Samples and Instructions

###

Options - Vanilla

Options - Exotic

Interest rate derivatives and convertible bonds

Employee stock options

Historical volatility, correlation, and price distribution

Probability analysis

Hedging & portfolio insurance; trading profitability

Futures & variance swaps

Portfolio analysis

Portfolio asset allocation, optimization & simulation

On-Line data

Utilities

Value at Risk (VaRtools)

Interest rate derivatives and convertible bonds

Historical volatility, correlation, and price distribution

Hedging & portfolio insurance; trading profitability

Portfolio asset allocation, optimization & simulation

Hoadley Trading & Investment Tools Web Site

Check for updates

Download the Options Strategy Evaluation Tool (OSET)

Download Open Positions Manager

Download Portfolio Analysis & Design Applications (Portfolio Optimizer etc)

Download additional samples spreadsheets

Historic and Implied Volatility Calculators

http://www.hoadley.net/options/options.htm?src=AddIn

http://www.hoadley.net/options/DevelToolsLatestVersion.htm?src=AddIn

http://www.hoadley.net/options/strategymodel.htm?src=AddIn

http://www.hoadley.net/options/develtoolspositionmanager.htm?src=AddIn

http://www.hoadley.net/options/develtoolsportfolioanalysis.htm?src=AddIn

http://www.hoadley.net/options/develtoolsportfoliosamples.htm?src=AddIn

http://www.hoadley.net/options/develtoolsFAQs.htm#whereare

HoadleyOptions1Returns the price and hedge parameters of Europeanor American options. Uses absolute dates.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Deal_date 14-Jan-00Expiry_date 25-Mar-00Volatility 30%Risk_free_rate 5.75%

Optional arguments:Dividend_type D

Dividend_details: Amt Ex-divDividend 1 0.20 01-Feb-00Dividend 2 0.50 01-Mar-00

Binomial_steps 100

Results Calc type ValuePrice P #MACRO?Delta D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?

Index

http://www.hoadley.net/options

Help

http://www.hoadley.net/options/options.htm

C

P

1

2

3

N

C

D

HoadleyOptions2Returns the price and hedge parameters of European or American options. Uses days rather than dates.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Volatility 30%Risk_free_rate 5.75%


Dividends Amt Ex DivDividend 1 0.25 90Dividend 2 0.50 310

Binomial steps 100

Results Calc Type ValuePrice: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?

Example with user function in VBA module:Results Calc Type ValuePrice: P #VALUE!Delta: D #VALUE!Gamma G #VALUE!Vega V #VALUE!Theta T #VALUE!Rho R #VALUE!

Index


Help


C

P

1

2

3

N

C

D

HoadleyImpliedVolatility1Returns the implied volatility of an option. Uses absolute dates.

ExampleInputsPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Deal_date 14-Jan-00Expiry_date 25-Mar-00Option_price 0.2560Risk_free_rate 5.75%


Amt ex-divDividend_details 0.20 01-Feb-00

0.50 01-Mar-00

Binomial_steps 50

ResultsImplied volatility #MACRO?

Index


Help


C

P

1

2

3

N

C

D

HoadleyImpliedVolatility2Returns the implied volatility of an option. Uses days rather than dates.

ExampleInputsPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Option_price 1.205Risk_free_rate 5.75%

Optional arguments:Dividend_type DDividends 0.75Days_to_ex_dates 310

Binomial_steps 50

ResultsUsed from a worksheet cell: #MACRO?

Used from a VBA module: #VALUE!

Index


Help


C

P

1

2

3

N

C

D

HoadleyPercentToTarget1Returns the percentage that the underlying spot price needs to change to produce a target option price. A target of 100% produces "percent to double".

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Value_date 14-Jan-00Expiry_date 25-Mar-00Volatility 30%Risk_free_rate 5.75%

Optional arguments:Target_percent 100%Option_price

Dividend_type DDividend_details:

Amt Ex-divDividend 1 0.20 01-Feb-00Dividend 2 0.50 01-Mar-00

Binomial_steps 50

Results Calc Type ValuePercent change in spot price P #MACRO?Target spot price TSP #MACRO?

Current option price COP #MACRO?Target option price TOP #MACRO?

Index


Help


C

P

1

2

3

N

C

D

HoadleyPercentToTarget2Returns the percentage that the underlying spot price needs to change to produce a target option price. A target of 100% produces "percent to double".

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 13.00Spot 12.50Days 365Volatility 30%Risk_free_rate 5.75%

Optional arguments:Target_percent 100%Option_price

Dividend_type DDividends 0.75Days_to_ex_dates 310

Binomial steps 50

Results Calc Type ValuePercent change in spot price P #MACRO?Target spot price TSP #MACRO?

Current option price COP #MACRO?Target option price TOP #MACRO?

Index


Help


C

P

1

2

3

N

C

D

HoadleyImply1Returns a value for strike, spot, days risk freerate or volatility implied by either a given option price ordelta. Uses absolute dates.

ExampleInputs Results (implied underlying values)Solve_for Solve_forPricing_model (European or American) 1 Target_type Target_Value 1 StrikeOption_type P 1 Option price #MACRO? #MACRO?Strike 100.00 2 Delta #MACRO? #MACRO?Spot 98.70 Seed_value (optional)Value_date 20-Dec-03Expiry_date 30-Jun-04 (actual days: 193) Volatility 30%Risk_free_rate 3.75%

Target_typeTarget_Value

Seed_value

Dividend_type D

Dividend Details Amt Ex-div1.50 01-Feb-041.80 01-Jun-04

Binomial_steps 100

Index


Help


123

CP

NCD

Solve_for2 Spot 3 Days 4 Vol'tilty 5 Rate

#MACRO? #MACRO? #MACRO? ####MACRO? #MACRO? ###

Seed_value (optional)200

HoadleyImply2Returns a value for strike, spot, days risk freerate or volatility implied by either a given option price orDelta. Uses days.

ExampleInputs Results (implied underlying values)Solve_for Solve_forPricing_model (European or American) 1 Target_type Target_Value 1 StrikeOption_type P 1 Option price #MACRO? #MACRO?Strike 60.00 2 Delta #MACRO? #MACRO?Spot 58.00 Seed_value (optional)Days_to_expiry 120Volatility 30%Risk_free_rate 3.75%

Target_typeTarget_Value

Seed_value

Dividend_type DDividends 1.5Days_to_ex_dates 25

Binomial_steps 100

Index


Help


123

CP

NCD

Solve_for2 Spot 3 Days 4 Vol'tilty 5 Rate

#MACRO? #MACRO? #MACRO? ####MACRO? #MACRO? ###

Seed_value (optional)50

HoadleyBinomialTSOption pricing, "greeks" and implied volatility with time dependent interest rates and yields. ("Term Structure")This function is only available in the full version of the add-in

ExampleInputsCalculation_typePricing_model (2=American; 3=European) 2Option_type PStrike 100.00Spot 100.00Days 1,825Volatility 20.0%

Term Stucture Years Rate Div Yield0.0 2.00% 2.00%2.0 3.00% 2.50%4.0 4.00% 3.00%5.0 5.00% 3.50%


Dividend details Amt Days to ExDividend 1 2.00 23Dividend 2 3.00 383Dividend 3 3.00 743Dividend 4 4.00 1,103Dividend 5 4.00 1,463Dividend 6 4.00 1,823

Option_priceBinomial_steps 200Days_to_exercise

Index


Help


2

3

C

P

N

D

C

Results Pricing ComparisonNormal Pricing

Calc (Constant with TermType Rates) Structure

Constant interest rate used for normal pricing: 5.0%Constant yield used for normal pricing: 3.5%Price P #MACRO? #MACRO?Delta D #MACRO? #MACRO?Gamma G #MACRO? #MACRO?Vega V #MACRO? #MACRO?

Implied Volatility (using above price) IV #MACRO?

For European options on assets which do not pay discrete dividends, or forAmerical calls on assets with no dividends (discrete or continuously compounded),HoadleyBinomialTS will return the same results as HoadleyOptions2 (with very slight differences due to the discrete approximations inherent in binomial trees).

For European options paying discrete dividends, American Puts with or without dividends, or American calls with discrete or continuous dividends, HoadleyBinomialTS may return significantly different results from the HoadleyOptions2 function depending on steepness of yield curve, and assumptions regarding the constant rate and dividend yield used in HoadleyOptions2.

This can be demonstrated by changing the pricing_model and dividend_type arguments on this sheet.

See Help for more information.

HoadleyTrinomialTSOption pricing, "greeks" and implied volatility with time dependent interest rates, yields and volatilities.

Example InputsCalculation_typePricing_model (2=American; 3=European) 2Option_type PStrike 100.00Spot 100.00Days 1,825

Volatility term structure Years Volatility0.0 35.00%0.5 30.00%1.0 25.00%2.0 23.00%5.0 17.00%

Yield Term Stucture Years RF Rate Div Yield0.0 2.00% 2.00%2.0 3.00% 2.50%4.0 4.00% 3.00%5.0 5.00% 3.50%


Dividend details Amt Days to ExDividend 1 2.00 23Dividend 2 3.00 383Dividend 3 3.00 743Dividend 4 4.00 1,103Dividend 5 4.00 1,463Dividend 6 4.00 1,823

Option_priceTrinomial_steps 200Days_to_exercise

Example 2: Both risk free and risky rates specifiedInputsCalculation_typePricing_model (2=American; 3=European) 2Option_type CStrike 100.00Spot 105.00Days 720

This function is only available in the full version of the add-in purchased under a commercial license.

IndexHelp

Volatility term structure Years Volatility0.0 30.00%

Yield Term Stucture Years RF Rate Div Yield Risky Rate0.0 2.00% 2.00% 5.00%1.8 3.00% 2.50% 5.50%


Dividend details Amt Days to ExDividend 1 2.00 80Dividend 2 3.00 370

Option_priceTrinomial_steps 200Days_to_exercise

2

3

C

P

N

D

C



Option pricing, "greeks" and implied volatility with time dependent interest rates, yields and volatilities.

Results Calc Type ValuePrice P #MACRO?Delta D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Implied Volatility (using above price) IV #MACRO?

