1, , Option, Market, Sim, by, Jerry, Marlow, 2, , , Do not edit, this file in Excel., Excel converts, percentages to decimals, and adds commas, to large numbers. 3, , , Option, Market Sim will not be, able to , read the file. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,Many hedge fund managers prefer not to talk about their trading strategies. I’m not sure but I think this tradition of reticence started with Charles Ponzi and his fund. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,At XYZ, we want our clients to understand how we think. We believe it is in our and your best interest if you understand at least conceptually how we approach the markets how we identify opportunities the risks we take and the risks we don’t take. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,To acquaint you with how we think about and approach options trading  I'm going to run some simulations. The simulations are somewhat simplified and stylized. Nonetheless they should give you at least a feel for the profit opportunities to be found in these markets the kinds of positions we take and some of the ways in which we manage risk exposures. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,Our option-trading strategies focus in part on volatility—— how much the market price of the underlying stock or index has jumped around in the past how much we expect it to jump around in the future and how much other market participants expect it to jump around in the future. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,Expected volatility is a prime determinant of the market price of options. The greater the expected volatility the higher the price of options; the lower expected volatility the lower the price of options. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,If you know the market price of an option you can extract from it the market-equilibrium view of the underlying’s future volatility. That’s called implied volatility. øTo run our simulations we going to use the RUT the Russell 2000 index as an example. 3,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 3,700,2,Rehearsal Script,0,To begin from a recent, arbitrariy chosen point in time we [ADVANCE. TAP SPACE BAR OR CLICK GREEN CIRCLE] bring in the implied volatilities of all the options in the RUT option chain. øYou may be wondering why the report shows some implied vols of less than zero. 2,666,Cont1/Stop2, Option-Chain I Vol Header 2,321,1,Import Option-chain I Vol 1,RUT (RUSSELL 2000 INDEX),834.59 2,May,29,2007,@ 14:23 ET Data Type, Expires, Strike, Call, Bid, Ask, Zero-Vol Val, Put, Bid, Ask, Zero-Vol Val, Yrs to Exp, Days to Exp, K/S, Call Bid Imp Vol, Call Bid/Ask Avg Imp Vol, Call Ask Imp Vol, Put Bid Imp Vol, Put Bid/Ask Avg Imp Vol, Put Ask Imp Vol, gieo r, 3,2007 Jun,550.00,(RUW FJ),284.80,285.90,285.9964,(RUW RJ),0.0000,0.2000,0.0000,0.0516,13,0.659,-92.3227%,-84.2990%,-67.4428%,,,72.8417%,4.9632%, 3,2007 Jun,560.00,(RUW FL),274.80,276.00,276.0220,(RUW RL),0.0000,0.1500,0.0000,0.0516,13,0.671,-89.1401%,-80.6347%,-56.7122%,,,67.8059%,4.9632%, 3,2007 Jun,580.00,(RUW FP),254.90,256.00,256.0731,(RUW RP),0.0000,0.1500,0.0000,0.0516,13,0.695,-81.7729%,-74.3644%,-57.9405%,,,62.3737%,4.9632%, 3,2007 Jun,600.00,(RUW FT),235.00,236.10,236.1243,(RUW RT),0.0000,0.1500,0.0000,0.0516,13,0.719,-74.6513%,-67.4658%,-47.9534%,,,57.0995%,4.9632%, 3,2007 Jun,610.00,(RUY FB),225.00,226.10,226.1498,(RUY RB),0.0000,0.1500,0.0000,0.0516,13,0.731,-71.6946%,-64.8994%,-48.7425%,,,54.5173%,4.9632%, 3,2007 Jun,620.00,(RUY FD),215.10,216.10,216.1754,(RUY RD),0.0000,0.1500,0.0000,0.0516,13,0.743,-67.7563%,-61.5858%,-48.3278%,,,51.9693%,4.9632%, 3,2007 Jun,630.00,(RUY FF),205.10,206.20,206.2010,(RUY RF),0.0000,0.1500,0.0000,0.0516,13,0.755,-64.8832%,-58.3260%,-33.0750%,,,49.4539%,4.9632%, 3,2007 Jun,640.00,(RUY FH),195.20,196.20,196.2266,(RUY RH),0.0000,0.1500,0.0000,0.0516,13,0.767,-61.0702%,-55.1183%,-39.5576%,,,46.9694%,4.9632%, 3,2007 Jun,650.00,(RUY FJ),185.20,186.20,186.2521,(RUY RJ),0.0000,0.1500,0.0000,0.0516,13,0.779,-58.2713%,-52.6796%,-39.8328%,,,44.5141%,4.9632%, 3,2007 Jun,660.00,(RUY FL),175.20,176.20,176.2777,(RUY RL),0.0500,0.1500,0.0000,0.0516,13,0.791,-55.4802%,-50.2295%,-39.1630%,37.4710%,40.2224%,42.0865%,4.9632%, 3,2007 Jun,670.00,(RUY FN),165.30,166.30,166.3033,(RUY RN),0.0500,0.2000,0.0000,0.0516,13,0.803,-51.8419%,-46.4916%,-28.2883%,35.2942%,38.8617%,41.0764%,4.9632%, 3,2007 Jun,680.00,(RUY FP),155.30,156.30,156.3288,(RUY RP),0.1000,0.2500,0.0000,0.0516,13,0.815,-49.1105%,-44.1127%,-31.4602%,35.6221%,38.0021%,39.7393%,4.9632%, 3,2007 Jun,690.00,(RUY FR),145.30,146.40,146.3544,(RUY RR),0.1500,0.3000,0.0000,0.0516,13,0.827,-46.3799%,-41.1205%,30.7264%,34.9527%,36.7531%,38.1764%,4.9632%, 3,2007 Jun,700.00,(RUT FT),135.40,136.50,136.3800,(RUT RT),0.2000,0.3500,0.0000,0.0516,13,0.839,-42.8960%,-37.5474%,31.7672%,33.8041%,35.2473%,36.4447%,4.9632%, 3,2007 Jun,710.00,(RUT FB),125.50,126.60,126.4056,(RUT RB),0.2500,0.4000,0.0000,0.0516,13,0.851,-39.4621%,-33.9891%,31.3062%,32.3591%,33.5546%,34.5795%,4.9632%, 3,2007 Jun,720.00,(RUT FD),115.70,116.70,116.4311,(RUT RD),0.3500,0.5000,0.0000,0.0516,13,0.863,-35.2810%,-29.6172%,30.2366%,31.3952%,32.3191%,33.1438%,4.9632%, 3,2007 Jun,730.00,(RUT FF),105.80,106.80,106.4567,(RUT RF),0.4500,0.6000,0.0000,0.0516,13,0.875,-31.9432%,-25.8632%,28.8088%,30.0251%,30.7740%,31.4592%,4.9632%, 3,2007 Jun,740.00,(RUT FH),96.00,97.00,96.4823,(RUT RH),0.6000,0.7500,0.0000,0.0516,13,0.887,-27.7655%,18.6243%,28.0908%,28.7967%,29.3908%,29.9468%,4.9632%, 3,2007 Jun,750.00,(RUT FJ),86.50,87.00,86.5078,(RUT RJ),0.8000,0.9000,0.0000,0.0516,13,0.899,-15.6082%,22.6274%,25.2656%,27.5386%,27.8558%,28.1625%,4.9632%, 3,2007 Jun,760.00,(RUT FL),76.80,77.30,76.5334,(RUT RL),1.0000,1.1000,0.0000,0.0516,13,0.911,20.5400%,22.8652%,24.5730%,25.8975%,26.1583%,26.4124%,4.9632%, 3,2007 Jun,770.00,(RUT FN),67.10,67.60,66.5590,(RUT RN),1.2500,1.4500,0.0000,0.0516,13,0.923,20.4216%,21.9533%,23.2330%,24.1815%,24.6063%,25.0154%,4.9632%, 3,2007 Jun,780.00,(RUT FP),57.60,58.10,56.5846,(RUT RP),1.7000,1.9000,0.0000,0.0516,13,0.935,20.2207%,21.2607%,22.2027%,22.8509%,23.1884%,23.5174%,4.9632%, 3,2007 Jun,790.00,(RUT FR),48.20,48.70,46.6101,(RUT RR),2.3500,2.5500,0.0000,0.0516,13,0.947,19.3292%,20.1046%,20.8352%,21.5573%,21.8261%,22.0905%,4.9632%, 3,2007 Jun,800.00,(RUT FS),39.20,39.60,36.6357,(RUT RS),3.3000,3.5000,0.0000,0.0516,13,0.959,18.6441%,19.1121%,19.5682%,20.3104%,20.5265%,20.7405%,4.9632%, 3,2007 Jun,810.00,(RUZ FB),30.60,31.10,26.6613,(RUZ RB),4.6000,4.9000,0.0000,0.0516,13,0.971,17.7443%,18.2054%,18.6594%,18.9488%,19.2158%,19.4807%,4.9632%, 3,2007 Jun,820.00,(RUZ FD),22.70,23.10,16.6868,(RUZ RD),6.6000,6.9000,0.0000,0.0516,13,0.983,16.8894%,17.1956%,17.5003%,17.7838%,18.0105%,18.2365%,4.9632%, 3,2007 Jun,825.00,(RUZ FE),19.10,19.40,11.6996,(RUZ RE),7.9000,8.2000,0.0000,0.0516,13,0.989,16.4883%,16.7026%,16.9165%,17.2007%,17.4138%,17.6266%,4.9632%, 3,2007 Jun,830.00,(RUZ FF),15.70,16.00,6.7124,(RUZ RF),9.5000,9.8000,0.0000,0.0516,13,0.995,15.9961%,16.2002%,16.4042%,16.6928%,16.8965%,17.1001%,4.9632%, 3,2007 Jun,840.00,(RUZ FH),9.80,10.10,0.0000,(RUZ RH),13.6000,14.0000,3.2620,0.0516,13,1.006,14.9887%,15.1880%,15.3872%,15.7033%,15.9688%,16.2344%,4.9632%, 3,2007 Jun,850.00,(RUZ FJ),5.50,5.80,0.0000,(RUZ RJ),19.2000,19.6000,13.2364,0.0516,13,1.018,14.2473%,14.4685%,14.6888%,14.9282%,15.2199%,15.5104%,4.9632%, 3,2007 Jun,860.00,(RUZ FL),2.80,3.00,0.0000,(RUZ RL),26.4000,26.9000,23.2109,0.0516,13,1.030,13.8256%,14.0157%,14.2038%,14.5549%,15.0103%,15.4569%,4.9632%, 3,2007 Jun,870.00,(RUZ FN),1.30,1.50,0.0000,(RUZ RN),34.9000,35.4000,33.1853,0.0516,13,1.042,13.6119%,13.8945%,14.1687%,14.7327%,15.3546%,15.9465%,4.9632%, 3,2007 Jun,880.00,(RUZ FP),0.65,0.75,0.0000,(RUZ RP),44.1000,44.6000,43.1597,0.0516,13,1.054,13.9811%,14.2040%,14.4188%,15.1750%,16.0606%,16.8612%,4.9632%, 3,2007 Jun,890.00,(RUZ FR),0.35,0.40,0.0000,(RUZ RR),53.8000,54.3000,53.1342,0.0516,13,1.066,14.6096%,14.7867%,14.9569%,16.4767%,17.6190%,18.6071%,4.9632%, 3,2007 Jun,900.00,(RUZ FT),0.20,0.30,0.0000,(RUZ RT),63.6000,64.1000,63.1086,0.0516,13,1.078,15.3478%,15.8753%,16.3394%,17.7723%,19.2100%,20.3957%,4.9632%, 3,2007 Jun,910.00,(RUZ FV),0.10,0.20,0.0000,(RUZ RV),73.6000,74.0000,73.0830,0.0516,13,1.090,15.7624%,16.6196%,17.3006%,20.1198%,21.3608%,22.4162%,4.9632%, 3,2007 Jun,920.00,(RUZ FW),0.05,0.20,0.0000,(RUZ RW),83.3000,84.2000,83.0574,0.0516,13,1.102,16.1827%,18.0313%,19.2019%,19.7380%,23.4212%,25.8162%,4.9632%, 3,2007 Jun,930.00,(RUZ FX),0.00,0.15,0.0000,(RUZ RX),93.1000,94.1000,93.0319,0.0516,13,1.114,,,20.2653%,18.4227%,24.6948%,27.7271%,4.9632%, 3,2007 Jun,940.00,(RUZ FY),0.00,0.15,0.0000,(RUZ RY),103.0000,104.1000,103.0063,0.0516,13,1.126,,,22.0267%,-16.0843%,26.5382%,30.0704%,4.9632%, 3,2007 Jun,950.00,(RUZ FU),0.00,0.15,0.0000,(RUZ RU),113.0000,114.1000,112.9807,0.0516,13,1.138,,,23.7515%,19.1191%,28.7321%,32.3715%,4.9632%, 3,2007 Jul,550.00,(RUW GJ),285.80,286.90,288.4850,(RUW SJ),0.0000,0.1500,0.0000,0.1468,37,0.659,-63.4897%,-60.8725%,-57.8189%,,,42.2550%,4.8405%, 3,2007 Jul,560.00,(RUW GL),275.90,276.90,278.5558,(RUW SL),0.0000,0.1500,0.0000,0.1468,37,0.671,-61.0576%,-58.7455%,-56.0921%,,,40.6080%,4.8405%, 3,2007 Jul,570.00,(RUW GN),266.00,267.00,268.6266,(RUW SN),0.0000,0.1500,0.0000,0.1468,37,0.683,-58.6663%,-56.4060%,-53.8080%,,,38.9867%,4.8405%, 3,2007 Jul,580.00,(RUW GP),256.10,257.10,258.6975,(RUW SP),0.0000,0.1500,0.0000,0.1468,37,0.695,-56.3138%,-54.1053%,-51.5628%,,,37.3899%,4.8405%, 3,2007 Jul,590.00,(RUW GR),246.20,247.20,248.7683,(RUW SR),0.0000,0.1500,0.0000,0.1468,37,0.707,-53.9985%,-51.8418%,-49.3550%,,,35.8168%,4.8405%, 3,2007 Jul,600.00,(RUW GT),236.30,237.30,238.8391,(RUW ST),0.0000,0.1500,0.0000,0.1468,37,0.719,-51.7187%,-49.6139%,-47.1829%,,,34.2659%,4.8405%, 3,2007 Jul,610.00,(RUY GB),226.30,227.30,228.9099,(RUY SB),0.0000,0.2000,0.0000,0.1468,37,0.731,-49.8546%,-47.8520%,-45.5537%,,,33.8223%,4.8405%, 3,2007 Jul,620.00,(RUY GD),216.50,217.50,218.9807,(RUY SD),0.0500,0.2000,0.0000,0.1468,37,0.743,-47.2589%,-45.2586%,-42.9406%,27.9120%,30.6086%,32.2711%,4.8405%, 3,2007 Jul,630.00,(RUY GF),206.60,207.60,209.0516,(RUY SF),0.0500,0.2500,0.0000,0.1468,37,0.755,-45.0758%,-43.1282%,-40.8676%,26.5589%,29.7379%,31.5768%,4.8405%, 3,2007 Jul,640.00,(RUY GH),196.70,197.70,199.1224,(RUY SH),0.1000,0.3500,0.0000,0.1468,37,0.767,-42.9218%,-41.0274%,-38.8247%,27.0391%,29.6440%,31.3495%,4.8405%, 3,2007 Jul,650.00,(RUY GJ),186.80,188.00,189.1932,(RUY SJ),0.2000,0.4000,0.0000,0.1468,37,0.779,-40.7955%,-38.5547%,-35.8265%,27.7321%,29.1694%,30.3064%,4.8405%, 3,2007 Jul,660.00,(RUY GL),177.00,177.90,179.2640,(RUY SL),0.3500,0.5000,0.0000,0.1468,37,0.791,-38.3559%,-36.7159%,-34.8244%,28.1987%,28.9593%,29.6353%,4.8405%, 3,2007 Jul,670.00,(RUY GN),167.20,168.20,169.3348,(RUY SN),0.5000,0.6500,0.0000,0.1468,37,0.803,-35.9538%,-34.1217%,-31.9313%,28.0212%,28.6071%,29.1458%,4.8405%, 3,2007 Jul,680.00,(RUY GP),157.40,158.50,159.4056,(RUY SP),0.6500,0.7500,0.0000,0.1468,37,0.815,-33.5879%,-31.5569%,-29.0122%,27.4963%,27.8188%,28.1271%,4.8405%, 3,2007 Jul,690.00,(RUY GR),147.70,148.80,149.4765,(RUY SR),0.8500,0.9500,0.0000,0.1468,37,0.827,-30.9154%,-28.8058%,-26.0254%,27.0162%,27.2782%,27.5315%,4.8405%, 3,2007 Jul,700.00,(RUT GT),138.00,139.10,139.5473,(RUT ST),1.1000,1.2000,0.0000,0.1468,37,0.839,-28.2685%,-26.0498%,-22.8795%,26.5101%,26.7251%,26.9346%,4.8405%, 3,2007 Jul,710.00,(RUT GB),128.40,129.40,129.6181,(RUT SB),1.3500,1.5000,0.0000,0.1468,37,0.851,-25.2594%,-23.0014%,-19.2937%,25.7595%,26.0316%,26.2958%,4.8405%, 3,2007 Jul,720.00,(RUT GD),118.80,119.90,119.6889,(RUT SD),1.6500,1.8500,0.0000,0.1468,37,0.863,-22.1874%,-19.0068%,17.8038%,24.9849%,25.2933%,25.5924%,4.8405%, 3,2007 Jul,730.00,(RUT GF),109.40,110.40,109.7597,(RUT SF),2.0500,2.2500,0.0000,0.1468,37,0.875,-17.6882%,15.5620%,19.3807%,24.2937%,24.5556%,24.8114%,4.8405%, 3,2007 Jul,740.00,(RUT GH),100.00,101.10,99.8306,(RUT SH),2.6000,2.8000,0.0000,0.1468,37,0.887,14.5781%,18.1611%,20.2228%,23.7236%,23.9449%,24.1623%,4.8405%, 3,2007 Jul,750.00,(RUT GJ),90.90,91.70,89.9014,(RUT SJ),3.2000,3.5000,0.0000,0.1468,37,0.899,17.6101%,18.8659%,19.9416%,22.9869%,23.2717%,23.5510%,4.8405%, 3,2007 Jul,760.00,(RUT GL),81.80,82.50,79.9722,(RUT SL),4.0000,4.3000,0.0000,0.1468,37,0.911,18.1757%,18.9622%,19.6904%,22.3491%,22.5945%,22.8362%,4.8405%, 3,2007 Jul,770.00,(RUT GN),72.90,73.50,70.0430,(RUT SN),5.0000,5.3000,0.0000,0.1468,37,0.923,18.3447%,18.8682%,19.3712%,21.7242%,21.9371%,22.1478%,4.8405%, 3,2007 Jul,780.00,(RUT GP),64.20,64.80,60.1138,(RUT SP),6.2000,6.5000,0.0000,0.1468,37,0.935,18.2317%,18.6590%,19.0759%,21.0550%,21.2419%,21.4275%,4.8405%, 3,2007 Jul,790.00,(RUT GR),55.80,56.30,50.1846,(RUT SR),7.7000,8.0000,0.0000,0.1468,37,0.947,18.0046%,18.3055%,18.6026%,20.4124%,20.5782%,20.7432%,4.8405%, 3,2007 Jul,800.00,(RUT GS),47.60,48.10,40.2555,(RUT SS),9.5000,9.8000,0.0000,0.1468,37,0.959,17.5276%,17.7900%,18.0505%,19.7316%,19.8807%,20.0294%,4.8405%, 3,2007 Jul,810.00,(RUZ GB),39.90,40.40,30.3263,(RUZ SB),11.6000,12.0000,0.0000,0.1468,37,0.971,17.0941%,17.3279%,17.5607%,18.9635%,19.1452%,19.3264%,4.8405%, 3,2007 Jul,820.00,(RUZ GD),32.60,33.10,20.3971,(RUZ SD),14.3000,14.6000,0.0000,0.1468,37,0.983,16.5342%,16.7482%,16.9618%,18.3180%,18.4447%,18.5713%,4.8405%, 3,2007 Jul,830.00,(RUZ GF),25.90,26.40,10.4679,(RUZ SF),17.5000,17.9000,0.0000,0.1468,37,0.995,15.9646%,16.1661%,16.3675%,17.6284%,17.7890%,17.9495%,4.8405%, 3,2007 Jul,840.00,(RUZ GH),19.90,20.30,0.5387,(RUZ SH),21.4000,21.7000,0.0000,0.1468,37,1.006,15.3933%,15.5501%,15.7070%,16.9926%,17.1103%,17.2280%,4.8405%, 3,2007 Jul,850.00,(RUZ GJ),14.60,15.00,0.0000,(RUZ SJ),26.0000,26.4000,9.3904,0.1468,37,1.018,14.7534%,14.9124%,15.0713%,16.3484%,16.5068%,16.6652%,4.8405%, 3,2007 Jul,860.00,(RUZ GL),10.20,10.60,0.0000,(RUZ SL),31.5000,31.9000,19.3196,0.1468,37,1.030,14.1485%,14.3178%,14.4868%,15.8111%,15.9775%,16.1437%,4.8405%, 3,2007 Jul,870.00,(RUZ GN),6.80,7.10,0.0000,(RUZ SN),37.9000,38.4000,29.2488,0.1468,37,1.042,13.6488%,13.7921%,13.9347%,15.3783%,15.6063%,15.8333%,4.8405%, 3,2007 Jul,880.00,(RUZ GP),4.20,4.50,0.0000,(RUZ SP),45.2000,45.7000,39.1780,0.1468,37,1.054,13.1050%,13.2786%,13.4503%,15.1093%,15.3702%,15.6284%,4.8405%, 3,2007 Jul,890.00,(RUZ GR),2.50,2.65,0.0000,(RUZ SR),53.3000,53.9000,49.1072,0.1468,37,1.066,12.7492%,12.8618%,12.9732%,15.0499%,15.4192%,15.7804%,4.8405%, 3,2007 Jul,900.00,(RUZ GT),1.45,1.60,0.0000,(RUZ ST),62.2000,62.8000,59.0364,0.1468,37,1.078,12.5446%,12.6989%,12.8495%,15.4766%,15.9103%,16.3297%,4.8405%, 3,2007 Jul,910.00,(RUZ GV),0.80,0.95,0.0000,(RUZ SV),71.5000,72.1000,68.9655,0.1468,37,1.090,12.3716%,12.5956%,12.8094%,16.1482%,16.6506%,17.1304%,4.8405%, 3,2007 Jul,920.00,(RUZ GW),0.40,0.55,0.0000,(RUZ SW),80.7000,81.6000,78.8947,0.1468,37,1.102,12.1279%,12.4801%,12.8000%,16.3024%,17.2100%,18.0354%,4.8405%, 3,2007 Jul,930.00,(RUZ GX),0.25,0.35,0.0000,(RUZ SX),90.5000,91.4000,88.8239,0.1468,37,1.114,12.4058%,12.7431%,13.0459%,17.4621%,18.4507%,19.3409%,4.8405%, 3,2007 Jul,940.00,(RUZ GY),0.05,0.25,0.0000,(RUZ SY),100.2000,101.3000,98.7531,0.1468,37,1.126,11.0989%,12.6139%,13.5118%,18.2777%,19.6143%,20.7738%,4.8405%, 3,2007 Jul,950.00,(RUZ GU),0.00,0.15,0.0000,(RUZ SU),110.1000,111.1000,108.6823,0.1468,37,1.138,,,13.6406%,19.5325%,20.8247%,21.9507%,4.8405%, 3,2007 Aug,550.00,(RUW HJ),286.90,287.80,290.5342,(RUW TJ),0.0000,0.2000,0.0000,0.2262,57,0.659,-54.6819%,-53.2579%,-51.7165%,,,35.4146%,4.8042%, 3,2007 Aug,560.00,(RUW HL),277.00,277.90,280.6423,(RUW TL),0.0000,0.2000,0.0000,0.2262,57,0.671,-52.7619%,-51.3792%,-49.8834%,,,34.0519%,4.8042%, 3,2007 Aug,570.00,(RUW HN),267.30,268.10,270.7504,(RUW TN),0.0500,0.2500,0.0000,0.2262,57,0.683,-50.2846%,-49.0570%,-47.7361%,28.4259%,31.6885%,33.5621%,4.8042%, 3,2007 Aug,580.00,(RUW HP),257.30,258.20,260.8585,(RUW