 901 9,921 1.14 0 1.15 1.17 128 5,255 1.5 0 1.49 1.53 73 1,869 1.95 0 1.95 1.98 53 9,777 2.55 0 2.53 2.56 185 4,597 3.25 0 3.25 3.35 24 14,450 4.15 0 4.2 4.3 17 3,553 5.05 0 5.35 5.45 25 4,055 6.65 0 6.75 6.85 15 2,293 8.46 0 8.4 8.5 9 5,766 10.85 0 10.25 10.35 2 161 13.95 0 12.3 12.4 10 4,468 16.35 0 16.8 17.05 11 448 24.5 0 21.15 21.9 2 901 27.15 0 26.15 26.8 9 191 30.7 0 31.15 31.6 102 282 35.7 0 36.15 36.7 102 254 38.1 0 41.2 41.6 38 293 49.7 0 46.45 46.6 11 305

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Appendix D
Oct, 8, 2010 stock price 69.23

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Appendix E Date on September 9, 2010


Call Options (Expire at close Friday, November,2010) Strike 40 45 50 52.5 55 57.5 60 62.5 65 67.5 70 72.5 75 Symbol BA101120C00040000 BA101120C00045000 BA101120C00050000 BA101120C00052500 BA101120C00055000 BA101120C00057500 BA101120C00060000 BA101120C00062500 BA101120C00065000 BA101120C00067500 BA101120C00070000 BA101120C00072500 BA101120C00075000 Last 24.05 24.9 13.6 16.9 11.1 8.6 6.15 4.8 3.27 2.29 1.31 0.74 0.44 Chg 0 0 0 0 0 0 0 0 0 0 0 0 0 Bid N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Ask N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Vol 1 54 2 10 4 10 10 42 61 152 183 38 240 Open Int 1 80 147 7 454 203 919 1,084 1,737 2,548 3,728 1,996 3,183

Put Options (Expire at close Friday, November,2010) Strike 35 40 45 50 52.5 55 57.5 60 62.5 65 67.5 70 72.5 75 80 Symbol BA101120P00035000 BA101120P00040000 BA101120P00045000 BA101120P00050000 BA101120P00052500 BA101120P00055000 BA101120P00057500 BA101120P00060000 BA101120P00062500 BA101120P00065000 BA101120P00067500 BA101120P00070000 BA101120P00072500 BA101120P00075000 BA101120P00080000 Last 0.12 0.2 0.37 0.66 1 1.16 1.69 2.17 3.02 4.2 5.41 7.59 10.35 11.45 17.24 Chg 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Bid N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Ask N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Vol 30 100 15 82 20 121 44 61 19 17 60 10 10 5 3 Open Int 2,683 779 1,305 1,881 726 1,970 1,284 2,329 3,239 2,654 1,926 629 505 405 405

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FINS3635 Options, Futures and Risk Management

Appendix F Date on September 23, 2010


Call Options Strike 40 45 50 52.5 55 57.5 60 62.5 65 67.5 70 72.5 75 80 85 Put Options Strike 35 40 45 50 52.5 55 57.5 60 62.5 65 67.5 70 72.5 75 80 85 Expire at close Friday, November 19, 2010 Symbol BA101120C00040000 BA101120C00045000 BA101120C00050000 BA101120C00052500 BA101120C00055000 BA101120C00057500 BA101120C00060000 BA101120C00062500 BA101120C00065000 BA101120C00067500 BA101120C00070000 BA101120C00072500 BA101120C00075000 BA101120C00080000 BA101120C00085000 Last 24.05 19.9 14.5 10.5 9.55 7.75 5.5 3.9 2.4 1.46 0.76 0.4 0.2 0.06 0.04 Chg 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Bid N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Ask N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Vol 1 5 6 1 5 19 96 29 346 233 68 19 46 2 1 Open Int 1 85 147 8 459 264 1,167 1,206 2,468 3,711 4,483 2,236 3,198 1,968 1,460

Expire at close Friday, November 19, 2010 Symbol BA101120P00035000 BA101120P00040000 BA101120P00045000 BA101120P00050000 BA101120P00052500 BA101120P00055000 BA101120P00057500 BA101120P00060000 BA101120P00062500 BA101120P00065000 BA101120P00067500 BA101120P00070000 BA101120P00072500 BA101120P00075000 BA101120P00080000 BA101120P00085000 Last 0.1 0.12 0.22 0.44 0.65 0.9 1.3 1.84 2.77 3.65 5.5 7.45 10 11.45 16.9 18.2 Chg 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Bid N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Ask N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Vol 4 5 5 55 24 541 86 147 173 53 16 60 27 5 11 8 Open Int 2,688 784 1,361 2,309 804 2,823 1,616 2,759 3,560 2,674 1,926 708 518 405 405 61