See comments on the HoadleyBinomialTS sample sheet regardingcomparison with normal option pricing.

The HoadleyBinomialTS function will return the same results as theHoadleyTrinomialTS function if the volatility used as input to theHoadleyBinomialTS function is the implied volatility produced by theHoadleyTrinomialTS function.

See Help for additional information.

Results Calc Type ValuePrice P #MACRO?Delta D #MACRO?Gamma G #MACRO?Vega V #MACRO?

This example illustrates using two interest rates: the risk free rateand a risky rate.

purchased under a commercial license.

The risk free rate defines the expected return of the underlying assetin a risk-neutral world. The risky rate is used to discount the expected option payoff.

HoadleyOptionsNLNReturns an European or American option price based on a Non LogNormal underlying price distribution. Uses Rubinstein implied binomial trees to account for skewness & kurtosis.This function is only available in the full version of the add-in

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 20.00Spot 20.00Days 182.5Volatility 25%Risk_free_rate 5%

Optional arguments:Dividend_type (optional) DDividends (optional) 0.50Days_to_ex_dates (optional) 20.0

Skewness (0ptional) -0.5Kurtosis (optional) 1.8

Binomial_steps (optional) 100

Results - Calculation of volatility smileGap between strike prices: 0.50Strike prices 15.00 15.50 16.00 16.50 17.00 17.50 18.00Non-log normal price ### ### ### ### ### ### ###Log normal option price ### ### ### ### ### ### ###Implied volatility ### ### ### ### ### ### ###

Index


15.0

015

.5016

.0016

.5017

.0017

.5018

.0018

.5019

.0019

.5020

.0020

.5021

.0021

.5022

.0022

.5023

.0023

.5024

.0024

.5025

.0025

.50

20%

21%

22%

23%

24%

25%

26%Volatility Smile

Strike

Vo

lati

lity

Notes:1. The non-log normal and log normal prices are shown above for interest only. They are not used in calculating the volatility smile.

2. You can use Excel solver to simultaneously calculate the "true" volatility, skewness and kurtosis from observed market option prices by minimizing the sum of the squares of the differences between the non-log normal prices and the market prices.

Help


"True" volatility: 25% 25% 25% 25% 25% 25% 25%

C

P

1

2

3

N

C

D

18.50 19.00 19.50 20.00 20.50 21.00 21.50 22.00 22.50 23.00 23.50### ### ### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ### ### ###

15.0

015

.5016

.0016

.5017

.0017

.5018

.0018

.5019

.0019

.5020

.0020

.5021

.0021

.5022

.0022

.5023

.0023

.5024

.0024

.5025

.0025

.50

20%

21%

22%

23%

24%

25%

26%Volatility Smile

Strike

Vo

lati

lity

25% 25% 25% 25% 25% 25% 25% 25% 25% 25% 25%

24.00 24.50 25.00 25.50### ### ### ###### ### ### ###### ### ### ###

25% 25% 25% 25%

HoadleySABRBlackVolReturns the Black-76 equivalent volatility calculated using the SABRstochastic volatility model.This function is only available in the full version of the add-in

ExampleInputsUnderlying_type SStrikeUnderlying_price 97.04Days 365Volatility_ATM 40%Risk_free_rate 5.0%Beta 1VolVol 75%Correlation -0.25

Optional argumentDividend_yield 2.0%

Results 1: Calculation of volatility smile using Black-76 equivalent volatilityGap between strike prices: 5Strike prices 60.00 65.00 70.00 75.00 80.00 85.00 90.00 95.00Black-76 equivalent volatility ### ### ### ### ### ### ### ###

Forward price:

Results 2: Using HoadleySABRCalibrate to recover VolVol and correlation

Correl- Iter-VolVol and correlation equal the VolVol and correlation used to VolVol ation ations Sumcalculate the Black-76 equivalent volatility in "Results 1" ### ### ### ###

Index


60.0

065

.00

70.0

075

.00

80.0

085

.00

90.0

095

.00

100.

00

105.

00

110.

00

115.

00

120.

00

125.

00

130.

00

135.

00

140.

00

145.

00

150.

00

155.

00

160.

00

165.

00

36%

37%

38%

39%

40%

41%Volatility Smile from SABR Model

Strike

Vo

lati

lity

Help


40% 40% 40% 40% 40% 40% 40% 40%

FS

ATM100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 145.00 150.00 155.00

### ### ### ### ### ### ### ### ### ### ### ######

60.0

065

.00

70.0

075

.00

80.0

085

.00

90.0

095

.00

100.

00

105.

00

110.

00

115.

00

120.

00

125.

00

130.

00

135.

00

140.

00

145.

00

150.

00

155.

00

160.

00

165.

00

36%

37%

38%

39%

40%

41%Volatility Smile from SABR Model

Strike

Vo

lati

lity

40% 40% 40% 40% 40% 40% 40% 40% 40% 40% 40% 40%

160.00 165.00### ###

40% 40%

HoadleySABROptionReturns the option value and greeks for an option using the SABR stochastic volatility model.This function is only available in the full version of the add-in

ExampleInputsCalculation_typeOption_type CUnderlying_type FStrikeUnderlying_price 100.00Days 182.5Volatility_ATM 30%Risk_free_rate 4.50%Beta 0.5VolVol 150%Correlation -0.55

Optional argumentDividend_yield

Results Calc Type

Option value PP

Delta DD

Gamma GG

Vega VV

Theta TT

Rho (Futures option) RR

Index


Help


CPFS

Returns the option value and greeks for an option using the SABR stochastic volatility model.This function is only available in the full version of the add-in

Results by StrikeStrike 60.00 70.00 80.00 90.00 100.00

Black-76 equivalent volatility ### ### ### ### ###

Value using SABR ### ### ### ### ###Value using HoadleyOptions2 & Black-76 Volatility ### ### ### ### ###

Delta using SABR ### ### ### ### ###Delta using HoadleyOptions2 & Black-76 Volatility ### ### ### ### ###

Gamma using SABR ### ### ### ### ###Gamma using HoadleyOptions2 & Black-76 Volatility ### ### ### ### ###

Vega using SABR ### ### ### ### ###Vega using HoadleyOptions2 & Black-76 Volatility ### ### ### ### ###

Theta using SABR ### ### ### ### ###Theta using HoadleyOptions2 & Black-76 Volatility ### ### ### ### ###

Rho using SABR ### ### ### ### ###Rho using HoadleyOptions2 & Black-76 Volatility ### ### ### ### ###

This example calculates futures option values and Greeks for a range of strikes using two methods:1. Using the SABR Stochastic volatility model2. Using the Black-76 model (which is the Black-Scholes model with the dividend yield set equal to the risk free rate). The volatility used in the Black-76 model is the Black-76 equivalent volatility calculated using the HoadleySABRBlackVol function.

The example illustrates that:1. The option values are the same for both methods (by definition)2. Some Greeks will be different. In particular delta and gamma will be significantly different as the way they are calculated using the SABR model captures the dynamics of the volatility smile. This illustrates the potential of the SABR model to improve the effectiveness of portfolio hedging.

Results by Strike110.00 120.00 130.00 140.00 150.00 160.00

### ### ### ### ### ###

### ### ### ### ### ###### ### ### ### ### ###

### ### ### ### ### ###### ### ### ### ### ###

### ### ### ### ### ###### ### ### ### ### ###

### ### ### ### ### ###### ### ### ### ### ###

### ### ### ### ### ###### ### ### ### ### ###

### ### ### ### ### ###### ### ### ### ### ###

This example calculates futures option values and Greeks for a range of strikes using two methods:1. Using the SABR Stochastic volatility model2. Using the Black-76 model (which is the Black-Scholes model with the dividend yield set equal to the risk free rate). The volatility used in the Black-76 model is the Black-76 equivalent volatility calculated using the HoadleySABRBlackVol function.

The example illustrates that:1. The option values are the same for both methods (by definition)2. Some Greeks will be different. In particular delta and gamma will be significantly different as the way they are calculated using the SABR model captures the dynamics of the volatility smile. This illustrates the potential of the SABR model to improve the effectiveness of portfolio hedging.

HoadleySABRCalibrateCalibrates the SABR model with market data. The function returns the volatilityof the volatility (VolVol) and the correlation of the volatility with the underlying.This function is only available in the full version of the add-in

ExampleInputsUnderlying_type SMarket_strikesMarket_volsUnderlying_price 871.63Days 60Volatility_ATM 41.0%Risk_free_rate 2.00%Beta 1

Optional argumentDividend_yield 3.00%

Results From CalibrationSum of

SquaredVolVol Correlation Iterations Differences

### #MACRO? #MACRO? #MACRO?

Option Type Call

Market Inputs SABR vs Black-ScholesImplied SABR Actual Mkt SABR Black-76 SABR

Strike Volatility Black Vol Option Price Option Price Delta Delta475.00 67.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?490.00 67.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?500.00 65.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?510.00 #MACRO? #MACRO? #MACRO?520.00 #MACRO? #MACRO? #MACRO?525.00 64.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?530.00 #MACRO? #MACRO? #MACRO?535.00 #MACRO? #MACRO? #MACRO?540.00 #MACRO? #MACRO? #MACRO?550.00 61.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?560.00 #MACRO? #MACRO? #MACRO?575.00 60.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?585.00 #MACRO? #MACRO? #MACRO?600.00 58.8% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?610.00 57.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?620.00 57.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?625.00 56.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?630.00 56.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?635.00 57.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?640.00 55.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?645.00 55.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?650.00 55.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Index