TP),0.0500,0.2500,0.0000,0.2262,57,0.695,-48.7210%,-47.3978%,-45.9641%,27.2558%,30.4028%,32.2117%,4.8042%, 3,2007 Aug,590.00,(RUW HR),247.60,248.40,250.9666,(RUW TR),0.1500,0.3000,0.0000,0.2262,57,0.707,-46.3285%,-45.1544%,-43.8891%,29.1359%,30.4998%,31.5693%,4.8042%, 3,2007 Aug,600.00,(RUW HT),237.80,238.60,241.0746,(RUW TT),0.2000,0.4000,0.0000,0.2262,57,0.719,-44.2577%,-43.1003%,-41.8500%,28.8040%,30.2329%,31.3589%,4.8042%, 3,2007 Aug,610.00,(RUY HB),227.90,228.80,231.1827,(RUY TB),0.3000,0.4500,0.0000,0.2262,57,0.731,-42.4943%,-41.2281%,-39.8456%,28.9147%,29.7478%,30.4737%,4.8042%, 3,2007 Aug,620.00,(RUY HD),218.30,219.10,221.2908,(RUY TD),0.4500,0.6500,0.0000,0.2262,57,0.743,-39.9454%,-38.7997%,-37.5511%,29.1150%,29.9346%,30.6608%,4.8042%, 3,2007 Aug,630.00,(RUY HF),208.40,209.30,211.3989,(RUY TF),0.6000,0.8000,0.0000,0.2262,57,0.755,-38.2476%,-36.9961%,-35.6157%,28.9212%,29.5849%,30.1900%,4.8042%, 3,2007 Aug,640.00,(RUY HH),198.80,199.80,201.5069,(RUY TH),0.8000,1.0000,0.0000,0.2262,57,0.767,-35.7737%,-34.3367%,-32.7029%,28.7719%,29.3098%,29.8115%,4.8042%, 3,2007 Aug,650.00,(RUY HJ),189.10,190.00,191.6150,(RUY TJ),1.0000,1.2500,0.0000,0.2262,57,0.779,-33.6017%,-32.3044%,-30.8362%,28.3693%,28.9325%,29.4588%,4.8042%, 3,2007 Aug,660.00,(RUY HL),179.40,180.40,181.7231,(RUY TL),1.3000,1.5000,0.0000,0.2262,57,0.791,-31.4614%,-29.9924%,-28.2711%,28.1830%,28.5579%,28.9174%,4.8042%, 3,2007 Aug,670.00,(RUY HN),169.90,171.00,171.8312,(RUY TN),1.6000,1.7500,0.0000,0.2262,57,0.803,-28.7805%,-27.0130%,-24.7601%,27.7574%,27.9989%,28.2343%,4.8042%, 3,2007 Aug,680.00,(RUY HP),160.40,161.40,161.9393,(RUY TP),1.9500,2.1000,0.0000,0.2262,57,0.815,-26.0721%,-24.2878%,-21.8595%,27.2995%,27.5075%,27.7114%,4.8042%, 3,2007 Aug,690.00,(RUY HR),150.80,151.90,152.0473,(RUY TR),2.3500,2.5500,0.0000,0.2262,57,0.827,-23.6501%,-21.4135%,-17.2960%,26.7962%,27.0366%,27.2718%,4.8042%, 3,2007 Aug,700.00,(RUT HT),141.40,142.50,142.1554,(RUT TT),2.8500,3.1000,0.0000,0.2262,57,0.839,-20.3621%,-16.8639%,18.0696%,26.3455%,26.6063%,26.8616%,4.8042%, 3,2007 Aug,710.00,(RUT HB),132.10,133.30,132.2635,(RUT TB),3.3000,3.6000,0.0000,0.2262,57,0.851,-15.2804%,17.4585%,20.1196%,25.6253%,25.9041%,26.1771%,4.8042%, 3,2007 Aug,720.00,(RUT HD),122.90,123.90,122.3716,(RUT TD),4.0000,4.3000,0.0000,0.2262,57,0.863,16.7185%,18.7242%,20.2074%,25.1988%,25.4432%,25.6837%,4.8042%, 3,2007 Aug,730.00,(RUT HF),113.80,114.80,112.4796,(RUT TF),4.7000,5.1000,0.0000,0.2262,57,0.875,18.2205%,19.4727%,20.5533%,24.5823%,24.8724%,25.1576%,4.8042%, 3,2007 Aug,740.00,(RUT HH),104.80,105.80,102.5877,(RUT TH),5.6000,5.9000,0.0000,0.2262,57,0.887,18.8121%,19.7509%,20.6097%,24.0715%,24.2658%,24.4581%,4.8042%, 3,2007 Aug,750.00,(RUT HJ),96.10,97.00,92.6958,(RUT TJ),6.6000,6.9000,0.0000,0.2262,57,0.899,19.2925%,19.9610%,20.5968%,23.4939%,23.6685%,23.8417%,4.8042%, 3,2007 Aug,760.00,(RUT HL),87.30,88.20,82.8039,(RUT TL),7.7000,8.1000,0.0000,0.2262,57,0.911,19.1425%,19.7107%,20.2592%,22.8433%,23.0541%,23.2631%,4.8042%, 3,2007 Aug,770.00,(RUT HN),78.90,79.70,72.9119,(RUT TN),9.1000,9.4000,0.0000,0.2262,57,0.923,19.1335%,19.5670%,19.9915%,22.3064%,22.4500%,22.5929%,4.8042%, 3,2007 Aug,780.00,(RUT HP),70.60,71.20,63.0200,(RUT TP),10.7000,10.9000,0.0000,0.2262,57,0.935,18.8820%,19.1694%,19.4536%,21.7402%,21.8279%,21.9153%,4.8042%, 3,2007 Aug,790.00,(RUT HR),62.50,63.20,53.1281,(RUT TR),12.5000,12.8000,0.0000,0.2262,57,0.947,18.5152%,18.8161%,19.1144%,21.1247%,21.2460%,21.3670%,4.8042%, 3,2007 Aug,800.00,(RUT HS),54.70,55.40,43.2362,(RUT TS),14.6000,14.8000,0.0000,0.2262,57,0.959,18.1082%,18.3824%,18.6550%,20.5174%,20.5927%,20.6679%,4.8042%, 3,2007 Aug,810.00,(RUZ HB),47.40,47.90,33.3443,(RUZ TB),17.0000,17.4000,0.0000,0.2262,57,0.971,17.7803%,17.9612%,18.1418%,19.8878%,20.0293%,20.1706%,4.8042%, 3,2007 Aug,820.00,(RUZ HD),40.30,40.80,23.4523,(RUZ TD),19.8000,20.1000,0.0000,0.2262,57,0.983,17.2785%,17.4486%,17.6186%,19.2763%,19.3773%,19.4781%,4.8042%, 3,2007 Aug,830.00,(RUZ HF),33.70,34.20,13.5604,(RUZ TF),23.1000,23.4000,0.0000,0.2262,57,0.995,16.7920%,16.9547%,17.1173%,18.7145%,18.8118%,18.9090%,4.8042%, 3,2007 Aug,840.00,(RUZ HH),27.70,28.00,3.6685,(RUZ TH),26.8000,27.2000,0.0000,0.2262,57,1.006,16.3484%,16.4435%,16.5387%,18.1046%,18.2315%,18.3583%,4.8042%, 3,2007 Aug,850.00,(RUZ HJ),22.10,22.50,0.0000,(RUZ TJ),31.1000,31.6000,6.2234,0.2262,57,1.018,15.7888%,15.9154%,16.0419%,17.5449%,17.7029%,17.8609%,4.8042%, 3,2007 Aug,860.00,(RUZ HL),17.10,17.50,0.0000,(RUZ TL),36.1000,36.6000,16.1154,0.2262,57,1.030,15.2105%,15.3401%,15.4696%,17.0733%,17.2341%,17.3949%,4.8042%, 3,2007 Aug,870.00,(RUZ HN),12.80,13.30,0.0000,(RUZ TN),41.7000,42.2000,26.0073,0.2262,57,1.042,14.6510%,14.8222%,14.9931%,16.6119%,16.7795%,16.9470%,4.8042%, 3,2007 Aug,880.00,(RUZ HP),9.20,9.70,0.0000,(RUZ TP),48.0000,48.6000,35.8992,0.2262,57,1.054,14.0954%,14.2833%,14.4703%,16.2257%,16.4407%,16.6549%,4.8042%, 3,2007 Aug,890.00,(RUZ HR),6.40,6.80,0.0000,(RUZ TR),55.0000,55.6000,45.7911,0.2262,57,1.066,13.6304%,13.8025%,13.9731%,15.9399%,16.1756%,16.4097%,4.8042%, 3,2007 Aug,900.00,(RUZ HT),4.20,4.60,0.0000,(RUZ TT),62.7000,63.3000,55.6831,0.2262,57,1.078,13.1321%,13.3392%,13.5431%,15.8158%,16.0796%,16.3403%,4.8042%, 3,2007 Aug,910.00,(RUZ HV),2.65,2.95,0.0000,(RUZ TV),70.9000,71.5000,65.5750,0.2262,57,1.090,12.7199%,12.9169%,13.1095%,15.7681%,16.0688%,16.3641%,4.8042%, 3,2007 Aug,920.00,(RUZ HW),1.55,1.85,0.0000,(RUZ TW),79.6000,80.3000,75.4669,0.2262,57,1.102,12.2751%,12.5413%,12.7960%,15.8987%,16.3000%,16.6895%,4.8042%, 3,2007 Aug,930.00,(RUZ HX),0.90,1.15,0.0000,(RUZ TX),88.8000,89.6000,85.3588,0.2262,57,1.114,11.9989%,12.3098%,12.6003%,16.3666%,16.8807%,17.3728%,4.8042%, 3,2007 Aug,940.00,(RUZ HY),0.50,0.70,0.0000,(RUZ TY),98.2000,98.9000,95.2507,0.2262,57,1.126,11.7583%,12.1242%,12.4550%,16.9312%,17.4337%,17.9127%,4.8042%, 3,2007 Aug,950.00,(RUZ HU),0.25,0.45,0.0000,(RUZ TU),107.8000,108.7000,105.1427,0.2262,57,1.138,11.4492%,12.0195%,12.4922%,17.6715%,18.3704%,19.0235%,4.8042%, 3,2007 Sep,500.00,(RUW IZ),337.00,338.50,342.2689,(RUW UZ),0.0000,0.1500,0.0000,0.3214,81,0.599,-59.1786%,-57.2967%,-55.2373%,,,34.9268%,4.8151%, 3,2007 Sep,520.00,(RUW ID),317.40,318.70,322.5761,(RUW UD),0.0000,0.2000,0.0000,0.3214,81,0.623,-55.2359%,-53.6798%,-51.9987%,,,33.5437%,4.8151%, 3,2007 Sep,540.00,(RUW IH),297.90,299.10,302.8832,(RUW UH),0.1000,0.3000,0.0000,0.3214,81,0.647,-51.2159%,-49.8273%,-48.3331%,28.9762%,31.1617%,32.6476%,4.8151%, 3,2007 Sep,560.00,(RUW IL),278.40,279.60,283.1904,(RUW UL),0.2000,0.4000,0.0000,0.3214,81,0.671,-47.3452%,-45.9998%,-44.5476%,28.8579%,30.2498%,31.3440%,4.8151%, 3,2007 Sep,580.00,(RUW IP),259.00,260.20,263.4975,(RUW UP),0.4500,0.7000,0.0000,0.3214,81,0.695,-43.4012%,-42.0827%,-40.6510%,29.3954%,30.3802%,31.2306%,4.8151%, 3,2007 Sep,600.00,(RUW IT),239.60,240.90,243.8047,(RUW UT),0.8500,1.0500,0.0000,0.3214,81,0.719,-39.5958%,-38.1905%,-36.6400%,29.5934%,30.1014%,30.5765%,4.8151%, 3,2007 Sep,610.00,(RUY IB),230.00,231.30,233.9583,(RUY UB),1.0500,1.3000,0.0000,0.3214,81,0.731,-37.5359%,-36.1241%,-34.5537%,29.3014%,29.8385%,30.3414%,4.8151%, 3,2007 Sep,620.00,(RUY ID),220.40,221.80,224.1118,(RUY UD),1.3500,1.5500,0.0000,0.3214,81,0.743,-35.5089%,-33.9723%,-32.2267%,29.2335%,29.5941%,29.9401%,4.8151%, 3,2007 Sep,630.00,(RUY IF),210.90,212.10,214.2654,(RUY UF),1.6500,1.9000,0.0000,0.3214,81,0.755,-33.3027%,-31.9631%,-30.4530%,28.9524%,29.3388%,29.7096%,4.8151%, 3,2007 Sep,640.00,(RUY IH),201.30,202.90,204.4190,(RUY UH),1.9500,2.2500,0.0000,0.3214,81,0.767,-31.3356%,-29.4889%,-27.2378%,28.5173%,28.9238%,29.3143%,4.8151%, 3,2007 Sep,650.00,(RUY IJ),191.90,193.40,194.5726,(RUY UJ),2.3500,2.6500,0.0000,0.3214,81,0.779,-28.9564%,-27.1213%,-24.8098%,28.2075%,28.5623%,28.9057%,4.8151%, 3,2007 Sep,660.00,(RUY IL),182.50,184.10,184.7261,(RUY UL),2.8000,3.0000,0.0000,0.3214,81,0.791,-26.5701%,-24.4162%,-21.3269%,27.8568%,28.0660%,28.2715%,4.8151%, 3,2007 Sep,670.00,(RUY IN),173.30,174.50,174.8797,(RUY UN),3.3000,3.6000,0.0000,0.3214,81,0.803,-23.6166%,-21.7047%,-18.8020%,27.4619%,27.7391%,28.0103%,4.8151%, 3,2007 Sep,680.00,(RUY IP),164.00,165.30,165.0333,(RUY UP),3.8000,4.2000,0.0000,0.3214,81,0.815,-20.7222%,-17.7810%,16.9354%,26.9372%,27.2688%,27.5925%,4.8151%, 3,2007 Sep,690.00,(RUY IR),154.90,156.30,155.1869,(RUY UR),4.4000,4.8000,0.0000,0.3214,81,0.827,-16.0943%,16.9244%,19.8111%,26.4577%,26.7561%,27.0486%,4.8151%, 3,2007 Sep,700.00,(RUT IT),145.80,147.20,145.3405,(RUT UT),5.1000,5.5000,0.0000,0.3214,81,0.839,16.1386%,18.7785%,20.5597%,25.9975%,26.2666%,26.5313%,4.8151%, 3,2007 Sep,710.00,(RUT IB),136.70,138.10,135.4940,(RUT UB),5.9000,6.3000,0.0000,0.3214,81,0.851,17.7378%,19.4086%,20.7694%,25.5374%,25.7810%,26.0213%,4.8151%, 3,2007 Sep,720.00,(RUT ID),127.90,129.20,125.6476,(RUT UD),6.9000,7.3000,0.0000,0.3214,81,0.863,18.8295%,19.9553%,20.9620%,25.1743%,25.3946%,25.6124%,4.8151%, 3,2007 Sep,730.00,(RUT IF),119.10,120.40,115.8012,(RUT UF),7.9000,8.3000,0.0000,0.3214,81,0.875,19.2245%,20.1352%,20.9803%,24.6659%,24.8675%,25.0672%,4.8151%, 3,2007 Sep,740.00,(RUT IH),110.30,111.80,105.9548,(RUT UH),9.0000,9.5000,0.0000,0.3214,81,0.887,19.2379%,20.1306%,20.9706%,24.1263%,24.3577%,24.5870%,4.8151%, 3,2007 Sep,750.00,(RUT IJ),101.80,103.20,96.1083,(RUT UJ),10.3000,10.8000,0.0000,0.3214,81,0.899,19.3112%,20.0319%,20.7238%,23.6342%,23.8475%,24.0593%,4.8151%, 3,2007 Sep,760.00,(RUT IL),93.50,94.70,86.2619,(RUT UL),11.8000,12.2000,0.0000,0.3214,81,0.911,19.2999%,19.8451%,20.3765%,23.1650%,23.3229%,23.4802%,4.8151%, 3,2007 Sep,770.00,(RUT IN),85.40,86.50,76.4155,(RUT UN),13.4000,13.9000,0.0000,0.3214,81,0.923,19.2069%,19.6546%,20.0948%,22.6253%,22.8091%,22.9922%,4.8151%, 3,2007 Sep,780.00,(RUT IP),77.40,78.30,66.5691,(RUT UP),15.2000,15.7000,0.0000,0.3214,81,0.935,18.9593%,19.2932%,19.6238%,22.0828%,22.2549%,22.4265%,4.8151%, 3,2007 Sep,790.00,(RUT IR),69.60,70.70,56.7227,(RUT UR),17.3000,17.8000,0.0000,0.3214,81,0.947,18.6441%,19.0197%,19.3922%,21.5875%,21.7494%,21.9110%,4.8151%, 3,2007 Sep,800.00,(RUT IS),62.10,63.10,46.8762,(RUT US),19.5000,20.2000,0.0000,0.3214,81,0.959,18.3198%,18.6377%,18.9540%,20.9930%,21.2079%,21.4222%,4.8151%, 3,2007 Sep,810.00,(RUZ IB),55.00,55.90,37.0298,(RUZ UB),22.1000,22.8000,0.0000,0.3214,81,0.971,18.0287%,18.2978%,18.5661%,20.4732%,20.6781%,20.8828%,4.8151%, 3,2007 Sep,820.00,(RUZ ID),48.20,48.90,27.1834,(RUZ UD),25.0000,25.7000,0.0000,0.3214,81,0.983,17.6906%,17.8898%,18.0888%,19.9455%,20.1425%,20.3394%,4.8151%, 3,2007 Sep,830.00,(RUZ IF),41.70,42.40,17.3370,(RUZ UF),28.3000,29.0000,0.0000,0.3214,81,0.995,17.2948%,17.4867%,17.6785%,19.4487%,19.6398%,19.8308%,4.8151%, 3,2007 Sep,840.00,(RUZ IH),35.50,36.20,7.4905,(RUZ UH),32.0000,32.6000,0.0000,0.3214,81,1.006,16.8294%,17.0167%,17.2040%,18.9642%,19.1246%,19.2850%,4.8151%, 3,2007 Sep,850.00,(RUZ IJ),29.80,30.50,0.0000,(RUZ UJ),36.0000,36.7000,2.3559,0.3214,81,1.018,16.3860%,16.5714%,16.7569%,18.4229%,18.6084%,18.7939%,4.8151%, 3,2007 Sep,860.00,(RUZ IL),24.70,25.20,0.0000,(RUZ UL),40.7000,41.3000,12.2023,0.3214,81,1.030,15.9999%,16.1332%,16.2665%,18.0224%,18.1819%,18.3415%,4.8151%, 3,2007 Sep,870.00,(RUZ IN),19.80,20.40,0.0000,(RUZ UN),45.8000,46.5000,22.0487,0.3214,81,1.042,15.4421%,15.6062%,15.7701%,17.5926%,17.7821%,17.9715%,4.8151%, 3,2007 Sep,880.00,(RUZ IP),15.80,16.30,0.0000,(RUZ UP),51.6000,52.2000,31.8951,0.3214,81,1.054,15.0812%,15.2243%,15.3671%,17.2913%,17.4592%,17.6269%,4.8151%, 3,2007 Sep,890.00,(RUZ IR),12.10,12.70,0.0000,(RUZ UR),57.8000,58.8000,41.7416,0.3214,81,1.066,14.5768%,14.7612%,14.9448%,16.9564%,17.2501%,17.5426%,4.8151%, 3,2007 Sep,900.00,(RUZ IT),9.30,9.70,0.0000,(RUZ UT),64.5000,65.6000,51.5880,0.3214,81,1.078,14.2977%,14.4327%,14.5670%,16.6486%,16.9936%,17.3359%,4.8151%, 3,2007 Sep,910.00,(RUZ IV),6.70,7.20,0.0000,(RUZ UV),71.9000,72.8000,61.4344,0.3214,81,1.090,13.8039%,13.9959%,14.1859%,16.5208%,16.8262%,17.1287%,4.8151%, 3,2007 Sep,920.00,(RUZ IW),4.80,5.20,0.0000,(RUZ UW),79.8000,80.7000,71.2808,0.3214,81,1.102,13.4690%,13.6487%,13.8257%,16.4940%,16.8278%,17.1567%,4.8151%, 3,2007 Sep,930.00,(RUZ IX),3.20,3.70,0.0000,(RUZ UX),88.0000,89.1000,81.1273,0.3214,81,1.114,13.0006%,13.2754%,13.5418%,16.4629%,16.9133%,17.3527%,4.8151%, 3,2007 Sep,940.00,(RUZ IY),2.20,2.55,0.0000,(RUZ UY),96.6000,97.8000,90.9737,0.3214,81,1.126,12.7883%,13.0276%,13.2586%,16.5511%,17.0954%,17.6206%,4.8151%, 3,2007 Sep,950.00,(RUZ IU),1.45,1.75,0.0000,(RUZ UU),105.7000,107.1000,100.8201,0.3214,81,1.138,12.5487%,12.8130%,13.0645%,16.9391%,17.6295%,18.2864%,4.8151%, 3,2007 Dec,550.00,(RUW LJ),292.50,294.20,299.7644,(RUW XJ),1.4500,1.7500,0.0000,0.5754,145,0.659,-41.2897%,-40.0867%,-38.8017%,30.0140%,30.5031%,30.9650%,4.8623%, 3,2007 Dec,560.00,(RUW LL),283.10,284.70,290.0403,(RUW XL),1.7000,2.0500,0.0000,0.5754,145,0.671,-39.4842%,-38.3560%,-37.1520%,29.7258%,30.2291%,30.7050%,4.8623%, 3,2007 Dec,570.00,(RUW LN),273.70,275.40,280.3162,(RUW XN),2.0000,2.4500,0.0000,0.5754,145,0.683,-37.7115%,-36.5113%,-35.2188%,29.4759%,30.0450%,30.5815%,4.8623%, 3,2007 Dec,580.00,(RUW LP),264.30,266.20,270.5921,(RUW XP),2.3000,2.7000,0.0000,0.5754,145,0.695,-35.9703%,-34.6226%,-33.1473%,29.1258%,29.5820%,30.0177%,4.8623%, 3,2007 Dec,590.00,(RUW LR),255.00,257.00,260.8680,(RUW XR),2.7000,3.2000,0.0000,0.5754,145,0.707,-34.1223%,-32.6847%,-31.0863%,28.9060%,29.4108%,29.8924%,4.8623%, 3,2007 Dec,600.00,(RUW LT),245.80,247.60,251.1439,(RUW XT),3.1000,3.7000,0.0000,0.5754,145,0.719,-32.1626%,-30.8441%,-29.3789%,28.5825%,29.1270%,29.6460%,4.8623%, 3,2007 Dec,610.00,(RUY LB),236.60,238.50,241.4198,(RUY XB),3.6000,4.2000,0.0000,0.5754,145,0.731,-30.2233%,-28.7854%,-27.1462%,28.3442%,28.8337%,29.3039%,4.8623%, 3,2007 Dec,620.00,(RUY LD),227.40,229.40,231.6957,(RUY XD),4.1000,4.6000,0.0000,0.5754,145,0.743,-28.3004%,-26.7229%,-24.8591%,28.0081%,28.3803%,28.7417%,4.8623%, 3,2007 Dec,630.00,(RUY LF),218.30,220.20,221.9716,(RUY XF),4.8000,5.2000,0.0000,0.5754,145,0.755,-26.2342%,-24.6414%,-22.6995%,27.8661%,28.1343%,28.3973%,4.8623%, 3,2007 Dec,640.00,(RUY LH),209.30,211.10,212.2475,(RUY XH),5.4000,5.9000,0.0000,0.5754,145,0.767,-23.9861%,-22.3120%,-20.1324%,27.4873%,27.7942%,28.0947%,4.8623%, 3,2007 Dec,650.00,(RUY LJ),200.30,202.10,202.5234,(RUY XJ),6.1000,6.6000,0.0000,0.5754,145,0.779,-21.6640%,-19.6896%,-16.5282%,27.1500%,27.4316%,27.7082%,4.8623%, 3,2007 Dec,660.00,(RUY LL),191.50,193.20,192.7993,(RUY XL),7.0000,7.3000,0.0000,0.5754,145,0.791,-18.7062%,-15.8546%,15.6067%,26.9422%,27.0969%,27.2503%,4.8623%, 3,2007 Dec,670.00,(RUY LN),182.60,184.40,183.0752,(RUY XN),7.8000,8.3000,0.0000,0.5754,145,0.803,-15.1744%,14.9371%,17.8559%,26.5395%,26.7778%,27.0131%,4.8623%, 3,2007 Dec,680.00,(RUY LP),174.20,175.70,173.3511,(RUY XP),8.8000,9.2000,0.0000,0.5754,145,0.815,15.7102%,17.5456%,18.9246%,26.2444%,26.4208%,26.5956%,4.8623%, 3,2007 Dec,690.00,(RUY LR),165.60,167.00,163.6270,(RUY XR),9.8000,10.3000,0.0000,0.5754,145,0.827,17.3206%,18.4504%,19.4327%,25.8636%,26.0686%,26.2716%,4.8623%, 3,2007 Dec,700.00,(RUT LT),157.00,158.40,153.9029,(RUT XT),10.9000,11.4000,0.0000,0.5754,145,0.839,18.0495%,18.9340%,19.7422%,25.4851%,25.6763%,25.8660%,4.8623%, 3,2007 Dec,710.00,(RUT LB),148.50,150.00,144.1788,(RUT XB),12.2000,12.8000,0.0000,0.5754,145,0.851,18.4847%,19.2716%,20.0079%,25.1744%,25.3883%,25.6006%,4.8623%, 3,2007 Dec,720.00,(RUT LD),140.20,141.50,134.4547,(RUT XD),13.5000,14.2000,0.0000,0.5754,145,0.863,18.8259%,19.4126%,19.9752%,24.7785%,25.0128%,25.2452%,4.8623%, 3,2007 Dec,730.00,(RUT LF),132.00,133.40,124.7306,(RUT XF),14.9000,15.5000,0.0000,0.5754,145,0.875,19.0094%,19.5652%,20.1029%,24.3701%,24.5593%,24.7474%,4.8623%, 3,2007 Dec,740.00,(RUT LH),123.60,125.30,115.0065,(RUT XH),16.5000,17.2000,0.0000,0.5754,145,0.887,18.8550%,19.4665%,20.0593%,24.0051%,24.2133%,24.4203%,4.8623%, 3,2007 Dec,750.00,(RUT LJ),115.70,117.20,105.2824,(RUT