475

520

540

585

625

645

665

685

705

725

745

765

785

805

825

845

865

885

905

925

945

965

985

1005

1025

1045

1065

1085

1105

1125

1175

0%

10%

20%

30%

40%

50%

60%

70%

80%Market IV vs SABR Calibrated Volatility

Market VolatilitySABR Calibration

Strikes

Vola

tility

Help

655.00 55.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?660.00 54.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?665.00 54.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?670.00 53.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?675.00 53.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?680.00 53.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?685.00 53.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?690.00 52.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?695.00 52.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?700.00 51.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?705.00 51.8% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?710.00 51.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?715.00 51.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?720.00 50.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?725.00 50.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?730.00 49.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?735.00 49.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?740.00 49.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?745.00 49.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?750.00 48.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?755.00 48.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?760.00 48.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?765.00 47.8% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?770.00 47.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?775.00 47.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?780.00 46.8% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?785.00 46.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?790.00 46.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?795.00 45.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?800.00 45.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?805.00 45.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?810.00 44.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?815.00 44.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?820.00 44.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?825.00 43.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?830.00 43.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?835.00 43.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?840.00 42.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?845.00 42.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?850.00 42.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?855.00 41.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?860.00 41.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?865.00 41.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?870.00 41.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?875.00 40.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?880.00 40.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?885.00 39.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?890.00 39.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?895.00 39.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?900.00 38.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?905.00 38.8% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?910.00 38.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?915.00 38.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?920.00 38.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?925.00 37.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?930.00 37.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?935.00 36.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

940.00 36.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?945.00 36.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?950.00 36.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?955.00 35.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?960.00 35.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?965.00 35.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?970.00 35.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?975.00 35.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?980.00 34.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?985.00 34.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?990.00 34.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?995.00 34.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

1000.00 34.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1005.00 33.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1010.00 33.2% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1015.00 33.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1020.00 33.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1025.00 32.8% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1030.00 32.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1035.00 32.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1040.00 32.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1045.00 31.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1050.00 31.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1055.00 31.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1060.00 31.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1065.00 31.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1070.00 31.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1075.00 31.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1080.00 30.5% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1085.00 #MACRO? #MACRO? #MACRO?1090.00 30.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1095.00 #MACRO? #MACRO? #MACRO?1100.00 30.3% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1105.00 #MACRO? #MACRO? #MACRO?1110.00 #MACRO? #MACRO? #MACRO?1115.00 #MACRO? #MACRO? #MACRO?1120.00 29.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1125.00 29.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1140.00 29.1% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1150.00 30.7% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1160.00 30.4% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1175.00 32.0% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1180.00 31.6% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

CallPut

475

520

540

585

625

645

665

685

705

725

745

765

785

805

825

845

865

885

905

925

945

965

985

1005

1025

1045

1065

1085

1105

1125

1175

0%

10%

20%

30%

40%

50%

60%

70%

80%Market IV vs SABR Calibrated Volatility

Market VolatilitySABR Calibration

Strikes

Vola

tility

This example is the S&P 500 index option chain (SPX) traded on CBOE. The data is from 23rd December 2008 for expiry 21st February 2009.

The implied volatility (column C) was calculated by the Hoadley Implied Volatility Calculator. The strikes and IVs were copied and pasted from the IV Calculator volatility surface sheet. Interpolated volatilities (ie where there were no trades) have been removed. Very low strikes and very high strikes have also been removed as the options are very thinly traded and the data unreliable.

At the time this snapshot was taken volatility ATM was unusually high.

The chart shows that the SABR model provides a good fit to the market data especially near the money. This is true for any value of beta (between 0 and 1).

The deltas near the money are significantly different from Black-Scholes deltas because, unlike Black-Scholes/Black-76 the SABR model takes into account the dynamics of the volatility smile. Although not shown here the same is true for gamma.

The SABR model, providing a self-consistent model across all strikes, is therefore likely to provide a better basis for hedging option portfolio risk than the Black-Scholes model with different volatilities for each strike.

ATM

This example is the S&P 500 index option chain (SPX) traded on CBOE. The data is from 23rd December 2008 for expiry 21st February 2009.

The implied volatility (column C) was calculated by the Hoadley Implied Volatility Calculator. The strikes and IVs were copied and pasted from the IV Calculator volatility surface sheet. Interpolated volatilities (ie where there were no trades) have been removed. Very low strikes and very high strikes have also been removed as the options are very thinly traded and the data unreliable.

At the time this snapshot was taken volatility ATM was unusually high.

The chart shows that the SABR model provides a good fit to the market data especially near the money. This is true for any value of beta (between 0 and 1).

The deltas near the money are significantly different from Black-Scholes deltas because, unlike Black-Scholes/Black-76 the SABR model takes into account the dynamics of the volatility smile. Although not shown here the same is true for gamma.

The SABR model, providing a self-consistent model across all strikes, is therefore likely to provide a better basis for hedging option portfolio risk than the Black-Scholes model with different volatilities for each strike.

Early Exercise ClassReturns all optimal early exercise points for a range of spot prices for a given option specification. Onlyrelevant for American options.

Example:Inputs ResultsOption dates:Deal date 13-Sep-01Expiry date 20-Dec-01Ex-dividend date 1: 03-Oct-01Ex-dividend date 2: 31-Oct-01

Inputs:Option_type C OptimalStrike 17.50 Spot Early Exercise Option PriceDays_to_expiry 98 Price Threshold at ThresholdVolatility 33.9% 20.50 On 02-Oct-01Risk_free_rate 5.00% 21.00 On 02-Oct-01

21.50 On 02-Oct-01Dividend_type D

Div 1 Div 2 19.50 On 30-Oct-01Dividends 0.25 0.5 20.00 On 30-Oct-01Days_to_ex_dates 20 48 20.50 On 30-Oct-01

21.00 On 30-Oct-01Current stock price: 17.65 21.50 On 30-Oct-01

Range of spot prices to be searched: 13.5014.0014.5015.0015.5016.0016.5017.0017.5018.0018.5019.0019.5020.0020.5021.0021.50

Index


Help


CPNCD

Probability Option Price of reachingat Threshold Threshold

3.0000 2.6%3.5000 1.2%4.0000 0.5%

2.0000 17.3%2.5000 12.5%3.0000 8.8%3.5000 6.0%4.0000 4.0%

HoadleyBarrier1Returns the option price, hedge parameter or implied volatility of an European or American single barrier option.

ExampleInputsCalc_type PPricing_model (European or American) 1Option_type PBarrier_type DIStrike 100.00Spot 100.00Barrier 80.00Days_to_expiry 365Volatility 25%Interest_rate 6.00%

Optional arguments:Dividend_type NDividends 2.30Days_to_ex 122

Rebate 0.00Option_priceTri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300

Results Calc Type ValueOption price P #MACRO?Delta D #MACRO?Gamma G #MACRO?Theta T #MACRO?

Index


Help


C

P

1

2

3

N

C

D

UIUODIDOCDWM

HoadleyBarrier2Returns the option price, hedge parameter or implied volatility of a European or American double barrier option.

ExampleExampleCalc_type PPricing_model (European or American) 1Option_type PBarrier_type IStrike 100.00Spot 100.00Upper_barrier 110.00Lower_barrier 80.00Days_to_expiry 365.0Volatility 25%Interest_rate 6.00%

Optional arguments:Dividend_type NDividends 2.30Days_to_ex 122

Rebate 0.00Option_price Tri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300

Results Calc Type ValueOption price: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Theta T #MACRO?

Index


Help


C

P

1

2

3

N

C

D

OI

CDWM

HoadleyBasketOptionReturns the price of a European option on a basket of underlying assets. The price is calculated analytically, not by simulation.This function is only available in the full version of the add-in.

ExampleInputsOption_type PValue_date 05-Sep-03Expiry_date 05-Sep-04Risk_rate 5.50%Strike 730,000.00

PG IBM GE MSFTCorr_matrix PG 1.00 0.30 0.20 0.20(correlation matrix) IBM 1.00 0.25 0.30

GE 1.00 0.20MSFT 1.00

PG IBM GE MSFTVolatilities 27% 25% 33% 34%Prices 91.43 87.91 31.32 28.43No_units 2500 1750 5400 6300div_yields 2.10% 3.00% 1.30% 0.00%

Results - 1Option value #MACRO?

Results - 2Comparison with at-the-money options on the individual assets. The basket optionwill be cheaper. Hedging currency exposures and other risks can therefore bedone more cheaply than by purchasing individual options.

PG IBM GE MSFTIndividual option strikes (ATM) 228,575 153,843 169,128 179,109Individual option values ### ### ### #MACRO?

Strike for basket 730,655

Total of individual option values #MACRO?Basket option value #MACRO?

Index


Help


CP

HoadleyBasketSimReturns the price of European and American basket options using Monte Carlo simulation. The delta of the European option is also returned.This function is only available in the full version of the add-in.

ExampleInputscalculation_type DOption_type P

Value_date 05-Sep-03Expiry_date 05-Sep-04

Days_to_Epiry 366Risk_rate 5.50%Strike 730,000

PG IBM GE MSFTCorr_matrix PG 1.00 0.30 0.20 0.20(correlation matrix) IBM 1.00 0.25 0.30

GE 1.00 0.20MSFT 1.00

PG IBM GE MSFTVolatilities 27% 25% 33% 34%Prices 91.43 87.91 31.32 28.43No_units 2500 1750 5400 6300div_yields 2.10% 3.00% 1.30% 0.00%

Iterations 10,000Time_steps 20

ResultsCorrelation matrix positive definite? #MACRO?

European option value 42,321American option value 45,555European delta -0.38

Note: this example calls the function from a macro rather than directly from theworksheet. The reasons why this is the recommended approach are outlinedin the help file documentation for this function.

Index


Help


PDCP

HoadleyDelayedStartReturns the value, and hedge parameters of anEuropean or American delayed start (forward start) option.This function is only available in the full version of the add-in.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CMoneyness_ratio 0.90Spot 100.00Days_to_strike_set 87.00Days_to_expiry 182.5Volatility 25%Risk_free_rate 4.50%



Binomial steps 200

Results Calc Type ValuePrice: P ###Delta: D ###Gamma G ###Vega V ###Theta T ###Rho R ###

Index


Help


123

CP

NCD

HoadleySpreadOptionReturns the value, hedge parameters or implied correlation of an European or American spread option.Uses modified Black or three dimensional binomial trees.This function is only available in the full version of the add-in.

ExampleInputsCalculation_type PPricing_model 1Option_type PPrice_1 103Price_2 100Strike 2Days 365Volatility_1 20%Volatility_2 30%Risk_free_rate 5%Div_yield_1 5%Div_yield_2 5%Correlation 0.43

Optional arguments:Qty_1 1Qty_2 1Option_priceBinomial_steps 50

Results Calc Type ValuePrice P #MACRO?Delta asset 1 D1 #MACRO?Delta asset 2 D2 #MACRO?Gamma asset 1 G1 #MACRO?Gamma asset 2 G2 #MACRO?Cross Gamma GC #MACRO?Vega asset 1 V1 #MACRO?Vega asset 2 V2 #MACRO?Theta T #MACRO?Rho R #MACRO?Rho on forward contracts RF #MACRO?