XJ),18.2000,19.0000,0.0000,0.5754,145,0.899,18.9079%,19.3979%,19.8778%,23.6144%,23.8396%,24.0637%,4.8623%, 3,2007 Dec,760.00,(RUT LL),107.90,109.50,95.5583,(RUT XL),20.1000,20.8000,0.0000,0.5754,145,0.911,18.8626%,19.3426%,19.8146%,23.2497%,23.4369%,23.6233%,4.8623%, 3,2007 Dec,770.00,(RUT LN),100.20,101.60,85.8342,(RUT XN),22.0000,22.8000,0.0000,0.5754,145,0.923,18.7328%,19.1232%,19.5092%,22.7994%,23.0035%,23.2068%,4.8623%, 3,2007 Dec,780.00,(RUT LP),92.80,94.10,76.1101,(RUT XP),24.3000,25.1000,0.0000,0.5754,145,0.935,18.6321%,18.9710%,19.3072%,22.4645%,22.6594%,22.8538%,4.8623%, 3,2007 Dec,790.00,(RUT LR),85.50,86.80,66.3860,(RUT XR),26.7000,27.4000,0.0000,0.5754,145,0.947,18.4490%,18.7685%,19.0862%,22.0841%,22.2477%,22.4111%,4.8623%, 3,2007 Dec,800.00,(RUT LS),78.30,79.80,56.6619,(RUT XS),29.4000,30.1000,0.0000,0.5754,145,0.959,18.1897%,18.5399%,18.8885%,21.7480%,21.9056%,22.0630%,4.8623%, 3,2007 Dec,810.00,(RUZ LB),71.60,72.80,46.9378,(RUZ XB),32.2000,33.0000,0.0000,0.5754,145,0.971,18.0363%,18.3041%,18.5711%,21.3589%,21.5331%,21.7072%,4.8623%, 3,2007 Dec,820.00,(RUZ LD),64.90,66.20,37.2137,(RUZ XD),35.3000,36.1000,0.0000,0.5754,145,0.983,17.7546%,18.0339%,18.3126%,21.0007%,21.1700%,21.3392%,4.8623%, 3,2007 Dec,830.00,(RUZ LF),58.50,59.90,27.4896,(RUZ XF),38.6000,39.4000,0.0000,0.5754,145,0.995,17.4765%,17.7679%,18.0592%,20.6242%,20.7895%,20.9547%,4.8623%, 3,2007 Dec,840.00,(RUZ LH),52.50,53.70,17.7655,(RUZ XH),42.2000,43.0000,0.0000,0.5754,145,1.006,17.2356%,17.4795%,17.7233%,20.2658%,20.4279%,20.5900%,4.8623%, 3,2007 Dec,850.00,(RUZ LJ),46.50,47.80,8.0414,(RUZ XJ),46.1000,47.0000,0.0000,0.5754,145,1.018,16.8642%,17.1240%,17.3839%,19.9192%,20.0992%,20.2791%,4.8623%, 3,2007 Dec,860.00,(RUZ LL),41.00,42.30,0.0000,(RUZ XL),50.3000,51.3000,1.6827,0.5754,145,1.030,16.5590%,16.8166%,17.0743%,19.5794%,19.7777%,19.9761%,4.8623%, 3,2007 Dec,870.00,(RUZ LN),36.10,37.00,0.0000,(RUZ XN),54.8000,55.8000,11.4068,0.5754,145,1.042,16.3523%,16.5306%,16.7090%,19.2416%,19.4397%,19.6377%,4.8623%, 3,2007 Dec,880.00,(RUZ LP),31.30,32.30,0.0000,(RUZ XP),59.7000,60.6000,21.1309,0.5754,145,1.054,16.0422%,16.2422%,16.4421%,18.9422%,19.1213%,19.3003%,4.8623%, 3,2007 Dec,890.00,(RUZ LR),27.00,27.90,0.0000,(RUZ XR),65.0000,66.1000,30.8550,0.5754,145,1.066,15.7848%,15.9682%,16.1514%,18.6790%,18.9005%,19.1218%,4.8623%, 3,2007 Dec,900.00,(RUZ LT),22.90,23.90,0.0000,(RUZ XT),70.8000,71.6000,40.5792,0.5754,145,1.078,15.4558%,15.6658%,15.8753%,18.4934%,18.6575%,18.8215%,4.8623%, 3,2007 Dec,910.00,(RUZ LV),19.40,20.20,0.0000,(RUZ XV),76.7000,77.8000,50.3033,0.5754,145,1.090,15.2216%,15.3965%,15.5710%,18.2226%,18.4542%,18.6854%,4.8623%, 3,2007 Dec,920.00,(RUZ LW),16.00,16.90,0.0000,(RUZ XW),83.1000,84.3000,60.0274,0.5754,145,1.102,14.8660%,15.0739%,15.2807%,18.0343%,18.2955%,18.5557%,4.8623%, 3,2007 Dec,930.00,(RUZ LX),13.20,14.00,0.0000,(RUZ XX),89.9000,91.0000,69.7515,0.5754,145,1.114,14.6158%,14.8132%,15.0092%,17.8949%,18.1441%,18.3921%,4.8623%, 3,2007 Dec,940.00,(RUZ LY),10.80,11.50,0.0000,(RUZ XY),97.0000,98.3000,79.4756,0.5754,145,1.126,14.3938%,14.5806%,14.7658%,17.7682%,18.0765%,18.3826%,4.8623%, 3,2007 Dec,950.00,(RUZ LU),8.60,9.20,0.0000,(RUZ XU),104.5000,105.8000,89.1997,0.5754,145,1.138,14.0999%,14.2763%,14.4509%,17.7124%,18.0370%,18.3584%,4.8623%, 3,2008 Mar,550.00,(RUW CJ),297.30,299.30,305.8228,(RUW OJ),2.9500,3.5000,0.0000,0.8135,205,0.659,-36.8710%,-35.7513%,-34.5575%,29.2336%,29.7396%,30.2220%,4.8396%, 3,2008 Mar,560.00,(RUW CL),288.30,290.20,296.2088,(RUW OL),3.4000,4.0000,0.0000,0.8135,205,0.671,-35.0260%,-33.9498%,-32.7994%,29.0389%,29.5362%,30.0119%,4.8396%, 3,2008 Mar,570.00,(RUW CN),279.10,281.10,286.5949,(RUW ON),3.9000,4.5000,0.0000,0.8135,205,0.683,-33.4286%,-32.2908%,-31.0633%,28.8390%,29.2896%,29.7234%,4.8396%, 3,2008 Mar,580.00,(RUW CP),270.10,272.10,276.9809,(RUW OP),4.4000,4.9000,0.0000,0.8135,205,0.695,-31.6367%,-30.4768%,-29.2139%,28.5592%,28.9039%,29.2392%,4.8396%, 3,2008 Mar,590.00,(RUW CR),261.20,263.10,267.3670,(RUW OR),5.0000,5.5000,0.0000,0.8135,205,0.707,-29.7515%,-28.6158%,-27.3697%,28.3422%,28.6570%,28.9642%,4.8396%, 3,2008 Mar,600.00,(RUW CT),252.30,254.20,257.7530,(RUW OT),5.6000,6.3000,0.0000,0.8135,205,0.719,-27.8773%,-26.6946%,-25.3740%,28.0507%,28.4549%,28.8475%,4.8396%, 3,2008 Mar,610.00,(RUY CB),243.40,245.30,248.1391,(RUY OB),6.3000,6.9000,0.0000,0.8135,205,0.731,-26.0070%,-24.7612%,-23.3354%,27.8053%,28.1249%,28.4376%,4.8396%, 3,2008 Mar,620.00,(RUY CD),234.60,236.50,238.5251,(RUY OD),7.1000,7.8000,0.0000,0.8135,205,0.743,-23.9987%,-22.6443%,-21.0233%,27.5910%,27.9340%,28.2698%,4.8396%, 3,2008 Mar,630.00,(RUY CF),225.90,227.80,228.9112,(RUY OF),7.9000,8.5000,0.0000,0.8135,205,0.755,-21.7992%,-20.2407%,-18.1769%,27.3046%,27.5780%,27.8470%,4.8396%, 3,2008 Mar,640.00,(RUY CH),217.20,219.10,219.2972,(RUY OH),8.8000,9.4000,0.0000,0.8135,205,0.767,-19.4632%,-17.4950%,-13.7086%,27.0424%,27.2965%,27.5471%,4.8396%, 3,2008 Mar,650.00,(RUY CJ),208.60,210.50,209.6833,(RUY OJ),9.7000,10.4000,0.0000,0.8135,205,0.779,-16.5693%,-12.5085%,15.8394%,26.7159%,26.9929%,27.2659%,4.8396%, 3,2008 Mar,660.00,(RUY CL),200.10,202.00,200.0693,(RUY OL),10.8000,11.4000,0.0000,0.8135,205,0.791,10.2974%,15.5591%,17.5241%,26.4828%,26.7045%,26.9239%,4.8396%, 3,2008 Mar,670.00,(RUY CN),191.60,193.50,190.4554,(RUY ON),11.9000,12.4000,0.0000,0.8135,205,0.803,15.2107%,16.9835%,18.3390%,26.1825%,26.3560%,26.5282%,4.8396%, 3,2008 Mar,680.00,(RUY CP),183.30,185.10,180.8414,(RUY OP),13.0000,13.8000,0.0000,0.8135,205,0.815,16.7076%,17.8661%,18.8732%,25.8234%,26.0845%,26.3429%,4.8396%, 3,2008 Mar,690.00,(RUY CR),175.00,176.80,171.2275,(RUY OR),14.3000,15.0000,0.0000,0.8135,205,0.827,17.4657%,18.3903%,19.2333%,25.5356%,25.7510%,25.9647%,4.8396%, 3,2008 Mar,700.00,(RUT CT),166.80,168.60,161.6135,(RUT OT),15.6000,16.4000,0.0000,0.8135,205,0.839,17.9598%,18.7400%,19.4708%,25.1873%,25.4202%,25.6513%,4.8396%, 3,2008 Mar,710.00,(RUT CB),158.70,160.50,151.9996,(RUT OB),17.1000,17.9000,0.0000,0.8135,205,0.851,18.2857%,18.9663%,19.6149%,24.8954%,25.1160%,25.3350%,4.8396%, 3,2008 Mar,720.00,(RUT CD),150.80,152.50,142.3856,(RUT OD),18.6000,19.6000,0.0000,0.8135,205,0.863,18.5598%,19.1314%,19.6837%,24.5430%,24.8049%,25.0649%,4.8396%, 3,2008 Mar,730.00,(RUT CF),142.80,144.60,132.7717,(RUT OF),20.3000,21.1000,0.0000,0.8135,205,0.875,18.6036%,19.1541%,19.6892%,24.2355%,24.4351%,24.6337%,4.8396%, 3,2008 Mar,740.00,(RUT CH),135.10,136.80,123.1577,(RUT OH),22.0000,23.1000,0.0000,0.8135,205,0.887,18.6970%,19.1733%,19.6398%,23.8681%,24.1300%,24.3904%,4.8396%, 3,2008 Mar,750.00,(RUT CJ),127.50,129.20,113.5438,(RUT OJ),24.0000,24.9000,0.0000,0.8135,205,0.899,18.7173%,19.1583%,19.5922%,23.5823%,23.7872%,23.9914%,4.8396%, 3,2008 Mar,760.00,(RUT CL),120.00,121.70,103.9299,(RUT OL),26.0000,27.0000,0.0000,0.8135,205,0.911,18.6749%,19.0868%,19.4935%,23.2333%,23.4518%,23.6695%,4.8396%, 3,2008 Mar,770.00,(RUT CN),112.70,114.40,94.3159,(RUT ON),28.2000,29.2000,0.0000,0.8135,205,0.923,18.6225%,19.0096%,19.3930%,22.9097%,23.1197%,23.3291%,4.8396%, 3,2008 Mar,780.00,(RUT CP),105.40,107.10,84.7020,(RUT OP),30.7000,31.7000,0.0000,0.8135,205,0.935,18.4709%,18.8377%,19.2018%,22.6457%,22.8480%,23.0499%,4.8396%, 3,2008 Mar,790.00,(RUT CR),98.50,100.00,75.0880,(RUT OR),33.3000,34.2000,0.0000,0.8135,205,0.947,18.3956%,18.7036%,19.0100%,22.3539%,22.5299%,22.7056%,4.8396%, 3,2008 Mar,800.00,(RUT CS),91.50,93.10,65.4741,(RUT OS),36.0000,36.9000,0.0000,0.8135,205,0.959,18.1857%,18.5003%,18.8136%,22.0341%,22.2047%,22.3751%,4.8396%, 3,2008 Mar,810.00,(RUZ CB),84.90,86.40,55.8601,(RUZ OB),38.9000,39.8000,0.0000,0.8135,205,0.971,18.0431%,18.3267%,18.6096%,21.7226%,21.8884%,22.0541%,4.8396%, 3,2008 Mar,820.00,(RUZ CD),78.50,79.90,46.2462,(RUZ OD),42.0000,42.9000,0.0000,0.8135,205,0.983,17.8837%,18.1396%,18.3951%,21.4156%,21.5773%,21.7390%,4.8396%, 3,2008 Mar,830.00,(RUZ CF),72.10,73.60,36.6322,(RUZ OF),45.2000,46.2000,0.0000,0.8135,205,0.995,17.6351%,17.9016%,18.1678%,21.0748%,21.2506%,21.4264%,4.8396%, 3,2008 Mar,840.00,(RUZ CH),66.10,67.60,27.0183,(RUZ OH),48.8000,49.8000,0.0000,0.8135,205,1.006,17.4396%,17.6998%,17.9599%,20.8028%,20.9754%,21.1480%,4.8396%, 3,2008 Mar,850.00,(RUZ CJ),60.40,61.90,17.4043,(RUZ OJ),52.5000,53.6000,0.0000,0.8135,205,1.018,17.2565%,17.5120%,17.7674%,20.4915%,20.6786%,20.8657%,4.8396%, 3,2008 Mar,860.00,(RUZ CL),54.80,56.30,7.7904,(RUZ OL),56.5000,57.6000,0.0000,0.8135,205,1.030,17.0157%,17.2678%,17.5200%,20.2071%,20.3921%,20.5771%,4.8396%, 3,2008 Mar,870.00,(RUZ CN),49.60,51.00,0.0000,(RUZ ON),60.7000,61.8000,1.8236,0.8135,205,1.042,16.8164%,17.0499%,17.2835%,19.9129%,20.0966%,20.2803%,4.8396%, 3,2008 Mar,880.00,(RUZ CP),44.60,46.00,0.0000,(RUZ OP),65.3000,66.4000,11.4375,0.8135,205,1.054,16.5890%,16.8221%,17.0553%,19.6735%,19.8567%,20.0399%,4.8396%, 3,2008 Mar,890.00,(RUZ CR),39.90,41.20,0.0000,(RUZ OR),70.1000,71.2000,21.0515,0.8135,205,1.066,16.3654%,16.5828%,16.8001%,19.4204%,19.6038%,19.7872%,4.8396%, 3,2008 Mar,900.00,(RUZ CT),35.50,36.70,0.0000,(RUZ OT),75.2000,76.3000,30.6654,0.8135,205,1.078,16.1441%,16.3470%,16.5496%,19.1858%,19.3703%,19.5547%,4.8396%, 3,2008 Mar,910.00,(RUZ CV),31.40,32.60,0.0000,(RUZ OV),80.6000,81.7000,40.2794,0.8135,205,1.090,15.9243%,16.1307%,16.3367%,18.9692%,19.1556%,19.3419%,4.8396%, 3,2008 Mar,920.00,(RUZ CW),27.80,28.70,0.0000,(RUZ OW),86.4000,87.5000,49.8933,0.8135,205,1.102,15.7762%,15.9347%,16.0929%,18.8054%,18.9946%,19.1836%,4.8396%, 3,2008 Mar,930.00,(RUZ CX),24.00,25.10,0.0000,(RUZ OX),92.3000,93.6000,59.5073,0.8135,205,1.114,15.4522%,15.6523%,15.8518%,18.5922%,18.8203%,19.0480%,4.8396%, 3,2008 Jun,600.00,(YQV FH),258.60,260.90,264.6563,(YQV RH),8.3000,9.0000,0.0000,1.0675,269,0.719,-25.6015%,-24.3871%,-23.0158%,27.6836%,27.9834%,28.2778%,4.8161%, 3,2008 Jun,650.00,(YQV FM),216.30,218.80,217.1618,(YQV RM),13.2000,14.2000,0.0000,1.0675,269,0.779,-14.4458%,12.8852%,16.0789%,26.3845%,26.6966%,27.0044%,4.8161%, 3,2008 Jun,700.00,(YQV FR),176.20,178.40,169.6674,(YQV RR),20.0000,21.1000,0.0000,1.0675,269,0.839,17.3815%,18.1558%,18.8845%,25.0262%,25.2910%,25.5537%,4.8161%, 3,2008 Jun,750.00,(YQV FW),138.20,140.70,122.1729,(YQV RW),29.0000,30.4000,0.0000,1.0675,269,0.899,18.1487%,18.7069%,19.2543%,23.5472%,23.8208%,24.0931%,4.8161%, 3,2008 Jun,800.00,(YQV FB),103.40,106.00,74.6784,(YQV RB),41.1000,42.8000,0.0000,1.0675,269,0.959,17.8873%,18.3383%,18.7866%,22.0944%,22.3777%,22.6604%,4.8161%, 3,2008 Jun,850.00,(YQV FG),72.60,75.00,27.1840,(YQV RG),57.3000,59.3000,0.0000,1.0675,269,1.018,17.1627%,17.5249%,17.8869%,20.7432%,21.0440%,21.3447%,4.8161%, 3,2008 Jun,900.00,(YQV FL),47.00,49.00,0.0000,(YQV RL),78.6000,80.9000,20.3105,1.0675,269,1.078,16.2687%,16.5598%,16.8509%,19.5531%,19.8874%,20.2217%,4.8161%, 3,2008 Dec,550.00,(YQV LK),312.50,315.70,324.3320,(YQV XK),8.8000,9.5000,0.0000,1.5714,396,0.659,-30.7117%,-29.5455%,-28.2934%,28.4297%,28.7097%,28.9848%,4.7728%, 3,2008 Dec,600.00,(YQV LH),271.30,274.40,277.9449,(YQV XH),13.4000,14.4000,0.0000,1.5714,396,0.719,-22.6497%,-21.2962%,-19.7087%,27.2976%,27.5952%,27.8886%,4.7728%, 3,2008 Dec,650.00,(YQV LM),231.60,234.60,231.5578,(YQV XM),19.6000,20.8000,0.0000,1.5714,396,0.779,8.9241%,13.9812%,15.8954%,26.1825%,26.4609%,26.7367%,4.7728%, 3,2008 Dec,700.00,(YQV LR),193.70,196.60,185.1707,(YQV XR),27.5000,29.0000,0.0000,1.5714,396,0.839,16.6352%,17.4254%,18.1711%,24.9958%,25.2789%,25.5602%,4.7728%, 3,2008 Dec,750.00,(YQV LW),157.90,160.80,138.7836,(YQV XW),37.5000,39.2000,0.0000,1.5714,396,0.899,17.5363%,18.0699%,18.5938%,23.7911%,24.0622%,24.3323%,4.7728%, 3,2008 Dec,800.00,(YQV LB),124.60,127.40,92.3965,(YQV XB),50.2000,52.1000,0.0000,1.5714,396,0.959,17.4921%,17.9037%,18.3129%,22.6393%,22.9047%,23.1695%,4.7728%, 3,2008 Dec,805.00,(YQV LA-A),121.50,124.40,87.7578,(YQV XA-A),51.5000,53.6000,0.0000,1.5714,396,0.965,17.4804%,17.8993%,18.3160%,22.4894%,22.7794%,23.0690%,4.7728%, 3,2008 Dec,850.00,(YQV LG),94.80,97.40,46.0094,(YQV XG),65.9000,68.3000,0.0000,1.5714,396,1.018,17.1317%,17.4652%,17.7984%,21.4996%,21.8047%,22.1097%,4.7728%, 3,2008 Dec,900.00,(YQV LL),68.60,71.10,0.0000,(YQV XL),86.3000,88.3000,0.3777,1.5714,396,1.078,16.5068%,16.8079%,17.1090%,20.6846%,20.9261%,21.1678%,4.7728%, 4,[], 1,RUT (RUSSELL 2000 INDEX),834.59 2,May,29,2007,@ 14:23 ET 868686, 2,666,Cont1/Stop2, Option-Chain I Vol Tail 2,3239155,2,Import Option-chain I Vol 2,666,Cont1/Stop2, Import Option-chain I Vol 2,320,2,Import Option-chain I Vol 3,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 3,700,2,Rehearsal Script,0,Of course there's no such thing as negative volatility. Nonetheless in the marketplace we sometimes find bid and ask prices that are less than the theoretical value would be with an expected volatility of zero. To preserve those data points we assign them negative vols as a measure from which we can calculate option prices. 2,666,Cont1/Stop2, Option-Chain I Vol Close 2,324,1,Import Option-chain I Close 6,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 6,700,2,Rehearsal Script,0,To calculate option values we'll need to know risk-free rates over different times to expiration. We [ADVANCE. TAP SPACE BAR OR CLICK GREEN CIRCLE] bring in Federal Reserve data that we use as yield-curve information. 7,666,Cont1/Stop2, H15 Release Header 7,421,1,H15 Release Header The weekly release is posted on Monday. Daily updates of the weekly release are posted Tuesday through Friday on this site. If Monday is a holiday, the weekly release will be posted on Tuesday after the holiday and the daily update will not be posted on that Tuesday. FEDERAL RESERVE STATISTICAL RELEASE H.15 DAILY UPDATE: WEB RELEASE ONLY SELECTED INTEREST RATES For use at 4:15 p.m. Eastern Time Yields in percent per annum May 25, 2007 2007 2007 2007 2007 Instruments May May May May 21 22 23 24 Federal funds (effective) 1 2 3 5.24 5.23 5.25 5.24 Commercial Paper 3 4 5 Nonfinancial 1-month 5.23 5.25 5.22 5.23 2-month 5.18 5.23 5.20 5.24 3-month 5.18 5.18 5.20 5.20 Financial 1-month 5.23 5.24 5.24 5.23 2-month 5.23 5.23 5.22 5.24 3-month 5.24 5.23 5.22 5.24 CDs (secondary market) 3 6 1-month 5.28 5.29 5.28 5.27 3-month 5.31 5.31 5.31 5.31 6-month 5.33 5.33 5.33 5.32 Eurodollar deposits (London) 3 7 1-month 5.32 5.32 5.32 5.32 3-month 5.35 5.35 5.35 5.35 6-month 5.36 5.36 5.37 5.37 Bank prime loan 2 3 8 8.25 8.25 8.25 8.25 Discount window primary credit 2 9 6.25 6.25 6.25 6.25 U.S. government securities Treasury bills (secondary market) 3 4 4-week 4.76 4.91 4.90 4.90 3-month 4.76 4.79 4.77 4.77 6-month 4.81 4.82 4.81 4.79 Treasury constant maturities Nominal 10 1-month 4.85 5.01 5.00 4.99 3-month 4.88 4.93 4.91 4.91 6-month 5.01 5.02 5.01 4.99 1-year 4.95 4.96 4.96 4.94 2-year 4.81 4.83 4.85 4.85 3-year 4.74 4.77 4.79 4.80 5-year 4.71 4.76 4.79 4.79 7-year 4.73 4.78 4.80 4.80 10-year 4.79 4.83 4.86 4.86 20-year 5.02 5.06 5.09 5.09 30-year 4.94 4.98 5.01 5.00 Inflation indexed 11 5-year 2.36 2.42 2.44 2.43 7-year 2.38 2.43 2.45 2.42 10-year 2.43 2.48 2.50 2.48 20-year 2.49 2.54 2.55 2.52 Inflation-indexed long-term average 12 2.48 2.52 2.53 2.50 Interest rate swaps 13 1-year 5.39 5.38 5.40 5.40 2-year 5.25 5.22 5.25 5.28 3-year 5.21 5.18 5.21 5.25 4-year 5.21 5.18 5.22 5.27 5-year 5.24 5.21 5.25 5.30 7-year 5.29 5.26 5.31 5.36 10-year 5.37 5.34 5.39 5.44 30-year 5.56 5.52 5.58 5.62 Corporate bonds Moody's seasoned Aaa 14 5.50 5.54 5.57 5.56 Baa 6.42 6.46 6.49 6.49 State & local bonds 15 4.38 Conventional mortgages 16 6.37 ---------------------------------------------------------------------------------------------------- Footnotes 1. The daily effective federal funds rate is a weighted average of rates on brokered trades. 2. Weekly figures are averages of 7 calendar days ending on Wednesday of the current week; monthly figures include each calendar day in the month. 3. Annualized using a 360-day year or bank interest. 4. On a discount basis. 5. Interest rates interpolated from data on certain commercial paper trades settled by The Depository Trust Company. The trades represent sales of commercial paper by dealers or direct issuers to investors (that is, the offer side). The 1-, 2-, and 3-month rates are equivalent to the 30-, 60-, and 90-day dates reported on the Board's Commercial Paper Web page (www.federalreserve.gov/releases/cp/). 6. An average of dealer bid rates on nationally traded certificates of deposit. 7. Bid rates for Eurodollar deposits collected around 9:30 a.m. Eastern time. 8. Rate posted by a majority of top 25 (by assets in domestic offices) insured U.S.-chartered commercial banks. Prime is one of several base rates used by banks to price short-term business loans. 9. The rate charged for discounts made and advances extended under the Federal Reserve's primary credit discount window program, which became effective January 9, 2003. This rate replaces that for adjustment credit, which was discontinued after January 8, 2003. For further information, see www.federalreserve.gov/boarddocs/press/bcreg/2002/200210312/default.htm. The rate reported is that for the Federal Reserve Bank of New York. Historical series for the rate on adjustment credit as well as the rate on primary credit are available at www.federalreserve.gov/releases/h15/data.htm. 10. Yields on actively traded non-inflation-indexed issues adjusted to constant maturities. The 30-year Treasury constant maturity series was discontinued on February 18, 2002, and reintroduced on February 9, 2006. From February 18, 2002, to February 9, 2006, the U.S. Treasury published a factor for adjusting the daily nominal 20-year constant maturity in order to estimate a 30-year nominal rate. The historical adjustment factor can be found at www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ltcompositeindex_historical.shtml. Source: U.S. Treasury. 11. Yields on Treasury inflation protected securities (TIPS) adjusted to constant maturities. Source: U.S. Treasury. Additional information on both nominal and inflation-indexed yields may be found at www.treas.gov/offices/domestic-finance/debt-management/interest-rate/index.html. 12. Based on the unweighted average bid yields for all TIPS with remaining terms to maturity of more than 10 years. 13. International Swaps and Derivatives Association (ISDA(R)) mid-market par swap rates. Rates are for a Fixed Rate Payer in return for receiving three month LIBOR, and are based on rates collected at 11:00 a.m. Eastern time by Garban Intercapital plc and published on Reuters Page ISDAFIX(R)1. ISDAFIX is a registered service mark of ISDA. Source: Reuters Limited. 14. Moody's Aaa rates through December 6, 2001, are averages of Aaa utility and Aaa industrial bond rates. As of December 7, 2001, these rates are averages of Aaa industrial bonds only. 15. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Thursday quotations. 16. Contract interest rates on commitments for fixed-rate first mortgages. Source: FHLMC. ---------------------------------------------------------------------------------------------------- Note: Weekly and monthly figures on this release, as well as annual figures available on the Board's historical H.15 web site (see below), are averages of business days unless otherwise noted. ---------------------------------------------------------------------------------------------------- Current and historical H.15 data are available on the Federal Reserve Board's web site (www.federalreserve.gov/). For information about individual copies or subscriptions, contact Publications Services at the Federal Reserve Board (phone 202-452-3244, fax 202-728-5886). For paid electronic access to current and historical data, call STAT-USA at 1-800-782-8872 or 202-482-1986. ---------------------------------------------------------------------------------------------------- Description of the Treasury Nominal and Inflation-Indexed Constant Maturity Series Yields on Treasury nominal securities at "constant maturity" are interpolated by the U.S. Treasury from the daily yield curve for non-inflation-indexed Treasury securities. This curve, which relates the yield on a security to its time to maturity, is based on the closing market bid yields on actively traded Treasury securities in the over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal Reserve Bank of New York. The constant maturity yield values are read from the yield curve at fixed maturities, currently 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yield for a 10-year maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity. Similarly, yields on inflation-indexed securities at "constant maturity" are interpolated from the daily yield curve for Treasury inflation protected securities in the over-the-counter market. The inflation-indexed constant maturity yields are read from this yield curve at fixed maturities, currently 5, 7, 10, and 20 years. ---------------------------------------------------------------------------------------------------- 868686, 7,666,Cont1/Stop2, H15 Release Tail 7,4229155,2,H15 Release Tail 7,666,Cont1/Stop2, Fed H.15 Yield Curve, Internet 1/Local2 7,420,2,Fed H.15 Yield Curve, 2, 66,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 66,700,2,Rehearsal Script,0,In risk-neutral non-arbitrage pricing theory the forecast average return of every investment is presumed to be the risk-free rate. Note here that the risk-free rate is around 5%. Sometimes the average return of our forecasts may be dramatically higher or lower than 5%. 76,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 76,700,2,Rehearsal Script,0,Of course the yield curve evolves over time but modeling potential evolutions of the yield curve is so complicated that at least in this demonstration we’re better off not to go there. ø Instead we simplify our task. We assume that interest rates vary along the yield curve but that the yield curve is static over time. 7,666,Cont1/Stop2, H15 Release Close 7,423,1,H15 Release Close 8,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 8,700,2,Rehearsal Script,0,We'll want to compare the implied volatilities of options with the RUT’s realized or historical volatility. To be able to we [ADVANCE. TAP SPACE BAR OR CLICK GREEN CIRCLE] bring in the RUT's historical prices. From those we compute realized vols for a range of reach-back periods from three days to the longest time to expiration from our option chain. 9,666,Cont1/Stop2, Historical Vol Header, Max Num Reach Back Days, Min Num Days To Use 9,521,1,Historical Vol Header, 396,10 Date,Open,High,Low,Close,Volume,Adj Close 2007-05-25,825.20,831.75,825.20,829.93,000,829.93 2007-05-24,836.29,840.61,821.28,823.80,000,823.80 2007-05-23,840.75,845.94,835.58,836.54,000,836.54 2007-05-22,833.56,841.38,832.16,839.92,000,839.92 2007-05-21,823.39,837.19,823.22,833.65,000,833.65 2007-05-18,818.20,825.25,814.65,823.66,000,823.66 2007-05-17,819.45,819.45,813.23,815.64,000,815.64 2007-05-16,814.72,820.21,810.61,820.20,000,820.20 2007-05-15,822.33,827.60,813.69,814.18,000,814.18 2007-05-14,828.93,831.15,820.65,822.33,000,822.33 2007-05-11,818.70,829.54,818.70,829.54,000,829.54 2007-05-10,832.71,832.71,818.56,818.63,000,818.63 2007-05-09,828.28,836.99,826.68,834.77,000,834.77 2007-05-08,830.33,830.90,821.74,830.90,000,830.90 2007-05-07,833.28,835.13,830.85,831.87,000,831.87 2007-05-04,830.23,832.88,827.82,832.88,000,832.88 2007-05-03,828.45,830.87,826.02,828.87,000,828.87 2007-05-02,816.39,829.90,816.39,828.46,000,828.46 2007-05-01,815.38,816.94,807.69,816.25,000,816.25 2007-04-30,829.91,830.43,814.21,814.57,000,814.57 2007-04-27,832.55,832.57,826.92,829.70,000,829.70 2007-04-26,831.87,835.17,827.00,833.80,000,833.80 2007-04-25,828.30,834.89,826.29,832.07,000,832.07 2007-04-24,828.34,829.31,820.20,826.36,000,826.36 2007-04-23,827.91,830.73,825.35,827.55,000,827.55 2007-04-20,823.55,829.43,823.55,828.86,000,828.86 2007-04-19,823.82,823.82,815.90,819.32,000,819.32 2007-04-18,827.41,827.55,823.32,824.38,000,824.38 2007-04-17,831.06,831.71,826.04,828.96,000,828.96 2007-04-16,821.12,831.49,821.12,831.44,000,831.44 2007-04-13,815.02,819.38,811.78,819.38,000,819.38 2007-04-12,807.14,815.05,803.14,815.05,000,815.05 2007-04-11,814.82,814.93,804.60,808.24,000,808.24 2007-04-10,811.41,816.13,811.40,814.51,000,814.51 2007-04-09,813.84,814.31,809.92,811.64,000,811.64 2007-04-05,810.86,813.90,810.35,813.35,000,813.35 2007-04-04,811.58,811.83,807.78,810.79,000,810.79 2007-04-03,804.02,813.37,804.02,811.77,000,811.77 2007-04-02,801.77,803.22,798.17,803.22,000,803.22 2007-03-30,799.95,804.33,794.42,800.71,000,800.71 2007-03-29,800.07,803.09,791.42,798.94,000,798.94 2007-03-28,799.95,800.87,792.97,797.40,000,797.40 2007-03-27,808.88,808.88,800.62,802.36,000,802.36 2007-03-26,810.00,811.05,802.13,808.94,000,808.94 2007-03-23,807.85,810.38,807.37,809.51,000,809.51 2007-03-22,808.40,809.28,804.59,808.05,000,808.05 2007-03-21,794.25,808.56,792.74,807.47,000,807.47 2007-03-20,786.59,793.61,785.58,793.60,000,793.60 2007-03-19,780.92,789.29,780.92,787.05,000,787.05 2007-03-16,783.44,784.79,776.49,778.77,000,778.77 2007-03-15,775.69,783.61,775.69,783.61,000,783.61 2007-03-14,768.52,776.77,761.06,775.68,000,775.68 2007-03-13,786.41,786.41,767.99,769.12,000,769.12 2007-03-12,784.64,789.88,783.44,789.00,000,789.00 2007-03-09,784.20,787.49,780.07,785.12,000,785.12 2007-03-08,780.29,786.75,778.89,781.14,000,781.14 2007-03-07,778.75,781.13,773.71,775.90,000,775.90 2007-03-06,764.32,781.83,764.32,778.88,000,778.88 2007-03-05,771.91,777.37,760.06,760.06,000,760.06 2007-03-02,788.20,788.61,775.17,775.44,000,775.44 2007-03-01,787.62,795.94,773.88,791.03,000,791.03 2007-02-28,793.26,797.45,784.42,793.30,000,793.30 2007-02-27,817.66,817.66,790.49,792.66,000,792.66 2007-02-26,828.03,829.40,818.24,823.69,000,823.69 2007-02-23,828.80,828.84,823.11,826.64,000,826.64 2007-02-22,827.63,830.01,822.72,829.44,000,829.44 2007-02-21,824.33,827.33,821.82,827.33,000,827.33 2007-02-20,816.87,827.18,812.19,826.11,000,826.11 2007-02-16,815.63,818.46,810.18,818.15,000,818.15 2007-02-15,814.32,817.64,812.01,815.43,000,815.43 2007-02-14,812.60,818.07,811.73,813.99,000,813.99 2007-02-13,806.98,812.53,806.98,812.53,000,812.53 2007-02-12,808.02,808.31,802.41,805.79,000,805.79 2007-02-09,815.98,817.01,803.61,807.11,000,807.11 2007-02-08,815.05,816.90,812.39,816.39,000,816.39 2007-02-07,811.16,816.20,809.41,816.20,000,816.20 2007-02-06,807.20,810.41,804.30,810.41,000,810.41 2007-02-05,809.20,810.49,805.36,806.69,000,806.69 2007-02-02,807.95,810.35,806.77,809.42,000,809.42 2007-02-01,802.02,807.77,801.92,807.77,000,807.77 2007-01-31,797.03,803.46,793.23,800.34,000,800.34 2007-01-30,793.60,798.24,791.84,797.97,000,797.97 2007-01-29,787.37,795.13,787.20,793.10,000,793.10 2007-01-26,784.23,789.07,778.34,788.14,000,788.14 2007-01-25,793.92,794.64,782.09,784.19,000,784.19 2007-01-24,786.59,794.06,786.59,794.03,000,794.03 2007-01-23,777.59,788.69,776.82,785.38,000,785.38 2007-01-22,784.96,785.04,775.83,777.96,000,777.96 2007-01-19,778.13,785.45,775.17,785.16,000,785.16 2007-01-18,788.13,788.19,776.87,778.21,000,778.21 2007-01-17,789.81,793.57,788.54,788.77,000,788.77 2007-01-16,794.28,799.30,789.63,791.48,000,791.48 2007-01-12,788.11,794.27,787.87,794.26,000,794.26 2007-01-11,779.50,791.00,779.50,788.45,000,788.45 2007-01-10,775.78,779.45,773.14,778.87,000,778.87 2007-01-09,777.10,778.74,768.69,778.33,000,778.33 2007-01-08,776.20,778.83,769.27,776.99,000,776.99 2007-01-05,787.70,787.70,774.55,775.87,000,775.87 2007-01-04,786.42,791.83,779.70,789.95,000,789.95 2007-01-03,788.31,796.62,779.31,787.42,000,787.42 2006-12-29,794.44,795.96,786.84,787.66,000,787.66 2006-12-28,796.98,798.53,793.41,794.48,000,794.48 2006-12-27,788.16,797.79,788.16,797.73,000,797.73 2006-12-26,780.29,788.59,779.80,788.17,000,788.17 2006-12-22,783.23,783.50,778.12,780.82,000,780.82 2006-12-21,785.90,789.61,780.63,782.90,000,782.90 2006-12-20,782.71,788.82,782.71,785.56,000,785.56 2006-12-19,780.28,784.04,775.33,782.10,000,782.10 2006-12-18,793.69,795.40,780.64,782.02,000,782.02 2006-12-15,795.09,798.13,792.26,792.71,000,792.71 2006-12-14,789.31,798.62,789.31,794.22,000,794.22 2006-12-13,790.71,792.88,785.94,788.75,000,788.75 2006-12-12,793.23,793.72,784.64,788.41,000,788.41 2006-12-11,792.54,795.16,790.12,793.07,000,793.07 2006-12-08,791.50,796.35,786.55,792.56,000,792.56 2006-12-07,796.53,798.45,791.18,792.29,000,792.29 2006-12-06,796.47,798.36,792.51,795.94,000,795.94 2006-12-05,797.16,801.01,795.16,797.42,000,797.42 2006-12-04,781.91,796.56,781.91,795.85,000,795.85 2006-12-01,785.71,787.11,773.06,781.17,000,781.17 2006-11-30,784.04,789.58,779.99,786.12,000,786.12 2006-11-29,776.86,785.04,776.86,784.16,000,784.16 2006-11-28,771.21,775.13,767.81,774.82,000,774.82 2006-11-27,790.79,790.79,771.78,772.11,000,772.11 2006-11-24,792.03,794.25,787.18,792.28,000,792.28 2006-11-22,792.75,795.17,790.58,792.91,000,792.91 2006-11-21,790.55,792.45,788.04,792.17,000,792.17 2006-11-20,788.47,792.43,786.40,790.62,000,790.62 2006-11-17,790.74,790.74,783.47,788.47,000,788.47 2006-11-16,791.91,793.64,788.81,790.75,000,790.75 2006-11-15,785.03,794.18,784.76,791.96,000,791.96 2006-11-14,772.38,785.17,769.27,785.06,000,785.06 2006-11-13,769.10,773.73,767.34,772.41,000,772.41 2006-11-10,762.06,769.15,761.33,769.15,000,769.15 2006-11-09,769.84,771.07,758.37,762.06,000,762.06 2006-11-08,764.33,771.80,760.68,769.84,000,769.84 2006-11-07,763.08,772.22,762.60,764.39,000,764.39 2006-11-06,752.72,764.85,752.72,763.08,000,763.08 2006-11-03,750.12,755.69,747.08,752.73,000,752.73 2006-11-02,752.12,753.23,746.29,750.12,000,750.12 2006-11-01,766.82,769.89,751.61,752.15,000,752.15 2006-10-31,770.36,772.09,762.48,766.84,000,766.84 2006-10-30,765.80,771.46,760.70,770.36,000,770.36 2006-10-27,775.93,775.93,764.83,765.84,000,765.84 2006-10-26,767.14,776.04,764.23,776.04,000,776.04 2006-10-25,762.42,768.79,760.28,767.15,000,767.15 2006-10-24,763.52,763.70,758.86,762.43,000,762.43 2006-10-23,762.13,767.05,756.27,763.52,000,763.52 2006-10-20,767.39,768.32,760.24,762.13,000,762.13 2006-10-19,763.41,768.39,760.77,767.39,000,767.39 2006-10-18,764.88,771.82,761.46,763.40,000,763.40 2006-10-17,769.48,769.48,758.81,764.91,000,764.91 2006-10-16,762.64,769.86,762.54,769.48,000,769.48 2006-10-13,757.09,763.37,756.12,762.65,000,762.65 2006-10-12,741.70,757.15,741.70,757.09,000,757.09 2006-10-11,745.84,747.26,736.50,741.71,000,741.71 2006-10-10,744.57,747.84,741.97,745.88,000,745.88 2006-10-09,739.81,745.69,736.16,744.57,000,744.57 2006-10-06,743.08,743.09,735.26,739.81,000,739.81 2006-10-05,733.41,743.38,733.18,743.08,000,743.08 2006-10-04,718.31,733.62,716.87,733.48,000,733.48 2006-10-03,718.80,722.52,712.17,718.35,000,718.35 2006-10-02,725.59,726.95,716.63,718.81,000,718.81 2006-09-29,732.56,734.02,725.30,725.59,000,725.59 2006-09-28,732.48,736.76,727.89,732.56,000,732.56 2006-09-27,729.32,733.94,727.77,732.54,000,732.54 2006-09-26,727.08,732.05,725.59,729.61,000,729.61 2006-09-25,718.62,728.80,714.70,727.09,000,727.09 2006-09-22,727.13,727.13,714.08,718.63,000,718.63 2006-09-21,734.46,738.16,724.46,727.13,000,727.13 2006-09-20,725.42,737.28,725.42,734.48,000,734.48 2006-09-19,728.84,729.08,715.27,725.12,000,725.12 2006-09-18,729.33,733.15,725.88,728.84,000,728.84 2006-09-15,727.60,732.22,725.48,729.46,000,729.46 2006-09-14,730.70,730.70,723.66,727.60,000,727.60 2006-09-13,724.37,731.30,723.92,730.70,000,730.70 2006-09-12,707.56,725.63,707.56,724.48,000,724.48 2006-09-11,708.52,711.13,700.44,707.57,000,707.57 2006-09-08,706.47,709.51,705.40,708.54,000,708.54 2006-09-07,712.02,713.88,704.51,706.47,000,706.47 2006-09-06,727.46,727.46,712.03,712.04,000,712.04 2006-09-05,721.56,727.86,721.03,727.51,000,727.51 2006-09-01,720.52,724.79,718.71,721.56,000,721.56 2006-08-31,720.57,725.04,720.23,720.53,000,720.53 