Implied correlation IC #MACRO?

Index


Help


123

CP

### HoadleyAsianAReturns the price and hedge parameters for an Europeanstyle Asian athithmetic average price option using ananalytic approximation.This function is only available in the full version of the add-in.

ExampleInputsCalculation_type POption_type PStrike 50Spot 50Days_remaining 220Volatility 30%Risk_free_rate 5%Div_yield 2%

Optional arguments:Original_days 365Average_price 53

Days_to_1st_avDays_between_avs 7Num_averages

Results Calc Type ValuePrice P ###Delta D ###Gamma G ###Vega V ###Rho R ###

Index


Help


CP

HoadleyAsianBReturns the price and hedge parameters for an Europeanor American style arithmetic average price Asian optionusing a binomial tree.This function is only available in the full version of the add-in.

ExampleInputsPricing_model 3Option_type CStrike 50Spot 50Days_remaining 220Volatility 30%Risk_free_rate 5%Div_yield 3%

Optional arguments:Original_days 365Average_price 53Binomial_steps 50

Results ValueOption price (European) ###

Price using HoadleyAsianA (for comparison) ###

Index


Help


CP

23

HoadleyQuantoOptionReturns the price and hedge parameters of European or American quanto options.This function is only available in the full version of the add-in.

ExampleInputsCalculation_type PPricing_model (European or American) 1Option_type CStrike 1200.00Asset_price 1235.00Days 430Asset_vol 25%Currency_vol 12%Correlation 0.2Domestic_rate 5%Foreign_rate 3%Exchange rate 0.75Dividend_yield 2%

Optional argument:Binomial steps 100

Results Calc Type ValuePrice: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Theta T #MACRO?

Index


Help


123

CP

HoadleyQuantoBarrier1Returns the option price & hedge parameter of anEuropean or American single barrier quanto option.This function is only available in the full version of the add-in.

ExampleInputsCalc_type PPricing_model (European or American) 1Option_type PBarrier_type DIStrike 100.00Asset_price 100.00Barrier 80.00Days_to_expiry 365Asset_vol 25%Currency_vol 15%Correlation -0.3Domestic_rate 5.00%Foreign_rate 6.00%Exchange rate 1.20Dividend_yield 3.00%

Optional arguments:Rebate 0.00Tri_steps 300Discrete_monitoring CTrading_days 250Max_steps 1300

Results Calc Type ValueOption price P #MACRO?Delta D #MACRO?Gamma G #MACRO?Theta T #MACRO?

Index


Help


1

23

CPUIUODIDOCDWM

HoadleyQuantoAsianAReturns the price and hedge parameters for an Europeanstyle Asian athithmetic average price quanto option using an analytic approximation.This function is only available in the full version of the add-in.

ExampleInputsCalculation_type POption_type PStrike 50asset_price 50Days_remaining 220Asset_vol 30%Currency_vol 13%Correlation 0.3Domestic_rate 3%Foreign_rate 5%Exchange rate 0.8Div_yield 2%

Optional arguments:Original_days 365Average_price 53

Days_to_1st_avDays_between_avs 7Num_averages

Results Calc Type ValuePrice P ###Delta D ###Gamma G ###

Index


Help


CP

HoadleyQuantoAsianBReturns the price and hedge parameters for an Europeanor American style arithmetic average price Asian quanto optionusing a binomial tree.This function is only available in the full version of the add-in.

ExampleInputsPricing_model 3Option_type CStrike 50Spot 50Days_remaining 220Asset_vol 25%Currency_vol 12%Correlation -0.2Domestic_rate 5%Foreign_rate 3%Exchange rate 1.2Div_yield 3%

Optional arguments:Original_days 365Average_price 53Binomial_steps 50

Results ValueOption price (European) ###

Price using HoadleyQuantoAsianA (for comparison) ###

Index


Help


23

CP

HoadleyBinCNReturns the price and hedge parameters for a binary cash or nothing optionThis function is only available in the full version of the add-in

ExampleInputsCalc_typeOption_type CStrike 100Spot 102Payout 5.00Days_toExpiry 420Volatility 20%Interest_rate 4.75%

Optional arguments:Dividend_yield 3.00%

Results 1 Calc_type ValuePrice P ###Delta D ###Gamma G ###Vega V ###Theta T ###Rho R ###

Results 2 ValueAsset or nothing call ###Cash or nothing call with payout = strike ###

Asset or nothing minus cash or nothing ###=European call ###

Index


Help


CP

HoadleyBinANReturns the price and hedge parameters for a binary asset or nothing optionThis function is only available in the full version of the add-in

ExampleInputsCalc_typeOption_type CStrike 100Spot 102Days_toExpiry 420Volatility 20%Interest_rate 4.75%

Optional arguments:Dividend_yield 3.00%


Index


Help


CP

HoadleyBin1CNReturns the price and hedge parameters for a binary single barrier one touch cash or nothing option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeBarrier_type UISpot 102Barrer 120Payout 5.00Payout_time EDays_toExpiry 420Volatility 20%Interest_rate 4.75%

Optional arguments:Dividend_yield 3.00%Discrete_monitoring CTrading_days 252


Index


Help


UIUODIDO

HE

CDWM

HoadleyBin1ANReturns the price and hedge parameters for a binary single barrier one touch asset or nothing option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeBarrier_type DISpot 102Barrier 90Payout_time EDays_toExpiry 420Volatility 20%Interest_rate 4.75%



Index


Help


UIUODIDO

HE

CDWM

HoadleyBin1CNCPReturns the price and hedge parameters for a single barrier one touch cash or nothing call or put option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeOption_type CBarrier_type UIStrike 100Spot 102Barrier 130Payout 5.00Days_to_expiry 365Volatility 20.00%Interest_rate 5.50%



Index


Help


UIUODIDO

CDWM

CP

HoadleyBin1ANCPReturns the price and hedge parameters for a single barrier one touch asset or nothing call or put option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeOption_type CBarrier_type UOStrike 100Spot 102Barrier 130Days_to_expiry 365Volatility 20.00%Interest_rate 5.50%



Index


Help


UIUODIDO

CDWM

CP

HoadleyBin2CNReturns the price and hedge parameters for a binary double barrier one touch cash or nothing option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeBarrier_type ISpot 102Upper_barrier 120Lower_barrier 90Payout 5.00Payout_time EDays_toExpiry 420Volatility 20%Interest_rate 4.75%



Index


Help


IOHECDWM

HoadleyBin2ANReturns the price and hedge parameters for a binary double barrier one touch asset or nothing option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeBarrier_type ISpot 102Upper_barrier 120Lower_barrier 90Payout_time EDays_toExpiry 420Volatility 20%Interest_rate 4.75%



Index


Help


IOHECDWM

HoadleyBin2CNCPReturns the price and hedge parameters for a binary double barrier one touch cash or nothing call or put option.This function is only available in the full version of the add-in

ExampleInputsCalc_typeOption_type CBarrier_type IStrike 100Spot 102Upper_barrier 130Lower_barrier 90Payout 5.00Days_to_expiry 365Volatility 20.00%Interest_rate 5.50%



Index


Help


CPIO

CDWM

HoadleyBondReturns the price, yield to maturity, duration or modified duration of a coupon bond.

ExampleInputsCalc_type PPrincipal 100.00Valuation_date 07-Apr-03Maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4

Term structure: Years Rate0.00 2.75%0.25 3.00%0.50 3.25%1.00 3.50%3.00 4.00%5.00 4.50%

Optional arguments:Price_type (quoted or cash)Bond_priceYield_typePrev_ex_date Results Calc_type ValueQuoted ("clean") price P #MACRO?Bond yield (continuous compounding) Y #MACRO?Bond yield (discrete compounding) Y #MACRO?

Cash ("dirty") price P #MACRO?Bond yield (continuous compounding) Y #MACRO?Bond yield (discrete compounding) Y #MACRO?

Duration D #MACRO?Modified Duration MD #MACRO?

Index


Help


Hoadley FR NoteReturns the price, or the effective margin over swap, for a floating rate note ("floater")This function is only available in the full version of theadd-in.

ExampleInputsCalc_type PPrincipal 100.00Value_date 29-Feb-04maturity_date 27-Jul-07Current_coupon 4.10%Reset_frequency 4Contract_margin 1.00%Effective_margin 1.50%

Term_structure Years Rate0.25 5.50%0.50 5.80%1.00 6.10%2.00 6.30%3.00 6.50%4.00 6.60%

Optional arguments:Price_type (Quoted or cash)Market_price yield_type Dprev_ex_date

Gross_up_factor 0.7coupon_multiplier

ResultsQuoted ("clean") price P #MACRO?Effective margin EM #MACRO?

Cash ("dirty") price P #MACRO?Effective margin EM #MACRO?

Index


Help


HoadleyConvBondReturns the price and other related information of aconvertible bond with call and/or put features.This function is only available in the full version of the add-in.

ExampleInputs ResultsCalc_type PQ Convertible bond price (quoted)Redemption 100.00 Convertible bond price (cash)Valuation_date 02-Oct-03Maturity_Date 25-Mar-05 Bond price (quoted)Coupon_rate 8.00% Bond price (cash)Coupon_frequ 2 Accrued interestRisk_free_rate 5.00% Delta per shareCredit_spread 2.50% Option value

Share_price 24.00Volatility 25%Conversion_ratio 4.0

Optional arguments:conversion_date

Dividend_type D

Dividend_details: Amt Ex-divDividend 1 0.30 04-Feb-04Dividend 2 0.32 10-Aug-04Dividend 3 0.34 03-Feb-05

Call_price 103.00Call_date 01-Jan-04Call_triggercall_notice

Put_pricePut_date

Trinomial_steps 200get_accrued 0

Index


HelpHelp


NDC

10

Calc_type ValuePQ #MACRO?PC #MACRO?