2006-08-30,714.74,721.97,713.77,720.58,000,720.58 2006-08-29,706.61,715.18,702.80,714.85,000,714.85 2006-08-28,699.24,707.80,699.14,706.65,000,706.65 2006-08-25,698.71,703.80,696.41,699.24,000,699.24 2006-08-24,698.41,701.57,693.19,698.72,000,698.72 2006-08-23,707.75,711.09,696.63,698.42,000,698.42 2006-08-22,705.33,709.25,703.45,707.76,000,707.76 2006-08-21,711.68,711.68,702.59,705.33,000,705.33 2006-08-18,710.77,712.38,704.40,711.68,000,711.68 2006-08-17,707.36,713.86,705.38,710.78,000,710.78 2006-08-16,697.81,708.23,697.81,707.39,000,707.39 2006-08-15,681.72,697.85,681.72,697.83,000,697.83 2006-08-14,679.01,691.17,679.01,681.73,000,681.73 2006-08-11,686.22,686.22,676.40,679.04,000,679.04 2006-08-10,681.00,688.96,674.75,686.27,000,686.27 2006-08-09,687.43,695.19,680.27,681.05,000,681.05 2006-08-08,696.03,700.92,686.42,687.47,000,687.47 2006-08-07,701.25,701.25,691.95,696.05,000,696.05 2006-08-04,704.37,716.05,694.19,701.26,000,701.26 2006-08-03,696.79,706.36,690.20,704.38,000,704.38 2006-08-02,689.87,700.54,689.87,696.81,000,696.81 2006-08-01,700.56,700.56,686.60,689.89,000,689.89 2006-07-31,700.02,701.64,695.13,700.56,000,700.56 2006-07-28,685.64,700.69,685.64,700.03,000,700.03 2006-07-27,694.35,701.87,684.29,685.69,000,685.69 2006-07-26,697.43,699.59,686.12,694.45,000,694.45 2006-07-25,690.76,701.02,688.56,697.44,000,697.44 2006-07-24,671.94,690.76,671.94,690.76,000,690.76 2006-07-21,683.61,683.61,668.58,671.94,000,671.94 2006-07-20,702.33,705.17,683.14,683.61,000,683.61 2006-07-19,681.63,703.58,681.30,702.34,000,702.34 2006-07-18,677.66,685.68,670.85,681.64,000,681.64 2006-07-17,681.23,685.17,675.28,677.69,000,677.69 2006-07-14,687.29,687.29,674.82,681.24,000,681.24 2006-07-13,701.16,701.16,686.29,687.29,000,687.29 2006-07-12,714.34,714.67,700.93,701.17,000,701.17 2006-07-11,709.08,714.40,701.05,714.39,000,714.39 2006-07-10,709.30,715.95,706.75,709.08,000,709.08 2006-07-07,720.64,720.64,708.37,709.30,000,709.30 2006-07-06,719.81,725.50,716.86,720.64,000,720.64 2006-07-05,730.75,730.75,715.21,719.85,000,719.85 2006-07-03,724.65,730.80,724.50,730.80,000,730.80 2006-06-30,714.32,724.67,710.30,724.67,000,724.67 2006-06-29,687.99,714.32,687.99,714.32,000,714.32 2006-06-28,686.64,688.78,679.90,688.04,000,688.04 2006-06-27,698.63,702.31,685.55,686.94,000,686.94 2006-06-26,690.13,698.74,690.13,698.64,000,698.64 2006-06-23,688.04,694.56,682.68,690.14,000,690.14 2006-06-22,690.67,690.67,683.49,688.04,000,688.04 2006-06-21,677.49,693.80,677.49,690.67,000,690.67 2006-06-20,680.74,686.13,677.34,677.50,000,677.50 2006-06-19,693.06,694.74,678.82,680.76,000,680.76 2006-06-16,701.04,701.04,690.03,693.07,000,693.07 2006-06-15,677.08,702.82,677.08,701.05,000,701.05 2006-06-14,672.66,679.43,669.88,677.09,000,677.09 2006-06-13,683.07,691.35,671.19,672.72,000,672.72 2006-06-12,701.38,701.93,683.19,683.19,000,683.19 2006-06-09,706.52,714.15,699.63,701.39,000,701.39 2006-06-08,706.77,707.28,684.91,706.53,000,706.53 2006-06-07,710.93,721.49,706.68,706.78,000,706.78 2006-06-06,713.92,716.05,702.89,710.96,000,710.96 2006-06-05,737.45,737.45,713.51,713.92,000,713.92 2006-06-02,736.50,742.26,731.77,737.45,000,737.45 2006-06-01,721.01,736.50,721.01,736.50,000,736.50 2006-05-31,711.03,721.29,711.03,721.01,000,721.01 2006-05-30,729.48,729.48,710.92,711.04,000,711.04 2006-05-26,725.56,731.14,725.08,729.55,000,729.55 2006-05-25,711.26,725.58,711.26,725.58,000,725.58 2006-05-24,711.27,717.15,696.06,711.27,000,711.27 2006-05-23,715.25,727.52,710.63,711.29,000,711.29 2006-05-22,722.54,722.54,705.73,715.25,000,715.25 2006-05-19,718.46,725.45,710.81,722.54,000,722.54 2006-05-18,725.84,732.56,718.31,718.47,000,718.47 2006-05-17,737.45,737.45,723.77,725.85,000,725.85 2006-05-16,737.64,742.14,734.52,737.47,000,737.47 2006-05-15,742.38,742.38,729.95,737.64,000,737.64 2006-05-12,757.45,757.45,742.05,742.40,000,742.40 2006-05-11,775.88,775.88,757.46,757.47,000,757.47 2006-05-10,780.69,780.69,772.75,775.94,000,775.94 2006-05-09,781.60,782.48,779.46,780.72,000,780.72 2006-05-08,781.83,782.79,778.64,781.60,000,781.60 2006-05-05,774.72,784.62,774.72,781.83,000,781.83 2006-05-04,767.73,774.79,767.73,774.72,000,774.72 2006-05-03,767.61,769.39,762.23,767.73,000,767.73 2006-05-02,761.12,767.61,759.91,767.61,000,767.61 2006-05-01,764.54,770.82,760.32,761.12,000,761.12 2006-04-28,761.40,767.76,758.13,764.54,000,764.54 2006-04-27,765.23,771.05,755.26,761.40,000,761.40 2006-04-26,764.82,771.86,763.56,765.23,000,765.23 2006-04-25,766.14,767.45,760.32,764.82,000,764.82 2006-04-24,772.12,772.12,763.05,766.14,000,766.14 2006-04-21,774.67,778.57,768.30,772.12,000,772.12 2006-04-20,778.42,778.42,768.10,774.67,000,774.67 2006-04-19,769.81,778.42,768.49,778.42,000,778.42 2006-04-18,749.45,770.05,749.45,769.81,000,769.81 2006-04-17,751.11,754.08,744.73,749.47,000,749.47 2006-04-13,747.77,753.63,743.46,751.11,000,751.11 2006-04-12,742.11,748.33,741.55,747.77,000,747.77 2006-04-11,752.95,755.39,740.24,742.11,000,742.11 2006-04-10,756.13,759.20,750.89,752.95,000,752.95 2006-04-07,766.23,771.54,754.58,756.13,000,756.13 2006-04-06,766.26,767.08,761.15,766.23,000,766.23 2006-04-05,762.32,766.79,758.51,766.26,000,766.26 2006-04-04,759.22,764.54,756.76,762.32,000,762.32 2006-04-03,765.24,768.98,758.66,759.22,000,759.22 2006-03-31,762.59,765.14,759.04,765.14,000,765.14 2006-03-30,764.17,767.16,759.26,762.59,000,762.59 2006-03-29,751.27,764.17,751.27,764.17,000,764.17 2006-03-28,754.03,757.91,749.31,751.27,000,751.27 2006-03-27,753.83,754.32,750.33,754.03,000,754.03 2006-03-24,747.60,753.87,747.30,753.83,000,753.83 2006-03-23,744.85,747.63,742.01,747.60,000,747.60 2006-03-22,736.10,745.68,733.69,744.85,000,744.85 2006-03-21,745.62,749.60,735.47,736.10,000,736.10 2006-03-20,746.09,747.16,741.74,745.62,000,745.62 2006-03-17,743.79,746.75,741.74,746.09,000,746.09 2006-03-16,742.94,748.35,742.94,743.79,000,743.79 2006-03-15,736.10,742.94,734.95,742.94,000,742.94 2006-03-14,728.04,736.12,724.97,736.10,000,736.10 2006-03-13,726.34,734.25,726.34,728.04,000,728.04 2006-03-10,718.28,726.34,714.86,726.34,000,726.34 2006-03-09,721.84,726.42,717.63,718.28,000,718.28 2006-03-08,721.06,723.80,713.62,721.84,000,721.84 2006-03-07,731.16,731.16,719.17,721.06,000,721.06 2006-03-06,738.44,738.94,728.89,731.16,000,731.16 2006-03-03,740.16,745.18,736.52,738.44,000,738.44 2006-03-02,742.35,743.04,735.95,740.16,000,740.16 2006-03-01,730.64,742.35,730.64,742.35,000,742.35 2006-02-28,740.63,740.63,729.15,730.64,000,730.64 2006-02-27,736.60,742.77,736.60,740.63,000,740.63 2006-02-24,732.45,737.21,729.46,736.60,000,736.60 2006-02-23,733.53,736.62,728.73,732.45,000,732.45 2006-02-22,726.78,734.00,725.12,733.53,000,733.53 2006-02-21,730.94,733.33,723.71,726.78,000,726.78 2006-02-17,731.92,733.26,727.97,730.94,000,730.94 2006-02-16,725.10,731.92,725.10,731.92,000,731.92 2006-02-15,719.70,725.10,716.66,725.10,000,725.10 2006-02-14,710.53,721.62,708.12,719.70,000,719.70 2006-02-13,717.13,717.13,708.51,710.53,000,710.53 2006-02-10,718.16,718.42,708.83,717.13,000,717.13 2006-02-09,721.16,727.49,717.61,718.16,000,718.16 2006-02-08,717.18,722.30,713.88,721.16,000,721.16 2006-02-07,727.89,729.77,716.82,717.18,000,717.18 2006-02-06,724.22,727.89,720.43,727.89,000,727.89 2006-02-03,726.25,729.20,720.31,724.22,000,724.22 2006-02-02,735.48,735.53,721.95,726.25,000,726.25 2006-02-01,733.20,736.45,729.89,735.48,000,735.48 2006-01-31,730.87,734.01,726.71,733.20,000,733.20 2006-01-30,732.22,734.01,729.97,730.87,000,730.87 2006-01-27,728.48,736.25,728.15,732.22,000,732.22 2006-01-26,716.45,728.57,716.45,728.48,000,728.48 2006-01-25,718.02,720.30,713.13,716.45,000,716.45 2006-01-24,707.82,718.51,707.82,718.02,000,718.02 2006-01-23,704.60,709.68,704.53,707.82,000,707.82 2006-01-20,714.94,716.53,703.57,704.60,000,704.60 2006-01-19,703.78,715.79,703.78,714.94,000,714.94 2006-01-18,703.62,704.52,698.58,703.78,000,703.78 2006-01-17,708.44,708.44,700.66,703.62,000,703.62 2006-01-13,706.79,708.99,705.60,708.44,000,708.44 2006-01-12,711.19,711.68,706.04,706.79,000,706.79 2006-01-11,710.99,711.19,705.57,711.19,000,711.19 2006-01-10,706.24,711.00,702.21,710.99,000,710.99 2006-01-09,699.39,708.04,699.39,706.24,000,706.24 2006-01-06,691.77,700.44,691.77,699.39,000,699.39 2006-01-05,689.25,692.41,687.66,691.77,000,691.77 2006-01-04,684.05,690.16,683.42,689.25,000,689.25 2006-01-03,673.22,685.23,666.58,684.05,000,684.05 2005-12-30,677.96,677.96,670.85,673.22,000,673.22 2005-12-29,680.08,681.95,677.82,677.96,000,677.96 2005-12-28,676.58,681.18,675.14,680.08,000,680.08 2005-12-27,686.44,688.40,676.57,676.58,000,676.58 2005-12-23,684.08,686.95,684.08,686.44,000,686.44 2005-12-22,679.74,684.17,679.55,684.08,000,684.08 2005-12-21,672.78,681.95,672.78,679.74,000,679.74 2005-12-20,672.25,676.86,669.04,672.78,000,672.78 2005-12-19,683.09,683.24,671.65,672.25,000,672.25 2005-12-16,684.74,687.12,682.13,683.09,000,683.09 2005-12-15,690.50,691.10,681.19,684.74,000,684.74 2005-12-14,689.03,693.63,687.65,690.50,000,690.50 2005-12-13,689.51,692.25,686.58,689.03,000,689.03 2005-12-12,688.77,691.84,686.41,689.54,000,689.54 2005-12-09,685.22,689.89,682.92,688.77,000,688.77 2005-12-08,683.01,690.23,680.55,685.22,000,685.22 2005-12-07,687.57,688.21,681.09,683.01,000,683.01 2005-12-06,686.57,693.10,686.57,687.58,000,687.58 2005-12-05,690.57,690.57,682.89,686.57,000,686.57 2005-12-02,690.21,690.64,684.95,690.57,000,690.57 2005-12-01,677.29,690.91,677.29,690.21,000,690.21 2005-11-30,673.69,680.18,673.69,677.29,000,677.29 2005-11-29,671.50,678.06,671.50,673.69,000,673.69 2005-11-28,683.58,683.58,671.50,671.50,000,671.50 2005-11-25,683.14,684.11,681.57,683.58,000,683.58 2005-11-23,682.55,686.22,681.48,683.14,000,683.14 2005-11-22,678.96,683.73,676.64,682.55,000,682.55 2005-11-21,672.22,679.32,669.06,678.96,000,678.96 2005-11-18,667.14,672.98,667.14,672.22,000,672.22 2005-11-17,654.64,667.14,654.64,667.14,000,667.14 2005-11-16,656.23,657.94,649.92,654.64,000,654.64 2005-11-15,663.93,664.76,655.28,656.23,000,656.23 2005-11-14,666.66,667.99,661.55,663.93,000,663.93 2005-11-11,664.93,667.82,663.43,666.66,000,666.66 2005-11-10,659.81,665.14,651.50,664.93,000,664.93 2005-11-09,656.23,663.75,654.98,659.83,000,659.83 2005-11-08,661.24,661.24,654.67,656.23,000,656.23 2005-11-07,658.16,663.07,656.31,661.24,000,661.24 2005-11-04,658.77,660.13,653.29,658.16,000,658.16 2005-11-03,657.05,663.90,656.56,658.77,000,658.77 2005-11-02,643.02,657.05,642.88,657.05,000,657.05 2005-11-01,646.61,646.61,640.18,643.02,000,643.02 2005-10-31,635.33,648.26,635.33,646.61,000,646.61 2005-10-28,624.03,635.56,624.03,635.33,000,635.33 2005-10-27,638.41,638.41,623.54,624.03,000,624.03 2005-10-26,642.73,648.01,637.37,638.41,000,638.41 868686, 9,666,Cont1/Stop2, Historical Vol Tail 9,5229155,1,Historical Vol Tail 9,666,Cont1/Stop2, Compute Historical Vol, Max Num Reach Back Days, Min Num Days To Use 9,520,2,Compute Historical Vol, 396,10 9,666,Cont1/Stop2, Historical Vol Close 9,526,1,Historical Vol Close 10,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 10,700,2,Rehearsal Script,0,Now we can [ADVANCE] look at the implied volatilities in the option chain. [TO KEEP THE IMPLIED-VOL DISPLAY FROM DISAPPEARING WHEN YOU CLICK ON THE MAIN DISPLAY CLICK THE TOP FRAME OF THE IMPLIED-VOL DISPLAY. TO ADVANCE REHEARSAL SCRIPT WHEN IMP-VOL DISPLAY IS ON SCREEN CLICK GREEN CIRCLE ON MAIN DISPLAY.] 11,666,Cont1/Stop2, Display Option Chain Vols 11,600,2,Display Option Chain Vols 12,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 12,700,2,Rehearsal Script,0,[TO MAKE IMPLIED-VOL DISPLAY DISAPPEAR AND RE-APPEAR CLICK ITS ICON AT THE BOTTOM-RIGHT OF THE MAIN DISPLAY.] 12,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 12,700,2,Rehearsal Script,0,We can compare implied volatilities to realized vols. We can decide what trading strategies we might want to use under these market conditions.ø 13,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 13,700,2,Rehearsal Script,0,On the left we have the volatility smiles for call-bid call-ask put-bid and put-ask prices for particular times to expiration. The time to expiration is given by the red knob and white line on the right. [TO MOVE RED KNOB UNDER TERM STRUCTURE OF VOLATILITIES DRAG IT WITH MOUSE OR USE KEYBOARD'S LEFT-RIGHT OR UP-DOWN ARROW KEYS. TO GET ARROW KEYS TO WORK CLICK TOP FRAME OF IMP-VOL DISPLAY.] 14,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 14,700,2,Rehearsal Script,0,Here we have the volatility smiles for options that expire in 37 days. When we move the red knob on the right [WITH EITHER THE MOUSE OR ARROW KEYS] on the left we get volatility smiles for options with different times to expiration. The yellow dot on the left gives us the realized volatility for a reach-back period equal to the options' time to expiration. 15,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 15,700,2,Rehearsal Script,0,In our trading we often use Flex options which can be of any time to expiration. [USE KEYBOARD ARROW KEYS TO BRING UP VOLATILITY SMILES FOR 13 DAYS TO EXPIRATION.] On our simulation trading day the shortest time to expiration for regularly traded options is 13 days. 16,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 16,700,2,Rehearsal Script,0,One of our first tasks is to decide in which times to expiration we're going to want to trade. We have found our trading strategies to be most reliable when our initial positions have times to expiration of less than 40 trading days. Here we anticipate taking initial positions at 13 and 37 days to expiration. 17,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 17,700,2,Rehearsal Script,0,[CLICK THE IMPLIED-VOL DISPLAY ICON TO MAKE THE DISPLAY DISAPPEAR.]øTo run our simulations [ADVANCE] we set up a trading universe that initially will allow us to simulate [ADVANCE] trades of options with 37 [ADVANCE] and 13 days to expiration. 18,666,Cont1/Stop2, Init Universe, Num Worlds, Hours/day, Days/year 18,800,2,Init Universe, 6,8,252 19,666,Cont1/Stop2, Longest Expiry, In World, Current Price, Hi Ann Vol, Pixels from left, Days to Expiry, Hours Remaining Curr T Day,Pixels from right, Dollar Scale Amount 19,1000,2,Longest Expiry, 1,$834.59,15%, 100,37,0,265,$2000000.00 20,666,Cont1/Stop2, Add Expry, In World, Days to Exp,Hours Remaining Curr T Day 20,1100,2,Add Expry, 2,37,0 21,666,Cont1/Stop2, Add Expry, In World, Days to Exp,Hours Remaining Curr T Day 21,1100,2,Add Expry, 3,13,0 22,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 22,700,1,Rehearsal Script,0, 23,666,Cont1/Stop2, Add Expry, In World, Days to Exp,Hours Remaining Curr T Day 23,1100,2,Add Expry, 4,13,0 24,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 24,700,2,Rehearsal Script,0,We're going to be taking our initial positions with the RUT index [ADVANCE] at $834.59. 25,1211,1, Preliminary Price List Header, Hour, Price 25,1212,1, Preliminary Price, -32,828.33 25,1212,1, Preliminary Price, -31,830.97 25,1212,1, Preliminary Price, -30,829.35 25,1212,1, Preliminary Price, -29,830.04 25,1212,1, Preliminary Price, -28,826.49 25,1212,1, Preliminary Price, -27,829.39 25,1212,1, Preliminary Price, -26,827.32 25,1212,1, Preliminary Price, -25,823.87 25,1212,1, Preliminary Price, -24,827.43 25,1212,1, Preliminary Price, -23,829.77 25,1212,1, Preliminary Price, -22,831.40 25,1212,1, Preliminary Price, -21,832.82 25,1212,1, Preliminary Price, -20,833.62 25,1212,1, Preliminary Price, -19,826.58 25,1212,1, Preliminary Price, -18,824.33 25,1212,1, Preliminary Price, -17,828.75 25,1212,1, Preliminary Price, -16,825.94 25,1212,1, Preliminary Price, -15,826.46 25,1212,1, Preliminary Price, -14,831.91 25,1212,1, Preliminary Price, -13,832.02 25,1212,1, Preliminary Price, -12,833.81 25,1212,1, Preliminary Price, -11,841.04 25,1212,1, Preliminary Price, -10,844.62 25,1212,1, Preliminary Price, -9,839.95 25,1212,1, Preliminary Price, -8,834.07 25,1212,1, Preliminary Price, -7,829.85 25,1212,1, Preliminary Price, -6,830.52 25,1212,1, Preliminary Price, -5,835.66 25,1212,1, Preliminary Price, -4,833.45 25,1212,1, Preliminary Price, -3,828.76 25,1212,1, Preliminary Price, -2,826.89 25,1212,1, Preliminary Price, -1,830.72 25,1212,1, Preliminary Price, 0,834.59 868686, 25,1213915,1, Preliminary Price List Tail 25,666,Cont1/Stop2, Sim Prices to Start from Forecast, Forecast Av Ret, Constant Vol, Preliminary Data Placeholder, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight, Sim in W Nine 25,1210,2,Sim Prices to Start from Forecast, 7%, 17%, [],1,1,1,1,0,0,1,0,0 26,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 26,700,2,Rehearsal Script,0,Now what initial positions do we want to take? That depends. øIt depends primarily on our forecast of return and volatility over time horizons of our interest. 