BQ #MACRO?BC #MACRO?AI #MACRO?D #MACRO?O #MACRO?

HoadleyBondOptBlkReturns the price, hedge parameters, or implied volatilityof an option on a coupon bond using the Black-76 model.

ExampleInputsCalc_type PPrincipal 100.00Valuation_date 07-Apr-03Bond_maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4


Option_type CStrike 95.00Option_expiry 7-Dec-03Yield_vol 20.0%

Optional arguments:Price_type (quoted or Cash) QOption_price

Results Calc type ValueOption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?Price volatility at option maturity PV #MACRO?

Implied volatility IV #MACRO?

Index


Help


CPQC

HoadleyBondOptHWReturns the price or hedge parameters of a Eurpoean or American coupon bond option using either the Hull-White analytic model (European), or Hul-White interest rate trinomial trees (European or American).

ExampleInputsCalc_type PPricing model 1Principal 100.00Valuation_date 07-Apr-03Bond_maturity 25-May-09Coupon_rate 5.0%Coupon_frequ 4


Option_type CStrike 95.00Option_expiry 7-Dec-03Short_rate_vol 1.5%Reversion_rate 10%

Optional arguments:Price_type (quoted or cash) QTri_steps 20

Results Calc type ValueOption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Index


Help


123

CPQC

HoadleyCapFloorBlkReturns the price, hedge parameters or implied volatility of interest rate caps and floors using the Black-76 model.

ExampleInputsCap_or_floor CCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Cap_floor_rate 5.00%Frequency 4Volatility 20%


Optional arguments:Year_basis 365Cap_floor_price

Results Calc type ValueCap/floor price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?


Index


Help


360365

CPQCCF

HoadleyCapFloorHWReturns the price, hedge parameters or implied volatilityof interest rate caps and floors using the Hull-Whitemodel.

ExampleInputsCap_or_floor CCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Cap_floor_rate 5.00%Frequency 4Short_rate_vol 1%Reversion_rate 10%


Optional arguments:Year_basis 365Cap_floor_price

Results Calc type ValueCap/floor price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Index


Help


360365

CPQCCF

HoadleySwaptionBlkReturns the price, hedge parameters or implied volatilityof a Eurpoean Swaption (an option on an interest rateswap) using the Black-76 model.

ExampleInputsSwap_type PFCalc_type PPrincipal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Swap_rate 5.00%Frequency 4Volatility 20%


Optional arguments:Year_basis 365Option_price

Results Calc type ValueSwaption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?


Index


Help


RFPF

360365

HoadleySwaptionHWReturns the price, hedge parameters or implied volatilityof a Eurpoean or American Swaption (an option on aninterest rate swap) using the Hull-White normal analytic or trinomial tree models.

ExampleInputsSwap_type PFCalc_type PCalc_model 1Principal 100,000Valuation_date 07-Apr-03Start_date 07-Apr-04Term_months 24Swap_rate 5.00%Frequency 4Short_rate_vol 1%Reversion_rate 10%


Optional arguments:Year_basis 365Tri_steps 20

Results Calc type ValueSwaption price P #MACRO?Delta (DV01) D #MACRO?Gamma G #MACRO?Vega V #MACRO?

Index


Help


RFPF

360365

123

HoadleyEurodollarReturns the price, hedge parameters, or implied volatility of an option on an Eurodollar time deposit futurescontract.

ExampleInputsCalculation_type PPricing_model (European or American) 2Option_type CStrike 93.25Futures_price 93.15Days 450Volatility 10%Risk_free_rate 6.00%

Optional arguments:Binomial_steps (optional) 50Option_price (optional)

Results Calc Type ValueOption price: P #MACRO?Delta: D #MACRO?Gamma G #MACRO?Vega V #MACRO?Theta T #MACRO?Rho R #MACRO?


Index


Help


CP

123

HoadleyESO1Returns the fair value of an employee stock option priced according to the basic US Financial Accounting Standards Board (FASB) 123R standard.Note: This function must be purchased under a commercial license for the Finance Add-in.It is not available in the trial or normal full versions.

ExampleInputsPricing_model (European or American) 1Exercise_price 87.00Stock_price 87.00Expected_life 5.3Volatility 30%Risk_free_rate 4.50%Dividend_yield 2.50%Vesting_period 2.0Employee_exit_rate 5%

Optional arguments:Binomial_steps 200

ResultsFair value of option: #MACRO?

Contact Peter Hoadley for details.

Index

Overview of ESO functions (Hoadley.net web site)http://www.hoadley.net/options

Help

http://www.hoadley.net/options/ContactCommercial.htm

http://www.hoadley.net/options/develtoolseso.htm


12

HoadleyESO2Returns the fair value and expected life of an employee stock option priced according to the Hull-White"enhanced" US Financial Accounting Standards Board (FASB) 123R standard.Note: A Commercial license for the Finance Add-in is required to use this function.

Example of company ESO grant scheduleInputsGrant date: 1-Jan-03Exercise price: 95.70Current stock price: 87.00Maximum option life in years: 10Volatility: 30%Risk free rate: 4.50%Dividend yield: 2.50%Trinomial steps 200 Results

Vesting period (years):Percent of grant vested:

Employee category

Senior managers 56,000 3% 2.5 Option valueTotal expense

Expected option life

Middle managers 41,000 5% 2.3 Option valueTotal expense


Professional staff 45,500 8% 1.9 Option valueTotal expense


Support staff 15,000 15% 1.5 Option valueTotal expense

Expected option lifeTotal options granted: 157,500


Index Overview of ESO functions (Hoadley.net web site)

Options granted

Employee exit rate

Exercise multiple


Help





Returns the fair value and expected life of an employee stock option priced according to the Hull-White

Vesting schedule1.5 2.0 2.5 3.0

40% 20% 20% 20%

Details by vesting period

#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?



#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?Total option expense for 1-Jan-03 grant: #MACRO?

Overview of ESO functions (Hoadley.net web site)

Total Expense


HoadleyESO3Returns the fair value and expected life of an employee stock option priced according to the Hull-White"enhanced" US Financial Accounting Standards Board (FASB) 123R standard. In addition, a term structure ofinterest rates and dividend yields can be specified.Note: A Commercial license for the Finance Add-in is required to use this function.

Example of company ESO grant scheduleInputsGrant date: 1-Jan-03Exercise price: 95.70Current stock price: 87.00Maximum option life in years: 10Volatility: 30%

Term Structure: Year Rate Div Yield0 2.50% 0.0%2 3.00% 0.0%4 4.00% 1.0%6 5.00% 1.5%8 6.00% 2.0%

Trinomial steps: 200

ResultsVesting period (years):

Percent of grant vested:

Employee category











Options granted

Employee exit rate

Exercise multiple


Help





Returns the fair value and expected life of an employee stock option priced according to the Hull-White"enhanced" US Financial Accounting Standards Board (FASB) 123R standard. In addition, a term structure of


40% 20% 20% 20%







Total Expense


HoadleyESO4Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, interest rates anddividend yields can be specified. Handles blackout periods.Note: A Commercial license for the Finance Add-in is required to use this function.

Example 1: Company ESO grant scheduleInputsGrant date:Exercise price:Current stock price:Maximum option life in years:

Term Structures: VolatilitiesYear Volatility

0 35.00%1 30.00%3 25.00%6 20.00%

Trinomial steps:

Note: Blackout days can also be specified with this Resultsfunction. See help file documentation. Vesting period (years):


Employee category









Example 2: ESO valuation with time-varying exercise pricesInputsExercise price (strike) schedule



Options granted

Employee exit rate

Exercise multiple

HelpHelp



Current stock price:Maximum option life in years:VolatilityRisk free rate and dividend yieldVesting periodEmployee exit rate - pre vestEmployee exit rate - post vestExercise multipleTrinomial steps

ResultsOption valueOption life




Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, interest rates and

1-Jan-0395.7087.00

10

Risk-free rates & Div YieldsYear Rate Div Yield

0 2.50% 0.0%2 3.00% 0.0%4 4.00% 1.0%6 5.00% 1.5%8 6.00% 2.0%

200


40% 20% 20% 20%






Start year Strike0 90.00


Total Expense


4 120.008 130.00

87.0010

0 30%0 5.0% 3.0%

1.03%2%2.5

200

V #MACRO?L #MACRO?

HoadleyESO5Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, interest rates anddividend yields can be specified. Handles blackout periods, and performance vesting.Note: A Commercial license for the Finance Add-in is required to use this function.

ExampleInputsGrant date:Exercise price:Current stock price:Maximum option life in years:

Term Structures: VolatilitiesYear Volatility

0 35.00%1 30.00%3 25.00%6 20.00%

Employee exit rates - pre-vestEmployee exit rates - post vestExercise multipleTrinomial steps

Years to first blackout periodNumber of days of each blackout periodNumber of blackouts each yearBusiness days pa

Year1.5 02.0 03.0 0

Year1.5 0.0

4.06.08.0



Results - Example 1: Grant split into multiple options each with one share price target

Vesting years

Results - Example 2: Grant defined as a single option with multiple share price targets

Vesting year

Help



Year1.5 0.0

3.0

Results - Example3: If target not hit within three years options will never vest and will be forfeited. Use a very high target which takes effect after three years so if target not hit within three years it won't be hit at all.

Vesting year




Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, interest rates and

1-Jan-0395.7087.00

10

Risk-free rates & Div YieldsYear Rate Div Yield

0 2.50% 0.0%2 3.00% 0.0%4 4.00% 1.0%6 5.00% 1.5%8 6.00% 2.0%

3.0%3.0%

2.5200

130.00 #MACRO? #MACRO?170.00 #MACRO? #MACRO?220.00 #MACRO? #MACRO?

130.00170.00200.00220.00 #MACRO? #MACRO?


Performance vesting share

price

Valuation with performance

vesting

Valuation with no

performance vesting


price


vesting

Valuation with no

performance vesting


130.009999999.00 #MACRO? #MACRO?


price


vesting

Valuation with no

performance vesting

HoadleyESOVestTimeThis function is designed to help estimate the length of the expected vesting period where the optionhas one or more performance targets based on the stock price. This is an IFRS requirement. HoadleyESOVestTime can be used to estimate the probability of the vesting target being hit, the expected time until the target is hit, and the time the option is expected to remain unvested.Note: A Commercial license for the Finance Add-in is required to use this function.