27,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 27,700,2,Rehearsal Script,0,[TO MAKE IMPLIED-VOL DISPLAY REAPPEAR CLICK ITS ICON. TO KEEP DISPLAY FROM DISAPPEARING CLICK ITS FRAME AT THE TOP.]øThe yellow line on the right shows us realized vol for different reach back periods. 27,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 27,700,2,Rehearsal Script,0,Let's say we think thatfor both the thirteen- and thirty-seven day horizons we expect that the RUT's volatility will be around 17%.ø 28,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 28,700,2,Rehearsal Script,0,We set the indicator line at 17%. [TO DO SO DRAG THE READ-OUT BOX UP OR DOWN.]øWhat does an expected volatility of 17% look like in our trading universe?øOnce we add an expected return we can draw that forecast. [MAKE IMPLIED-VOL DISPLAY DISAPPEAR.] 29,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 29,700,2,Rehearsal Script,0,Let's say our return forecast for the RUT over both the thirteen-day and thirty-seven day time horizon is an annualized 7%. In our trading universe we [ADVANCE] draw that forecast as probability distributions for times to expiration of 37 and 13 days. 8,666,Cont1/Stop2, Draw Forecast, Forecast Av Return, Annual Vol, Solid1/Outline2, Deciles1/SDs2, Label Forecast, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 8,1400,2,Draw Forecast, 7%, 17%, 1,2,1,1,1,1,1,0,0,0,0 31,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 31,700,2,Rehearsal Script,0,We also can [ADVANCE] draw the forecasts as probability bands or cones within which we expect RUT prices to stay during the options' times to expiration. 9,666,Cont1/Stop2, Draw Probability Bands, Forecast Av Return, Annual Vol, Deciles1/SDs2, Label Forecast, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 9,1450,2,Draw Probability Bands, 7%, 17%, 2,1,1,1,1,1,0,0,0,0 33,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 33,700,2,Rehearsal Script,0,Here we’ve color coded our probability distributions and probability bands by standard deviation. Most option traders think in standard deviations. 34,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 34,700,2,Rehearsal Script,0,To think in standard deviations you need to know how standard deviations divide up the probabilities. In our thirteen-day forecast in worlds three and four, the middle of the bell-shaped curve or zero standard deviations is $836.99. 34,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 34,700,2,Rehearsal Script,0,Other prices mark off one two and three standard deviations going up and one two and three standard deviations going down. 35,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 35,700,2,Rehearsal Script,0,Going down this bell-shaped curve tells us that according to our forecast at the end of 13 days there's øa 50% chance that the RUT will be below $836.99; øa 16% probability that it will be below $805.28; 36,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 36,700,2,Rehearsal Script,0,a 2.5% probability that it will be below $774.78; and ø1.35 chances in a 1000 that the price will be below $745.44. 37,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 37,700,2,Rehearsal Script,0,Sometimes it’s more useful to divide the probability distributions and bands into deciles. 38,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 38,700,1,Rehearsal Script,0, 30,666,Cont1/Stop2, Draw Forecast, Forecast Av Return, Annual Vol, Solid1/Outline2, Deciles1/SDs2, Label Forecast, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 30,1400,1,Draw Forecast, 7%, 17%, 1,1,1,1,1,1,1,0,0,0,0 32,666,Cont1/Stop2, Draw Probability Bands, Forecast Av Return, Annual Vol, Deciles1/SDs2, Label Forecast, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 32,1450,3,Draw Probability Bands, 7%, 17%, 1,1,1,1,1,1,0,0,0,0 31,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 31,700,2,Rehearsal Script,0,When you divide probability distributions into deciles there’s one chance in ten that the underlying will be in any particular band or finish the investment horizon in any particular decile. 321,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 321,700,2,Rehearsal Script,0,We can’t label the top or bottom end of the probability distributions with decile markers because probability distributions trail off into infinity going up and negative infinity going down. In the simulation we draw the distributions out to three standard deviations. That range encompasses 99.73% of likely outcomes. øWhen we’re setting up positions we use deciles. 34,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 34,700,2,Rehearsal Script,0,How does our forecast compare with what everybody else thinks? Or to be more precise: How does our forecast compare with the market-equilibrium forecasts that are implied by market prices for options? 35,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 35,700,2,Rehearsal Script,0,When we [MAKE IMPLIED-VOL DISPLAY REAPPEAR. CLICK ITS TOP FRAME.] look at our option-chain implied-vols we see that for put options with 13 days until expiration implied volatilities range from around 15% for near-the-money puts to over 35% for way out-of-the-money puts. 36,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 36,700,2,Rehearsal Script,0,For a strike price of $795 the put-bid implied volatility is around 21% which is higher than our volatility forecast of 17%.øWe can look at that difference another way. [MAKE IMPLIED-VOL DISPLAY DISAPPEAR.] 37,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 37,700,2,Rehearsal Script,0,In world four we [ADVANCE] draw the bell-shaped curve that the implied volatility implies.øThe implied forecast is more spread out than ours is. It says there's a greater chance that at the end of 13 days the price of the RUT will be below $795. 38,666,Cont1/Stop2, I Vol at K Curves, K, Call Bid, Call Bid Ask Av, Call Ask, Put Bid, Put Bid Ask Av, Put Ask, Eur 0/Am 1, Solid1/Outline2, Deciles1/SDs 2, Label SDs, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 38,1600,2,I Vol at K Curves, 795.00,0,0,0,1,0,0,1,2,1,0,1,0,0,0,1,0,0,0,0,0 39,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 39,700,2,Rehearsal Script,0,In his talk before the break Jerry Marlow our graphics guy and educator on fundamental concepts of options pricing theory showed you how forecasts translate into option values. As you will recall according to modern financial theory the value of a European-style put is the area of the bell-shaped curve below the strike price. 99,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 99,700,2,Rehearsal Script,0,A couple of you only joined us after the break. If you want a fast tutorial on how probability distributions translate into potential payoffs and option values you can order Jerry’s simulator and book Option Pricing: Black-Scholes Made Easy from amazon.com. 40,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 40,700,2,Rehearsal Script,0,In the market-equilibrium forecast for this put there is more area below the strike price than in our forecast. The market thinks this put has more value than we think it has.øIn general if the market thinks an option is more valuable than we do we will sell it to them at their bid price. 41,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 41,700,2,Rehearsal Script,0,The bid price for these puts is $2.80. We [ADVANCE] sell 1071 contracts (107100 puts) for $299880. 42,666,Cont1/Stop2, Trade New Option, In World, Buy1/Sell2, Call1/Put2, Eur1/Am2, Strike, Number of Options, Fees per Trade,Fees per Contract, Limit p < Yes1/No2, p < limit, Limit p > Yes1/No2, p > limit 42,1900,2,Trade New Option, 4,2,2,1,$795.00,107100,$10.00,$0.10,0, 0.00, 1, 0.30 243,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 243,700,2,Rehearsal Script,0,When we a sell an option, we create a liability. As in the rest of life when you run a hedge fund you want the value of your liabilities to go down. The more the value of these puts we sold goes down the better off we are. øIn our simulations if it’s red it’s bad. We want less of it. 43,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 43,700,2,Rehearsal Script,0,Our simulation takes into account bid-ask spreads transaction fees and interest charges on any money we borrow; but it leaves out margin requirements. Our margin requirements depend on our overall positions not on individual trades. 44,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 44,700,2,Rehearsal Script,0,Why this option? øOften to start to build a complex position we sell put options that we think carry excessive risk premiums. Many market participants buy puts to protect their stock portfolios. Hence market prices of puts frequently include an insurance premium. 45,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 45,700,2,Rehearsal Script,0,We like to sell puts that according to our forecast have only a one-in-ten probability of finishing in the money. You'll notice that on the labels of our thirteen-day forecast the cutoff before the bottom decile is $796.58. Hence our sale of the $795 puts. 46,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 46,700,2,Rehearsal Script,0,Why this amount? øLargely for purposes of illustration. To build our position we sell one $300000 block of puts so we can buy three other $100000 blocks of options. We’re using easy-to-think-about numbers. Don’t get pre-occupied with whether trades of these sizes would move the market. 47,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 47,700,2,Rehearsal Script,0,If we sold the puts for $299880 why do we show a liability of $310590? 48,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 48,700,2,Rehearsal Script,0,[MOUSE OVER PUT'S RED LIABILITY BOX.] Our simulation carries the value of the position forward at the bid-ask average price which is higher than the bid price.øIn mark-to-market accounting between the transaction fees and the bid-ask spread every trade shows an initial loss. 49,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 49,700,2,Rehearsal Script,0,At the bottom of the screen we have some measures of where we are with our positions in aggregate.øFor this demonstration we're not showing any allocations of cash. That way our account-balance graph at the bottom of the screen will become a graph of profits or losses. 50,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 50,700,2,Rehearsal Script,0,We sold the puts for $299880. After $117 in transaction fees that leaves us with $299763 in cash.øThe mark-to-market value of the puts we sold is $310590. With only one trade open we have a net short position of $310590. 51,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 51,700,2,Rehearsal Script,0,Between the transaction fees and mark-to-market accounting we show an account balance and loss of -$10827. 52,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 52,700,2,Rehearsal Script,0,At the top of the screen we have some measures of how instantaneous market changes might affect the value of our long/short net position. øI say instantaneous because, each measure assumes that, as it changes, the values of all the other variables remain the same—— which they most likely would not if any time passed. 2,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 2,700,2,Rehearsal Script,0,If the market price of the underlying—— the RUT—— were $1 higher the mark-to-market value of our net position would be $9156 higher. That makes sense. We sold puts. If the market price of the underlying were higher the puts would be farther out of the money. They would be worth less. 3,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 3,700,2,Rehearsal Script,0,If the RUT were $1 lower our net position would be $9482 lower. The puts would be deeper in the money and therefore more valuable. 4,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 4,700,2,Rehearsal Script,0,Similarly if the market price of the RUT were 1% or $8.35 higher the mark-to-market value of our net position would be 21.5% higher. If the RUT were 1% lower the value of our net position would be 29% lower. 5,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 5,700,2,Rehearsal Script,0,If the time to expiration of our position were one day less the value of our position would be $32619 higher. When we forecast less volatility than that of implied forecasts, this relationship is an important part of our strategy. In scenarios like this one if we can run out the clock and the price of the RUT doesn't change much we make money. 6,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 6,700,2,Rehearsal Script,0,If the risk-free rate were instantaneously one percentage point higher the mark-to-market value of our net position would be $6508 higher. 7,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 7,700,2,Rehearsal Script,0,In risk-neutral non-arbitrage pricing theory the risk-free rate determines how high the bell-shaped curve of the implied forecast sits on the price axis. If the risk-free rate were higher the implied bell-shaped curve would sit higher. There would be less area of the curve below the strike price. The put would be worth less. Our liability would be less. Our net position would be higher. 8,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 8,700,2,Rehearsal Script,0,If the market-equilibrium forecast of the RUT's expected volatility instantaneously increased by one percentage point the implied-volatility bell-shaped curve would spread out more. More area of the curve would be below the strike price. The puts would be more valuable. The mark-to-market value of our net position would go down by $46096. 9,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 9,700,2,Rehearsal Script,0,If expected volatility instantaneously decreased by one percentage point the implied-volatility bell-shaped curve would become less spread out. Less area of the curve would be below the strike price. The puts would be less valuable. The value of our net position would be $43711 higher. 10,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 10,700,2,Rehearsal Script,0,Right now with only one position open we can understand the values of these measures intuitively. As we buy and sell other options the interactions of different positions with one another will become more and more complex. Most likely intuition will begin to fail us. These measures will help us keep track of how the different positions interact with one another. 11,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 11,700,2,Rehearsal Script,0,If it's your money we're investing you may not like the idea that all trades produce an initial loss. With this one trade we're showing a mark-to-market loss of over $10000. 