ExampleInputsCurrent stock price: 87.00Maximum option life in years: 10

Volatility term structure VolatilitiesYear Volatility

0 35.00%1 30.00%3 25.00%6 20.00%

Expected return 10%Dividend yield 2%

Performance vesting term structure Performance TargetsYear Share Price2.0 130.004.0 170.006.0 200.008.0 220.00

Trinomial steps 300

Results Calc_type ValueProbability of one or more performance targets being hit: HP #MACRO?First hit time (years): FHT #MACRO?Pre-vest time (years): PVT #MACRO?


Index


Help




HoadleyESO3IndexedReturns the fair value and expected life of an indexed employee stock option priced according to the Hull-White"enhanced" US Financial Accounting Standards Board (FASB) 123R standard. In addition, a term structure ofdividend yields can be specified.Note: A Commercial license for the Finance Add-in is required to use this function.

Example of company ESO grant scheduleInputsGrant date: 1-Jan-03Exercise price: 95.70Current stock price: 87.00Maximum option life in years: 10

Index_vol 13%Stock_vol 30%Correlation 0.7

Index_divYield 3%

Div_term_structure Year Div Yield0 0.0%2 0.0%4 1.0%6 1.5%8 2.0%

Trinomial steps: 200

ResultsVesting period (years):


Employee category











Options granted

Employee exit rate

Exercise multiple

Help






Returns the fair value and expected life of an indexed employee stock option priced according to the Hull-White"enhanced" US Financial Accounting Standards Board (FASB) 123R standard. In addition, a term structure of


40% 20% 20% 20%







Total Expense


HoadleyESO4IndexedReturns the fair value and expected life of an indexed employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, anddividend yields can be specified. Handles blackout periods.Note: A Commercial license for the Finance Add-in is required to use this function.

Example of company ESO grant scheduleInputsGrant date:Exercise price:Current stock price:Maximum option life in years:

Index_divYield

Term Structures: Volatilities & correlationsYear Index vol Stock vol Correlation

0 14.00% 35.00% 0.701 13.00% 30.00% 0.703 13.00% 37.00% 0.806 12.00% 25.00% 0.80

Trinomial steps:

Note: Blackout days can also be specified with this Resultsfunction. See help file documentation. Vesting period (years):


Employee category











Options granted

Employee exit rate

Exercise multiple


Help





Returns the fair value and expected life of an indexed employee stock option priced according to the Hull-White "enhanced" US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, and

1-Jan-0395.7087.00

10

3.0%

Div YieldsYear Div Yield

0 0.0%2 0.0%4 1.0%6 1.5%8 2.0%

200


40% 20% 20% 20%







Total Expense


HoadleyESO4ForwardStartReturns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US FinancialAccounting Standards Board (FASB) 123R standard and where the exercise price is determined at a future date ("grant date").Note: A Commercial license for the Finance Add-in is required to use this function.

Example of company ESO grant scheduleInputsValue dateMoneyness_ratioCurrent stock price:Yrs_to_grantYrs_to_expiry

Term Structures: Volatilities Risk-free rates & Div YieldsYear Volatility Year

0 35.00% 01 30.00% 23 25.00% 46 20.00% 6

8

Trinomial steps:

Note: Blackout days can also be specified with this Results Vesting schedulefunction. See help file documentation. Vesting period (years): 1.5

Percent of grant vested: 40%

Employee category Details by vesting period

Senior managers 56,000 3% 2.5 Option value ###Total expense ###

Expected option life ###

Middle managers 41,000 5% 2.3 Option value ###Total expense ###


Professional staff 45,500 8% 1.9 Option value ###Total expense ###


Support staff 15,000 15% 1.5 Option value ###Total expense ###

Expected option life ###Total options granted: 157,500 Total option expense for 1-Jan-03 grant:



Options granted

Employee exit rate

Exercise multiple


Help





Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US FinancialAccounting Standards Board (FASB) 123R standard and where the exercise price is determined at a future date ("grant date").

1-Jan-031.1

87.001.50

10

Risk-free rates & Div YieldsRate Div Yield

2.50% 0.0%3.00% 0.0%4.00% 1.0%5.00% 1.5%6.00% 2.0%

200

Vesting schedule2.0 2.5 3.0

20% 20% 20%


### ### ###### ### ### #MACRO?### ### ###

### ### ###### ### ### #MACRO?### ### ###

### ### ###### ### ### #MACRO?### ### ###

### ### ###### ### ### #MACRO?### ### ###

Total option expense for 1-Jan-03 grant: #MACRO?


Total Expense


HoadleyHistoricVolatilityReturns the annualized volatility of an asset based on a sample of historical prices. Volatility can be calculated in four ways.

ExamplesInputs

Day Date High Low Open Close DividendMon 21-Jan-02 102.00 100.00 100.00 101.50Tue 22-Jan-02 102.00 100.50 101.50 104.00Wed 23-Jan-02 101.50 99.00 101.50 99.00Thu 24-Jan-02 100.00 97.50 100.00 97.50Fri 25-Jan-02 99.00 98.00 98.00 98.50

Mon 28-Jan-02 99.50 98.00 98.00 99.00Tue 29-Jan-02 101.00 98.00 99.00 100.00Wed 30-Jan-02 100.50 98.00 100.00 99.00Thu 31-Jan-02 103.00 100.00 100.00 101.00Fri 01-Feb-02 95.50 94.00 95.50 95.00 5.00

Mon 04-Feb-02 98.00 95.00 95.00 96.00Tue 05-Feb-02 97.00 96.00 96.00 96.50Wed 06-Feb-02 96.50 94.00 94.00 96.00Thu 07-Feb-02 95.00 93.50 95.00 94.50Fri 08-Feb-02 93.50 92.50 93.50 93.00

Results Calc type ValueClose Price Volatility: C ###High-Low Volatility: HL ###High-Low-Close Volatility: HLC ###High-Low-Open-Close Volatility: HLOC ###EWMA volatility EWMA ###decay_factor (EWMA): EWMAL ###GARCH volatility: GARCH ###

Index


1/25

/200

2

1/26

/200

2

1/27

/200

2

1/28

/200

2

1/29

/200

2

1/30

/200

2

1/31

/200

2

2/1/

2002

2/2/

2002

2/3/

2002

2/4/

2002

2/5/

2002

2/6/

2002

2/7/

2002

2/8/

2002

0%

200%

400%

600%

800%

1000%

1200%Weekly Moving Average Volatility

Date

Vo

lati

lity

Important note: This example is not meant to reflect a realistic situation. In reality, much larger samples would be required to produce a meaningful result. (eg four years of daily close prices for GARCH)

Help


WeeklyMoving Average

#################################

1/25

/200

2

1/26

/200

2

1/27

/200

2

1/28

/200

2

1/29

/200

2

1/30

/200

2

1/31

/200

2

2/1/

2002

2/2/

2002

2/3/

2002

2/4/

2002

2/5/

2002

2/6/

2002

2/7/

2002

2/8/

2002

0%

200%

400%

600%

800%

1000%

1200%Weekly Moving Average Volatility

Date

Vo

lati

lity

Important note: This example is not meant to reflect a realistic situation. In reality, much larger samples would be required to produce a meaningful result. (eg four years of daily close prices for GARCH)

HoadleyGARCHUses the GARCH model to return the annualized volatility, forecast volatility and a number of 'GARCH' parameters of an asset based on a sample of historical closing prices. This function is only available in the full version of the add-in.

ExampleInputs ResultsHistorical stock prices Current volatility #MACRO?

Week Close Long term forecast #MACRO?1 101.502 101.50 Volatility forecast3 100.00 Week ahead Volatility4 97.50 0 #MACRO?5 98.50 1 #MACRO?6 99.00 2 #MACRO?7 100.00 3 #MACRO?8 99.00 4 #MACRO?9 101.00 5 #MACRO?

10 102.00 6 #MACRO?11 103.00 7 #MACRO?12 101.00 8 #MACRO?13 100.00 9 #MACRO?14 98.00 10 #MACRO?15 99.00 11 #MACRO?16 99.00 12 #MACRO?17 98.00 13 #MACRO?18 100.00 14 #MACRO? Term Structure:19 105.00 15 #MACRO? Option life in weeks:20 110.00 16 #MACRO? Volatility to use to price option:21 115.00 17 #MACRO?22 110.00 18 #MACRO?23 116.00 19 #MACRO?24 110.00 20 #MACRO?25 106.00 21 #MACRO?

22 #MACRO?23 #MACRO?24 #MACRO?25 #MACRO?26 #MACRO?27 #MACRO?28 #MACRO?29 #MACRO?30 #MACRO?31 #MACRO?

Index


0 1 2 3 4 5 6 7 8 9 1011121314151617181920212223242526272829303124%

224%

424%

624%

824%

1024%

1224%Forecast Volatility

Forecast week

Vo

lati

lity

Notes:

1. This function is only available in the full version of the add-in. In the trial version all results will show as zero.

2. The term structure shows that, for example, if you are pricing a 12 week European option then the correct volatility from historical data would be 25.9%.

3. The HistoricVolatilityCalculator (included with full version of the add-in) calculates current volatility, volatility forecasts and term structures automatically using GARCH

4. This example is not meant to be realistic and is for illustrative purposes only. Sample sizes must be much larger (eg four years of daily data) for GARCH to be effective.

Help


4 8 12 16 20Volatility to use to price option: ### ### ### ### ###

0 1 2 3 4 5 6 7 8 9 1011121314151617181920212223242526272829303124%

224%

424%

624%

824%

1024%

1224%Forecast Volatility

Forecast week

Vo

lati

lity

Notes:

1. This function is only available in the full version of the add-in. In the trial version all results will show as zero.

2. The term structure shows that, for example, if you are pricing a 12 week European option then the correct volatility from historical data would be 25.9%.

3. The HistoricVolatilityCalculator (included with full version of the add-in) calculates current volatility, volatility forecasts and term structures automatically using GARCH

4. This example is not meant to be realistic and is for illustrative purposes only. Sample sizes must be much larger (eg four years of daily data) for GARCH to be effective.

HoadleyGARCHArrayCalculates GARCH volatility and parameters and returnsthe results in an array. This function is only available in the full version of the add-in.

ExampleInputs

Closing_price (on HoadleyPriceeDist sheet)Observation_frequency 252

Optional argument:Precision_factor 2

ResultsCurrent volatility #MACRO?Long term volatility #MACRO?Omega #MACRO?Alpha #MACRO?Beta #MACRO?Conditional mean #MACRO?Sample mean #MACRO?

Index


Help


HoadleyVolatilityConeReturns a matrix for a specified volatility period for the plotting of volatility cones.This function is only available in the full version of the add-in.

ExampleInputs

Prices (Prices used are on the PriceDist function sample sheet)Vol_periodObservations_pa 252Confidence_limit 95%Do_calc

Results Volatility by Period (Days)Vol_period 15 30 60 90 120 180 240Average ### ### ### ### ### ### ###Maximum ### ### ### ### ### ### ###Minimum ### ### ### ### ### ### ###Current ### ### ### ### ### ### ###95% conf upper ### ### ### ### ### ### ###95% conf lower ### ### ### ### ### ### ###90th percentile ### ### ### ### ### ### ###70th percentile ### ### ### ### ### ### ###50th percentile ### ### ### ### ### ### ###30th percentile ### ### ### ### ### ### ###10th percentile ### ### ### ### ### ### ###

Index


Help


15 30 60 90 120 180 2400%

200%

400%

600%

800%

1000%

1200%Volatility Cone

Average

Maximum

Minimum

Volatility period

Vo

lati

lity

HoadleyCorrelReturns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.Note that the matrix returned by the function contains the correlation of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Note: The function must be entered as an Excel array formula (crtl-shft-enter)

Inputs: Historic closing pricesDate S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £9-Sep-00 1494.50 6600.74 16501.55 6703.36 934.78 1.419012-Sep-00 1489.26 6581.96 16130.90 6675.01 932.19 1.411313-Sep-00 1481.99 6555.52 16040.23 6697.80 922.98 1.403214-Sep-00 1484.91 6478.19 16190.52 6568.89 907.58 1.412515-Sep-00 1480.87 6555.50 16213.28 6637.91 913.68 1.406116-Sep-00 1465.81 6417.30 16213.28 6614.65 910.61 1.398719-Sep-00 1444.51 6410.15 16061.16 6522.38 894.96 1.401420-Sep-00 1459.90 6403.50 16124.19 6529.95 895.87 1.408121-Sep-00 1451.34 6279.87 16458.31 6405.43 878.38 1.410722-Sep-00 1449.05 6199.16 16311.05 6254.77 864.69 1.436723-Sep-00 1448.72 6205.92 15818.25 6258.58 869.69 1.457926-Sep-00 1439.03 6257.13 15992.90 6336.28 879.55 1.453527-Sep-00 1427.21 6213.21 15928.62 6294.06 874.75 1.459228-Sep-00 1426.57 6269.34 15639.95 6319.79 880.92 1.461129-Sep-00 1458.29 6264.06 15626.96 6311.03 883.78 1.463830-Sep-00 1436.51 6294.24 15747.26 6266.63 878.32 1.47643-Oct-00 1436.23 6284.46 15902.51 6349.24 890.32 1.46754-Oct-00 1426.46 6345.04 15912.09 6400.43 890.32 1.45675-Oct-00 1434.32 6334.94 16149.08 6296.13 884.63 1.45616-Oct-00 1436.28 6381.98 16099.26 6335.12 892.67 1.45017-Oct-00 1408.99 6391.23 15994.24 6258.41 877.15 1.445810-Oct-00 1402.03 6264.84 15994.24 6110.06 872.56 1.446511-Oct-00 1387.02 6247.68 15827.72 6143.30 870.75 1.450912-Oct-00 1364.59 6117.63 15513.57 5956.12 855.40 1.460613-Oct-00 1329.78 6131.94 15550.64 5990.70 845.08 1.474314-Oct-00 1374.17 6209.58 15330.31 6064.21 859.07 1.450117-Oct-00 1374.62 6285.73 15512.32 6088.04 857.61 1.446118-Oct-00 1349.97 6203.25 15340.22 6067.15 852.25 1.451119-Oct-00 1342.13 6148.24 14872.48 5937.35 843.10 1.442920-Oct-00 1388.76 6218.91 14811.08 6066.48 862.33 1.446321-Oct-00 1396.93 6276.27 15198.73 6149.44 863.69 1.4509

Index IndexHelp

24-Oct-00 1395.78 6315.90 15097.96 6182.34 864.96 1.451525-Oct-00 1398.13 6438.38 15148.19 6323.74 884.58 1.450126-Oct-00 1364.90 6367.83 14840.47 6277.90 880.52 1.449927-Oct-00 1364.44 6302.32 14858.43 6208.42 883.86 1.435228-Oct-00 1379.58 6366.55 14582.20 6268.93 899.11 1.454731-Oct-00 1398.66 6388.40 14464.56 6296.84 903.65 1.45121-Nov-00 1429.40 6438.42 14539.60 6397.66 921.39 1.44972-Nov-00 1421.22 6457.61 14872.39 6409.05 918.70 1.45203-Nov-00 1428.32 6392.01 14837.78 6400.31 921.34 1.44594-Nov-00 1426.69 6385.44 14837.78 6398.92 925.15 1.44897-Nov-00 1432.19 6430.99 15371.44 6352.24 928.29 1.42718-Nov-00 1431.87 6466.91 15340.33 6386.07 921.48 1.43439-Nov-00 1409.28 6477.37 15399.64 6336.03 916.65 1.425010-Nov-00 1400.14 6442.19 15060.05 6271.15 912.28 1.432911-Nov-00 1365.98 6400.22 14988.54 6147.49 899.63 1.426714-Nov-00 1351.26 6274.80 14664.64 6037.73 880.44 1.438115-Nov-00 1382.95 6412.90 14660.04 6225.98 906.82 1.431316-Nov-00 1389.81 6432.30 14799.14 6301.78 907.62 1.427317-Nov-00 1372.32 6430.40 14587.03 6283.06 894.88 1.423518-Nov-00 1367.72 6440.10 14544.30 6161.92 885.02 1.423321-Nov-00 1342.62 6344.98 14531.65 6021.79 870.04 1.423422-Nov-00 1347.35 6382.15 14408.46 6081.02 872.17 1.418323-Nov-00 1322.36 6221.36 14301.31 5944.70 855.38 1.406824-Nov-00 1322.36 6287.26 14301.31 6053.04 866.23 1.406825-Nov-00 1341.77 6327.55 14315.35 6145.65 876.65 1.399828-Nov-00 1348.97 6374.69 14720.39 6171.33 879.49 1.417529-Nov-00 1336.09 6249.80 14658.87 6069.22 871.12 1.416330-Nov-00 1341.91 6164.88 14507.64 6060.65 873.23 1.42291-Dec-00 1314.95 6142.20 14648.51 5928.08 849.89 1.42652-Dec-00 1315.23 6170.42 14835.33 5928.50 859.23 1.44165-Dec-00 1324.97 6158.67 14954.73 5791.51 846.16 1.45106-Dec-00 1376.54 6298.98 14695.05 5994.89 868.39 1.43387-Dec-00 1351.46 6273.32 14889.37 5985.24 873.11 1.44348-Dec-00 1343.55 6231.37 14720.36 5984.69 867.90 1.44479-Dec-00 1369.89 6288.33 14696.51 5939.32 874.94 1.445312-Dec-00 1380.20 6370.35 15015.70 6077.88 888.85 1.456313-Dec-00 1371.18 6390.41 15114.64 6047.66 884.02 1.448414-Dec-00 1359.99 6402.96 15168.68 5962.29 870.58 1.456915-Dec-00 1340.93 6263.81 14927.19 5905.65 855.08 1.456416-Dec-00 1312.15 6175.81 14552.29 5839.54 843.69 1.456419-Dec-00 1322.74 6246.48 14483.90 5887.49 843.96 1.475620-Dec-00 1305.60 6294.98 14132.37 5958.86 857.91 1.465321-Dec-00 1264.74 6176.71 13914.43 5766.30 831.38 1.478622-Dec-00 1274.86 6115.48 13423.21 5758.92 824.13 1.473523-Dec-00 1305.97 6097.53 13427.08 5783.73 828.88 1.481826-Dec-00 1305.97 6097.53 13931.61 5783.73 828.88 1.481827-Dec-00 1315.19 6097.53 14007.85 5783.73 828.88 1.481828-Dec-00 1328.92 6218.17 13981.49 5857.15 835.87 1.481829-Dec-00 1334.22 6223.22 13946.96 5920.60 839.78 1.481830-Dec-00 1320.28 6222.46 13785.69 5926.42 851.29 1.49602-Jan-01 1320.28 6222.46 13785.69 5926.42 851.29 1.4960

Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.

US$/Yen US$/EURO #MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?

US$/Yen US$/EURO 0.0094 0.86640.0094 0.86180.0094 0.86070.0093 0.86460.0093 0.86140.0093 0.86310.0094 0.85440.0093 0.85360.0094 0.84750.0094 0.85290.0093 0.88170.0093 0.87330.0093 0.88010.0093 0.88130.0093 0.88290.0093 0.88250.0092 0.88170.0092 0.87640.0091 0.87280.0092 0.86950.0092 0.86970.0092 0.86900.0093 0.86820.0093 0.87390.0093 0.86250.0093 0.85950.0092 0.84860.0092 0.84990.0093 0.84760.0092 0.83960.0092 0.8376

0.0092 0.83600.0093 0.83720.0092 0.82870.0092 0.82900.0092 0.84270.0092 0.84500.0092 0.84760.0092 0.85760.0092 0.86010.0093 0.86360.0093 0.86120.0093 0.86070.0093 0.85630.0093 0.85890.0093 0.86350.0093 0.86010.0092 0.85810.0092 0.85940.0092 0.85430.0092 0.85270.0091 0.84890.0091 0.84560.0091 0.84330.0091 0.84210.0090 0.83980.0090 0.84890.0091 0.85500.0090 0.86010.0091 0.87050.0090 0.87300.0090 0.88940.0090 0.88500.0091 0.88460.0090 0.88980.0090 0.88810.0090 0.87790.0090 0.87720.0089 0.87560.0089 0.88740.0089 0.89750.0089 0.89580.0089 0.89110.0089 0.90680.0089 0.91410.0089 0.92350.0089 0.92350.0089 0.92890.0089 0.93060.0089 0.92570.0087 0.93890.0087 0.9389

HoadleyCorrelEWMAReturns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.Note that the matrix returned by the function contains the correlation of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults



Inputs: Historic closing pricesThis is examples uses the closing prices on the Correl sheet.