12,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 12,700,2,Rehearsal Script,0,Keep in mind however that in modern financial theory when you value investments you're evaluating probability distributions. Market-equilibrium forecasts determine the mark-to-market value of our positions. Those forecasts-- forecasts with which we disagree-- produce this book loss. The essence of our trading strategy is that when our forecasts differ from market-equilibrium forecasts we take positions that exploit those differences. 13,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 13,700,2,Rehearsal Script,0,What would the value of this position be using our forecast?øIf we use our forecast to value this position 15,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 15,700,2,Rehearsal Script,0,[AT TOP RIGHT CLICK BUTTON Values Using Market Data.] the value of this liability goes down. According to our forecast this position has a value not of $310590 but of $137088. We have not a book loss of over $10000 but a hypothetical book profit of over $162675.øIf to value these puts 16,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 16,700,2,Rehearsal Script,0,[MOUSE OVER PUTS RED LIABILITY BOX.] we use our forecast return of 7% and expected volatility of 17% then the puts are worth not $2.80 cents each but $1.28 cents each. We're $162675 ahead of the game. 17,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 17,700,2,Rehearsal Script,0,Unfortunately we cannot simply say to the market: We're right. You're wrong. Give us the $162675.øInstead to reap the rewards of being right we have to wait either for the market to change its view to our view and assign a lower value to this option; or more likely we have to wait for the options to expire.ø 18,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 18,700,2,Rehearsal Script,0,[AT TOP RIGHT CLICK BUTTON Values Using Our Forecast TO TURN IT OFF.] 19,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 19,700,2,Rehearsal Script,0,We can simulate how the value of this position might change over time as the market price of the RUT changes. øBut first we have to take care of a modeling detail. 20,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 20,700,2,Rehearsal Script,0,The market value of options depend largely upon their implied volatilities. To price our initial positions we brought in market data. We brought in the RUT implied volatilities at a point in time.øBut implied volatilities don't stay the same. 21,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 21,700,2,Rehearsal Script,0,If realized volatility goes up we might reasonably expect all the implied volatilities to go up. Likewise if realized volatility goes down we might expect all implied volatilities to go down. 21,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 21,700,2,Rehearsal Script,0,To model how the market prices of options change we have to model how implied volatilities might change as realized volatilities change. ø[MAKE IMPLIED-VOL DISPLAY REAPPEAR. CLICK ITS TOP FRAME. ON RIGHT NAVIGATE TO 81 DAYS.] 22,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 22,700,2,Rehearsal Script,0,If we look at the volatility smiles and term structure of volatility for a reach-back period of 81 days we see a relationship between realized volatility and volatility smiles that I would call reasonable-- maybe even normal—- whatever that means. On the right we see that when measured over a period of 81 days realized volatility is a fair balance between stable and sensitive. 23,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 23,700,2,Rehearsal Script,0,Not in our actual trading strategies but for this demonstration to model how implied volatilities might change over time [DRAG IMPLIED-VOL DISPLAY TO LEFT OR MAKE IT DISAPPEAR.] we use a simple approach: 24,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 24,700,2,Rehearsal Script,0,[ADVANCE] As the realized volatility for a reach-back period of 81 days goes up or down all the implied volatilities go up or down by the same amount. [If you have a formula for how implied volatilities change as realized vol changes that you would prefer to use Jerry Marlow can plug it into the software for you.] 25,666,Cont1/Stop2, Evolve I Vols R-b Days 25,630,2,Evolve I Vols R-b Days, 81 25,666,Cont1/Stop2, Evolve Im Vol Close 25,636,1,Evolve Im Vol Close 26,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 26,700,2,Rehearsal Script,0,[IF IT IS ON SCREEN MAKE IMPLIED-VOL DISPLAY DISAPPEAR.]øOkay. Now we're ready to roll. Just to get a feel for what we’re going to be doing, let's run a couple of simulations and see how the value of this one position might change over the course of its time to expiration if we made no interventions. 86,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 86,700,1,Rehearsal Script,0, 58,1311,1, Hourly Price List Header 58,1312,1, Underlying Price, 834.59 58,1312,1, Underlying Price, 834.45 58,1312,1, Underlying Price, 835.62 58,1312,1, Underlying Price, 835.25 58,1312,1, Underlying Price, 831.77 58,1312,1, Underlying Price, 830.47 58,1312,1, Underlying Price, 829.23 58,1312,1, Underlying Price, 823.77 58,1312,1, Underlying Price, 821.75 58,1312,1, Underlying Price, 825.55 58,1312,1, Underlying Price, 829.17 58,1312,1, Underlying Price, 829.49 58,1312,1, Underlying Price, 829.38 58,1312,1, Underlying Price, 830.42 58,1312,1, Underlying Price, 825.06 58,1312,1, Underlying Price, 827.20 58,1312,1, Underlying Price, 825.76 58,1312,1, Underlying Price, 819.88 58,1312,1, Underlying Price, 824.33 58,1312,1, Underlying Price, 827.00 58,1312,1, Underlying Price, 831.12 58,1312,1, Underlying Price, 835.79 58,1312,1, Underlying Price, 834.25 58,1312,1, Underlying Price, 835.39 58,1312,1, Underlying Price, 836.26 58,1312,1, Underlying Price, 836.09 58,1312,1, Underlying Price, 835.02 58,1312,1, Underlying Price, 835.40 58,1312,1, Underlying Price, 835.27 58,1312,1, Underlying Price, 834.67 58,1312,1, Underlying Price, 832.48 58,1312,1, Underlying Price, 833.27 58,1312,1, Underlying Price, 835.27 58,1312,1, Underlying Price, 831.71 58,1312,1, Underlying Price, 827.49 58,1312,1, Underlying Price, 825.32 58,1312,1, Underlying Price, 817.59 58,1312,1, Underlying Price, 816.01 58,1312,1, Underlying Price, 816.35 58,1312,1, Underlying Price, 815.87 58,1312,1, Underlying Price, 815.49 58,1312,1, Underlying Price, 818.49 58,1312,1, Underlying Price, 822.31 58,1312,1, Underlying Price, 825.73 58,1312,1, Underlying Price, 823.18 58,1312,1, Underlying Price, 817.86 58,1312,1, Underlying Price, 817.46 58,1312,1, Underlying Price, 819.52 58,1312,1, Underlying Price, 822.06 58,1312,1, Underlying Price, 822.40 58,1312,1, Underlying Price, 821.91 58,1312,1, Underlying Price, 819.77 58,1312,1, Underlying Price, 822.05 58,1312,1, Underlying Price, 829.09 58,1312,1, Underlying Price, 824.64 58,1312,1, Underlying Price, 829.97 58,1312,1, Underlying Price, 828.67 58,1312,1, Underlying Price, 833.12 58,1312,1, Underlying Price, 835.81 58,1312,1, Underlying Price, 838.86 58,1312,1, Underlying Price, 833.49 58,1312,1, Underlying Price, 831.77 58,1312,1, Underlying Price, 833.22 58,1312,1, Underlying Price, 834.14 58,1312,1, Underlying Price, 831.28 58,1312,1, Underlying Price, 834.98 58,1312,1, Underlying Price, 833.10 58,1312,1, Underlying Price, 831.63 58,1312,1, Underlying Price, 831.02 58,1312,1, Underlying Price, 827.19 58,1312,1, Underlying Price, 822.14 58,1312,1, Underlying Price, 823.83 58,1312,1, Underlying Price, 824.26 58,1312,1, Underlying Price, 826.20 58,1312,1, Underlying Price, 825.05 58,1312,1, Underlying Price, 818.81 58,1312,1, Underlying Price, 816.30 58,1312,1, Underlying Price, 819.73 58,1312,1, Underlying Price, 820.17 58,1312,1, Underlying Price, 824.60 58,1312,1, Underlying Price, 819.14 58,1312,1, Underlying Price, 818.65 58,1312,1, Underlying Price, 817.68 58,1312,1, Underlying Price, 821.98 58,1312,1, Underlying Price, 828.62 58,1312,1, Underlying Price, 825.57 58,1312,1, Underlying Price, 823.13 58,1312,1, Underlying Price, 824.28 58,1312,1, Underlying Price, 826.30 58,1312,1, Underlying Price, 822.13 58,1312,1, Underlying Price, 823.50 58,1312,1, Underlying Price, 824.96 58,1312,1, Underlying Price, 822.96 58,1312,1, Underlying Price, 826.59 58,1312,1, Underlying Price, 828.78 58,1312,1, Underlying Price, 829.42 58,1312,1, Underlying Price, 836.22 58,1312,1, Underlying Price, 838.36 58,1312,1, Underlying Price, 841.93 58,1312,1, Underlying Price, 843.39 58,1312,1, Underlying Price, 845.14 58,1312,1, Underlying Price, 843.42 58,1312,1, Underlying Price, 844.34 58,1312,1, Underlying Price, 845.64 58,1312,1, Underlying Price, 844.19 58,1313915,1, Hourly Price List Tail 58,666,Cont1/Stop2, Sim Price Change with Constant Vol, Iterate1/Advance2,Start Price , Forecast Av Ret, Constant Vol, Run for __ days , Run for __ hrs, Enforce Impl p F in M,Stop below Off/On, Price list placeholder, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight, Sim in W Nine 58,1310,3,Sim Price Change with Constant Vol, 1,$834.59,7.00%, 17.00%, 13,0,1,0,[],1,1,1,1,0,0,1,0,0 868686, 23,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 23,700,2,Rehearsal Script,0,If we took only this one position so long as the option finished out of the money, we would show a gain on the position of around $30000. We would earn some interest on the cash we got from selling the options. øOur forecast says this is what would happen nine out of ten times. 86,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 86,700,1,Rehearsal Script,0, 61,1311,1, Hourly Price List Header 61,1312,1, Underlying Price, 834.59 61,1312,1, Underlying Price, 833.55 61,1312,1, Underlying Price, 832.53 61,1312,1, Underlying Price, 837.96 61,1312,1, Underlying Price, 834.66 61,1312,1, Underlying Price, 839.60 61,1312,1, Underlying Price, 840.37 61,1312,1, Underlying Price, 840.08 61,1312,1, Underlying Price, 841.28 61,1312,1, Underlying Price, 843.46 61,1312,1, Underlying Price, 844.61 61,1312,1, Underlying Price, 845.15 61,1312,1, Underlying Price, 846.26 61,1312,1, Underlying Price, 850.72 61,1312,1, Underlying Price, 853.41 61,1312,1, Underlying Price, 852.54 61,1312,1, Underlying Price, 854.17 61,1312,1, Underlying Price, 851.09 61,1312,1, Underlying Price, 847.99 61,1312,1, Underlying Price, 845.85 61,1312,1, Underlying Price, 841.39 61,1312,1, Underlying Price, 836.71 61,1312,1, Underlying Price, 840.07 61,1312,1, Underlying Price, 838.41 61,1312,1, Underlying Price, 837.46 61,1312,1, Underlying Price, 840.71 61,1312,1, Underlying Price, 843.75 61,1312,1, Underlying Price, 844.02 61,1312,1, Underlying Price, 848.05 61,1312,1, Underlying Price, 846.16 61,1312,1, Underlying Price, 845.77 61,1312,1, Underlying Price, 843.55 61,1312,1, Underlying Price, 840.60 61,1312,1, Underlying Price, 840.96 61,1312,1, Underlying Price, 842.39 61,1312,1, Underlying Price, 837.70 61,1312,1, Underlying Price, 836.01 61,1312,1, Underlying Price, 828.07 61,1312,1, Underlying Price, 825.31 61,1312,1, Underlying Price, 824.55 61,1312,1, Underlying Price, 827.71 61,1312,1, Underlying Price, 829.04 61,1312,1, Underlying Price, 832.69 61,1312,1, Underlying Price, 829.03 61,1312,1, Underlying Price, 824.79 61,1312,1, Underlying Price, 827.60 61,1312,1, Underlying Price, 831.16 61,1312,1, Underlying Price, 832.58 61,1312,1, Underlying Price, 834.49 61,1312,1, Underlying Price, 840.42 61,1312,1, Underlying Price, 839.14 61,1312,1, Underlying Price, 837.86 61,1312,1, Underlying Price, 837.75 61,1312,1, Underlying Price, 834.30 61,1312,1, Underlying Price, 828.90 61,1312,1, Underlying Price, 826.88 61,1312,1, Underlying Price, 829.30 61,1312,1, Underlying Price, 831.00 61,1312,1, Underlying Price, 832.41 61,1312,1, Underlying Price, 831.97 61,1312,1, Underlying Price, 834.73 61,1312,1, Underlying Price, 830.71 61,1312,1, Underlying Price, 828.56 61,1312,1, Underlying Price, 829.33 61,1312,1, Underlying Price, 835.04 61,1312,1, Underlying Price, 833.89 61,1312,1, Underlying Price, 833.16 61,1312,1, Underlying Price, 829.91 61,1312,1, Underlying Price, 828.53 61,1312,1, Underlying Price, 827.72 61,1312,1, Underlying Price, 829.58 61,1312,1, Underlying Price, 830.73 61,1312,1, Underlying Price, 829.01 61,1312,1, Underlying Price, 827.40 61,1312,1, Underlying Price, 828.18 61,1312,1, Underlying Price, 831.84 61,1312,1, Underlying Price, 833.43 61,1312,1, Underlying Price, 827.95 61,1312,1, Underlying Price, 825.23 61,1312,1, Underlying Price, 822.54 61,1312,1, Underlying Price, 819.34 61,1312,1, Underlying Price, 813.02 61,1312,1, Underlying Price, 811.73 61,1312,1, Underlying Price, 809.13 61,1312,1, Underlying Price, 803.11 61,1312,1, Underlying Price, 805.41 61,1312,1, Underlying Price, 799.71 61,1312,1, Underlying Price, 796.75 61,1312,1, Underlying Price, 796.08 61,1312,1, Underlying Price, 792.06 61,1312,1, Underlying Price, 788.82 61,1312,1, Underlying Price, 785.04 61,1312,1, Underlying Price, 784.20 61,1312,1, Underlying Price, 781.91 61,1312,1, Underlying Price, 779.47 61,1312,1, Underlying Price, 779.85 61,1312,1, Underlying Price, 779.57 61,1312,1, Underlying Price, 779.30 61,1312,1, Underlying Price, 780.61 61,1312,1, Underlying Price, 779.45 61,1312,1, Underlying Price, 780.14 61,1312,1, Underlying Price, 772.28 61,1312,1, Underlying Price, 769.51 61,1312,1, Underlying Price, 768.00 61,1312,1, Underlying Price, 766.47 61,1313915,1, Hourly Price List Tail 61,666,Cont1/Stop2, Sim Price Change with Constant Vol, Iterate1/Advance2,Start Price , Forecast Av Ret, Constant Vol, Run for __ days , Run for __ hrs, Enforce Impl p F in M,Stop below Off/On, Price list placeholder, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight, Sim in W Nine 61,1310,3,Sim Price Change with Constant Vol, 1,$834.59,7.00%, 17.00%, 13,0,0,0,[],1,1,1,1,0,0,1,0,0 868686, 23,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 23,700,2,Rehearsal Script,0,If we took only this one position and the market moved against us and we made no interventions we could suffer a catastrophic loss. According to our forecast this short put had a one-in-ten chance of finishing in the money as it does here. 24,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 24,700,2,Rehearsal Script,0,We do not take stand-alone positions. When the probability of a short position finishing in the money reaches a preset threshold we intervene. 24,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 24,700,2,Rehearsal Script,0,Let’s look at how we might construct a multi-position strategy. Then we’ll look at when and how we intervene to prevent catastrophic losses. 2,666,Cont1/Stop2, Rehearsal Script,Revert No0/Yes1, Script 2,700,2,Rehearsal Script,0,In life some people pursue a strategy they describe as Hope for the best. Prepare for the worst.øYou might describe our option-trading strategy as a variation of that: We Prepare for the worst. Hope for the best. 3,666,Cont1/Stop2, Rehearsal Script,Revert No0/Yes1, Script 3,700,2,Rehearsal Script,0,We design our strategy to cope with one-in-ten-probability bad outcomes like the RUT going from $834.59 to $766.47 in thirteen days. To that bedrock design we tack on design features that allow us to reap the occasional large gain. 4,666,Cont1/Stop2, Rehearsal Script,Revert No0/Yes1, Script 4,700,2,Rehearsal Script,1,When we speak of the market moving against this short put position we mean that the market may move down. To take some of the sting out of that eventuality we go long some puts that are in the money and that according to our forecast are undervalued. 5,666,Cont1/Stop2, Rehearsal Script,Revert No0/Yes1, Script 5,700,2,Rehearsal Script,0,[MAKE IMPLIED-VOL DISPLAY REAPPEAR. CLICK ITS TOP FRAME. NAVIGATE TO 13-DAY IMP VOLS. SET GUIDE TO 17%.] 6,666,Cont1/Stop2, Rehearsal Script,Revert No0/Yes1, Script 6,700,2,Rehearsal Script,0,When we look at ask implied volatilities for puts with thirteen days until expiration [CLICK ON LOWEST DOT IN PUT-ASK SMILE.] we see that puts with a strike price of $855 have an implied volatility of around 15% which is lower than our forecast of 17%. Even though the expected return of our forecast is higher than the risk-free rate on balance we think these puts are slightly more valuable than other market participants think. 7,666,Cont1/Stop2, Rehearsal Script,Revert No0/Yes1, Script 7,700,2,Rehearsal Script,0,[MAKE IMPLIED-VOL DISPLAY DISAPPEAR.] øWhen we [ADVANCE.] draw the implied forecast for this put in world four the lower part of the curve is very close to the lower part of our forecast. 8,666,Cont1/Stop2, I Vol at K Curves, K, Call Bid, Call Bid Ask Av, Call Ask, Put Bid, Put Bid Ask Av, Put Ask, Eur 0/Am 1, Solid1/Outline2, Deciles1/SDs 2, Label SDs, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 8,1600,2,I Vol at K Curves, 855.00,0,0,0,0,0,1,1,2,2,0,241,0,0,0,1,0,0,0,0,0 33,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 33,700,2,Rehearsal Script,0,We [ADVANCE.] buy—— we go long—— $100000 worth of these thirteen-day $855 puts. øFor us this position is an asset. We like for the value of our assets to go up. In our simulation if it’s green it’s good. We want more of it. 40,666,Cont1/Stop2, Trade New Option, In World, Buy1/Sell2, Call1/Put2, Eur1/Am2, Strike, Number of Options, Fees per Trade,Fees per Contract, Limit p < Yes1/No2, p < limit, Limit p > Yes1/No2, p > limit 40,1900,2,Trade New Option, 4,1,2,1,$855.00,4300,$10.00,$0.10,0, 0.00, 0, 1.00 2,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 2,700,2,Rehearsal Script,0,An option’s delta tells us how much the value of an option will change as the value of the underlying changes. Puts have negative deltas. If the market price of the underlying goes up then the value of the put goes down. øCalls have positive deltas. If the value of the underlying goes up the value of the call goes up. 22,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 22,700,2,Rehearsal Script,0,The delta of our green puts is minus 0.730. If the market price of the RUT goes DOWN by a dollar, the value of each of our green puts WILL GO UP by 73 cents. øThe delta of our red puts is minus 0.139. If the market price of the RUT goes down by a dollar then the value of each of our red puts will go up by a little under fourteen cents. 32,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 32,700,2,Rehearsal Script,0,A lot of hedge funds pursue strategies in which they remain delta neutral. That is they combine green and red deltas in such proportions that if the market price of the underlying changes the aggregate value of their option positions changes very little or ideally not at all. 42,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 42,700,2,Rehearsal Script,0,If our intention here was to make these two positions delta neutral then we would’ve bought 20400 green puts to counterbalance the deltas of our 107100 red puts. 52,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 52,700,2,Rehearsal Script,0,With the delta of our long position higher than the delta of our short position if the market price of the RUT drops significantly each long put will increase in value more rapidly than each short put. But we're short many more puts than we are long. We are not delta neutral. 3,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 3,700,2,Rehearsal Script,0,To prepare further for the worst in a situation like this one we also would go long some in-the-money puts of longer time to expiration. 4,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 4,700,2,Rehearsal Script,0,[MAKE IMPLIED-VOL DISPLAY REAPPEAR. CLICK ITS TOP FRAME. NAVIGATE TO 37-DAY IMP VOLS. CLICK ON LOWEST DOT IN PUT-ASK SMILE.] 5,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 5,700,2,Rehearsal Script,0,The $880 37-day put has an implied volatility of around 15%. ø[MAKE IMPLIED-VOL DISPLAY DISAPPEAR.] 55,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 55,700,2,Rehearsal Script,0,In its [ADVANCE] implied forecast in world two the downside area of the curve extends below that of our forecast. With our and their estimates of expected return and expected volatility counterbalancing one another we and other market participants give this put roughly similar values. We are buying this put largely as a defensive measure. 43,666,Cont1/Stop2, I Vol at K Curves, K, Call Bid, Call Bid Ask Av, Call Ask, Put Bid, Put Bid Ask Av, Put Ask, Eur 0/Am 1, Solid1/Outline2, Deciles1/SDs 2, Label SDs, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 43,1600,2,I Vol at K Curves, 880.00,0,0,0,0,0,1,1,2,2,0,33,0,1,0,0,0,0,0,0,0 6,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 6,700,2,Rehearsal Script,0,We [ADVANCE] buy $100000 worth of 37-day $880 puts. øThese puts have a delta of .773. If the market moves against our short put position each of these puts will increase the value of our assets more quickly than each of our short puts increases our liabilities. But we own only 2200 of them against the 107100 puts we're short. We’re still not delta neutral. Nor do we intend to become delta neutral. 44,666,Cont1/Stop2, Trade New Option, In World, Buy1/Sell2, Call1/Put2, Eur1/Am2, Strike, Number of Options, Fees per Trade,Fees per Contract, Limit p < Yes1/No2, p < limit, Limit p > Yes1/No2, p > limit 44,1900,2,Trade New Option, 2,1,2,1,$880.00,2200,$10.00,$0.10,0, 0.00, 0, 1.00 7,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 7,700,2,Rehearsal Script,0,In each of these two long positions there's not a lot of difference between our forecast and the market-equilibrium forecasts. We go long on these in-the-money puts primarily to take some of the damage out of potential market moves against our short position. If the market moves against our short position these long positions will form the basis of the strategy we construct subsequently. 8,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 8,700,2,Rehearsal Script,0,Going short generated $300000 in cash. We've spent $200000 on long puts. What do we do with the remaining $100000? 9,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 9,700,2,Rehearsal Script,0,We shop for undervalued 13-day call options. ø[MAKE IMPLIED-VOL DISPLAY REAPPEAR. CLICK ITS TOP FRAME. NAVIGATE TO 13-DAY IMP VOLS. CLICK ON LOWEST DOT IN CALL-ASK SMILE.] 10,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 10,700,2,Rehearsal Script,0,The implied volatility of the 13-day $870 call is around 14%. ø[MAKE IMPLIED-VOL DISPLAY DISAPPEAR.] øWe [ADVANCE.] draw that forecast in world three. 41,666,Cont1/Stop2, I Vol at K Curves, K, Call Bid, Call Bid Ask Av, Call Ask, Put Bid, Put Bid Ask Av, Put Ask, Eur 0/Am 1, Solid1/Outline2, Deciles1/SDs 2, Label SDs, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight 41,1600,2,I Vol at K Curves, 870.00,0,0,1,0,0,0,1,2,2,0,33,0,0,1,0,0,0,0,0,0 810,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 810,700,2,Rehearsal Script,0,We [ADVANCE.] buy—— we go long—— $100000 of 13-day $870 calls. 42,666,Cont1/Stop2, Trade New Option, In World, Buy1/Sell2, Call1/Put2, Eur1/Am2, Strike, Number of Options, Fees per Trade,Fees per Contract, Limit p < Yes1/No2, p < limit, Limit p > Yes1/No2, p > limit 42,1900,2,Trade New Option, 3,1,1,1,$870.00,66700,$10.00,$0.10,0, 0.00, 0, 0.30 2,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 2,700,2,Rehearsal Script,0,Given the differences between our forecast and the forecasts implied by the market prices of options we choose to take these four positions. Where do they leave us? 3,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 3,700,2,Rehearsal Script,0,According to the forecasts implied by market-equilibrium bid-ask average prices the probability-weighted present values of the options' potential payoffs generate a mark-to-market loss of $19139. 4,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 4,700,2,Rehearsal Script,0,[MOUSE OVER BUTTON Values Using Market Data.] According to our forecast the probability-weighted present values of the options' potential payoffs generate a book gain of $251117. øIf our forecast is correct on average we can expect the mark-to-market values of these positions to converge with the values based on our forecast. [MOUSE OFF.] 5,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 5,700,2,Rehearsal Script,0,If the market price of the RUT instantaneously went up by $1.00 the market value of our position would be $12049 greater. If the RUT went down instantaneously by $1.00 the market value of our position would be $11117 less. øPeople graced with a limited number of cognitive categories might categorize our position as bullish. 6,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 6,700,2,Rehearsal Script,0,If a day passed and nothing else changed the market value of our positions in aggregate would be $17711 greater. 7,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 7,700,2,Rehearsal Script,0,If market-price implied volatilities instantaneously increased by one percentage point the value of our positions in aggregate would go down by $15937. øIf implied volatilities decreased by one percentage point the value would go up by $16337. 8,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 8,700,2,Rehearsal Script,0,It is not necessarily by design or a requirement of our strategy but you also might note that the strike price of our $880 puts in world one is higher than the strike price of our $870 calls in world three. Over the next thirteen days one or the other of these two options will be in the money. That much is a mathematical certainty. 9,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 9,700,2,Rehearsal Script,0,Sometimes we configure positions so that the underlying can finish dead center in our forecast and we don't make any money. The underlying's price turns out to be too low for our long calls to kick in and too high for our long puts to kick in. That's not something we worry about. We're going to be running our strategies over more than one underlying and over more than one timeframe. 10,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 10,700,2,Rehearsal Script,0,Most of the values I've just pointed out are statistical averages. At any point in time the value of options is the probability-weighted present value-- or average probability value-- of their potential payoffs. But what you end up with is not an average. It's the result of a particular price path over a particular timeframe. 11,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 11,700,2,Rehearsal Script,0,Anybody can come up with option positions that promise attractive average results. Promising statistical averages do not guarantee success. The question is: How well can a portfolio manager design and implement positions that he or she will be able to manage effectively over different price paths? 12,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 12,700,2,Rehearsal Script,0,You heard about the two statisticians who went duck hunting? A duck flew over. The statisticians fired their shotguns simultaneously. One shot two feet too low; the other shot two feet too high. In unison they yelled Bull's eye! 13,666,Cont1/Stop2, Rehearsal Script, Revert No0/Yes1, Script 13,700,2,Rehearsal Script,0,Let's see how these positions in aggregate might perform over a few different price paths. 86,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 86,700,1,Rehearsal Script,0, 58,1311,1, Hourly Price List Header 58,1312,1, Underlying Price, 834.59 58,1312,1, Underlying Price, 834.45 58,1312,1, Underlying Price, 835.62 58,1312,1, Underlying Price, 835.25 58,1312,1, Underlying Price, 831.77 58,1312,1, Underlying Price, 830.47 58,1312,1, Underlying Price, 829.23 58,1312,1, Underlying Price, 823.77 58,1312,1, Underlying Price, 821.75 58,1312,1, Underlying Price, 825.55 58,1312,1, Underlying Price, 829.17 58,1312,1, Underlying Price, 829.49 58,1312,1, Underlying Price, 829.38 58,1312,1, Underlying Price, 830.42 58,1312,1, Underlying Price, 825.06 58,1312,1, Underlying Price, 827.20 58,1312,1, Underlying Price, 825.76 58,1312,1, Underlying Price, 819.88 58,1312,1, Underlying Price, 824.33 58,1312,1, Underlying Price, 827.00 58,1312,1, Underlying Price, 831.12 58,1312,1, Underlying Price, 835.79 58,1312,1, Underlying Price, 834.25 58,1312,1, Underlying Price, 835.39 58,1312,1, Underlying Price, 836.26 58,1312,1, Underlying Price, 836.09 58,1312,1, Underlying Price, 835.02 58,1312,1, Underlying Price, 835.40 58,1312,1, Underlying Price, 835.27 58,1312,1, Underlying Price, 834.67 58,1312,1, Underlying Price, 832.48 58,1312,1, Underlying Price, 833.27 58,1312,1, Underlying Price, 835.27 58,1312,1, Underlying Price, 831.71 58,1312,1, Underlying Price, 827.49 58,1312,1, Underlying Price, 825.32 58,1312,1, Underlying Price, 817.59 58,1312,1, Underlying Price, 816.01 58,1312,1, Underlying Price, 816.35 58,1312,1, Underlying Price, 815.87 58,1312,1, Underlying Price, 815.49 58,1312,1, Underlying Price, 818.49 58,1312,1, Underlying Price, 822.31 58,1312,1, Underlying Price, 825.73 58,1312,1, Underlying Price, 823.18 58,1312,1, Underlying Price, 817.86 58,1312,1, Underlying Price, 817.46 58,1312,1, Underlying Price, 819.52 58,1312,1, Underlying Price, 822.06 58,1312,1, Underlying Price, 822.40 58,1312,1, Underlying Price, 821.91 58,1312,1, Underlying Price, 819.77 58,1312,1, Underlying Price, 822.05 58,1312,1, Underlying Price, 829.09 58,1312,1, Underlying Price, 824.64 58,1312,1, Underlying Price, 829.97 58,1312,1, Underlying Price, 828.67 58,1312,1, Underlying Price, 833.12 58,1312,1, Underlying Price, 835.81 58,1312,1, Underlying Price, 838.86 58,1312,1, Underlying Price, 833.49 58,1312,1, Underlying Price, 831.77 58,1312,1, Underlying Price, 833.22 58,1312,1, Underlying Price, 834.14 58,1312,1, Underlying Price, 831.28 58,1312,1, Underlying Price, 834.98 58,1312,1, Underlying Price, 833.10 58,1312,1, Underlying Price, 831.63 58,1312,1, Underlying Price, 831.02 58,1312,1, Underlying Price, 827.19 58,1312,1, Underlying Price, 822.14 58,1312,1, Underlying Price, 823.83 58,1312,1, Underlying Price, 824.26 58,1312,1, Underlying Price, 826.20 58,1312,1, Underlying Price, 825.05 58,1312,1, Underlying Price, 818.81 58,1312,1, Underlying Price, 816.30 58,1312,1, Underlying Price, 819.73 58,1312,1, Underlying Price, 820.17 58,1312,1, Underlying Price, 824.60 58,1312,1, Underlying Price, 819.14 58,1312,1, Underlying Price, 818.65 58,1312,1, Underlying Price, 817.68 58,1312,1, Underlying Price, 821.98 58,1312,1, Underlying Price, 828.62 58,1312,1, Underlying Price, 825.57 58,1312,1, Underlying Price, 823.13 58,1312,1, Underlying Price, 824.28 58,1312,1, Underlying Price, 826.30 58,1312,1, Underlying Price, 822.13 58,1312,1, Underlying Price, 823.50 58,1312,1, Underlying Price, 824.96 58,1312,1, Underlying Price, 822.96 58,1312,1, Underlying Price, 826.59 58,1312,1, Underlying Price, 828.78 58,1312,1, Underlying Price, 829.42 58,1312,1, Underlying Price, 836.22 58,1312,1, Underlying Price, 838.36 58,1312,1, Underlying Price, 841.93 58,1312,1, Underlying Price, 843.39 58,1312,1, Underlying Price, 845.14 58,1312,1, Underlying Price, 843.42 58,1312,1, Underlying Price, 844.34 58,1312,1, Underlying Price, 845.64 58,1312,1, Underlying Price, 844.19 58,1313915,1, Hourly Price List Tail 58,666,Cont1/Stop2, Sim Price Change with Constant Vol, Iterate1/Advance2,Start Price , Forecast Av Ret, Constant Vol, Run for __ days , Run for __ hrs, Enforce Impl p F in M,Stop below Off/On, Price list placeholder, Sim in W One, Sim in W Two, Sim in W Three, Sim in W Four, Sim in W Five, Sim in W Six, Sim in W Seven, Sim in W Eight, Sim in W Nine 58,1310,3,Sim Price Change with Constant Vol, 1,$834.59,7.00%, 17.00%, 13,0,1,0,[],1,1,1,1,0,0,1,0,0 868686, 24,666,Cont1/Stop2, RevertNo0Yes1,Rehearsal Script, Script 24,700,2,Rehearsal Script,0,The RUT finishes the thirteen days in the first decile of our forecast going up. We have a mark-to-ma