Index


Help


Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.


HoadleyCorrelStambaughReturns the correlation matrix and volatilities for a matrix of price histories whichdiffer in length. This function is only available in the full version of the add-in.

ExampleResults - volatilities and correlations

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Volatilities of assets with full histories are unchanged, For example:NIKKEI 225 CAC 40

#MACRO? #MACRO?

Correlations between assets with full histories are unchanged. For example:NIKKEI 225 CAC 40

NIKKEI 225 #MACRO? #MACRO?CAC 40 #MACRO? #MACRO?

Inputs: Historic closing prices of unequal lengthsDate S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX10013-Sep-00 1494.5 16501.6 6703.414-Sep-00 1489.3 16130.9 6675.015-Sep-00 1482.0 16040.2 6697.816-Sep-00 1484.9 16190.5 6568.919-Sep-00 1480.9 6600.7 16213.3 6637.920-Sep-00 1465.8 6582.0 16213.3 6614.721-Sep-00 1444.5 6555.5 16061.2 6522.422-Sep-00 1459.9 6478.2 16124.2 6530.0 934.823-Sep-00 1451.3 6555.5 16458.3 6405.4 932.226-Sep-00 1449.1 6417.3 16311.1 6254.8 923.027-Sep-00 1448.7 6410.2 15818.3 6258.6 907.628-Sep-00 1439.0 6403.5 15992.9 6336.3 913.729-Sep-00 1427.2 6279.9 15928.6 6294.1 910.630-Sep-00 1426.6 6199.2 15640.0 6319.8 895.013-Oct-00 1458.3 6205.9 15627.0 6311.0 895.99-Sep-00 1436.5 6257.1 15747.3 6266.6 878.412-Sep-00 1436.2 6213.2 15902.5 6349.2 864.73-Oct-00 1426.5 6269.3 15912.1 6400.4 869.74-Oct-00 1434.3 6264.1 16149.1 6296.1 879.65-Oct-00 1436.3 6294.2 16099.3 6335.1 874.86-Oct-00 1409.0 6284.5 15994.2 6258.4 880.97-Oct-00 1402.0 6345.0 15994.2 6110.1 883.810-Oct-00 1387.0 6334.9 15827.7 6143.3 878.311-Oct-00 1364.6 6382.0 15513.6 5956.1 890.312-Oct-00 1329.8 6391.2 15550.6 5990.7 890.3

Index


Help


Covariance matrix to calculate volatilities of two unchanged assets using the biased method

#MACRO? #MACRO?#MACRO? #MACRO?

HoadleyCovarReturns the covariance matrix of equally weighted returns for two or more columns of historic asset prices.Note that the matrix returned by the function contains the covariance of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults




Index


Help


Returns the covariance matrix of equally weighted returns for two or more columns of historic asset prices.


HoadleyCovarEWMAReturns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.Note that the matrix returned by the function contains the covariance of returns, not prices. This function is only available in the full version of the add-in.

ExampleResults




Index


Help


Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.


HoadleyCorrToCovarConverts asset volatilities and correlations to a covariance matrix of a specified number of days.The default matrix is for a period of one day.This function is only available in the full version of the add-in.

ExampleInputs

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

ResultsS&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100

Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?(daily) FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Notes: 1. The above matrix should be the same as the covariance matrix on the covar sheet2. The function must be entered as an Excel array formula (crtl-shift-enter)

Index


Help


US$/UK £ US$/Yen US$/EURO #MACRO? #MACRO? #MACRO?

US$/UK £ US$/Yen US$/EURO #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?


1. The above matrix should be the same as the covariance matrix on the covar sheet

HoadleyCovarToCorrConverts a covariance matrix to a correlation matrix.This function is only available in the full version of the add-in.

ExampleInputs

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


ResultsS&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100

Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


Notes: 1. The above matrix should be the same as the correlation matrix on the CorrelEWMA sheet2. The function must be entered as an Excel array formula (crtl-shift-enter)


IndexHelp



1. The above matrix should be the same as the correlation matrix on the CorrelEWMA sheet

HoadleyOEWMA1Retuns a covariance matrix and asset volatilities using the orthogonal EWMA model.This function is only available in the full version of the add-in.

ExampleInputsprices (see data below)Normalization 0Observation_frequency 250No_components 3

ResultsCovariance matrix: 1 Month 2 Months 3 Months 4 Months 5 Months

1 Month #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?2 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?3 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?4 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?5 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?6 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?7 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?8 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?9 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

10 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?11 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?12 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Asset orthogonal volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Principal component volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Principal component decay factors #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Asset direct volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Inputs: Crude Oil Futures PricesMaturities

Date 1 Month 2 Months 3 Months 4 Months 5 Months04-Feb-93 20.30 20.31 20.32 20.34 20.3605-Feb-93 20.21 20.22 20.22 20.23 20.2508-Feb-93 20.08 20.09 20.10 20.11 20.1309-Feb-93 20.05 20.04 20.05 20.07 20.1010-Feb-93 20.18 20.17 20.17 20.19 20.2111-Feb-93 20.26 20.24 20.24 20.26 20.2812-Feb-93 19.98 19.98 19.98 20.00 20.0216-Feb-93 19.53 19.53 19.55 19.59 19.6317-Feb-93 19.33 19.36 19.42 19.49 19.5618-Feb-93 19.42 19.53 19.63 19.72 19.8119-Feb-93 19.62 19.80 19.90 19.99 20.0822-Feb-93 20.02 20.24 20.31 20.38 20.4523-Feb-93 20.48 20.48 20.51 20.53 20.5524-Feb-93 20.53 20.55 20.58 20.60 20.6125-Feb-93 20.61 20.63 20.65 20.66 20.6626-Feb-93 20.60 20.64 20.67 20.68 20.6802-Mar-93 20.47 20.54 20.59 20.62 20.63

IndexHelp

03-Mar-93 20.48 20.56 20.62 20.65 20.6704-Mar-93 21.07 21.12 21.14 21.14 21.1305-Mar-93 20.93 20.97 20.97 20.95 20.9208-Mar-93 20.71 20.80 20.83 20.83 20.8209-Mar-93 20.68 20.76 20.80 20.81 20.8110-Mar-93 20.39 20.46 20.51 20.53 20.5411-Mar-93 20.13 20.24 20.30 20.33 20.3512-Mar-93 20.29 20.41 20.47 20.51 20.5315-Mar-93 20.16 20.30 20.37 20.42 20.4516-Mar-93 20.13 20.26 20.32 20.38 20.4117-Mar-93 20.17 20.30 20.36 20.40 20.4218-Mar-93 20.29 20.44 20.50 20.53 20.5419-Mar-93 20.08 20.22 20.31 20.35 20.3722-Mar-93 19.52 19.76 19.86 19.93 19.9823-Mar-93 20.03 20.12 20.18 20.23 20.2324-Mar-93 20.24 20.31 20.35 20.38 20.3725-Mar-93 20.41 20.50 20.52 20.54 20.5226-Mar-93 20.41 20.51 20.53 20.55 20.5329-Mar-93 20.29 20.42 20.46 20.49 20.4830-Mar-93 20.28 20.47 20.52 20.56 20.5631-Mar-93 20.44 20.64 20.70 20.74 20.7401-Apr-93 20.52 20.70 20.76 20.79 20.7902-Apr-93 20.65 20.83 20.88 20.90 20.8905-Apr-93 20.62 20.80 20.86 20.89 20.8906-Apr-93 20.30 20.49 20.58 20.63 20.6507-Apr-93 20.37 20.54 20.62 20.67 20.6908-Apr-93 20.22 20.40 20.48 20.54 20.5712-Apr-93 20.46 20.66 20.74 20.80 20.8313-Apr-93 20.46 20.66 20.74 20.78 20.8114-Apr-93 20.40 20.60 20.70 20.75 20.7815-Apr-93 20.22 20.42 20.56 20.63 20.6816-Apr-93 20.14 20.38 20.52 20.60 20.6519-Apr-93 19.99 20.29 20.43 20.52 20.5820-Apr-93 19.84 20.32 20.46 20.56 20.6321-Apr-93 20.37 20.53 20.63 20.69 20.7322-Apr-93 20.15 20.33 20.45 20.53 20.5723-Apr-93 20.34 20.51 20.63 20.70 20.7426-Apr-93 20.30 20.49 20.62 20.70 20.7427-Apr-93 20.18 20.38 20.53 20.62 20.6728-Apr-93 20.19 20.39 20.54 20.63 20.6829-Apr-93 20.58 20.73 20.84 20.90 20.9330-Apr-93 20.53 20.70 20.80 20.84 20.8503-May-93 20.57 20.72 20.82 20.86 20.8704-May-93 20.39 20.56 20.67 20.72 20.7305-May-93 20.46 20.65 20.76 20.82 20.8406-May-93 20.47 20.65 20.74 20.79 20.8007-May-93 20.44 20.62 20.72 20.77 20.7910-May-93 20.44 20.60 20.69 20.74 20.7611-May-93 20.34 20.51 20.62 20.68 20.7112-May-93 20.20 20.41 20.52 20.59 20.6213-May-93 19.78 20.00 20.14 20.23 20.2814-May-93 19.48 19.79 19.97 20.09 20.1617-May-93 19.51 19.83 20.02 20.15 20.2318-May-93 19.34 19.67 19.87 20.00 20.08

19-May-93 19.15 19.61 19.84 19.99 20.0820-May-93 19.54 19.84 20.04 20.18 20.2521-May-93 19.88 20.07 20.18 20.23 20.2524-May-93 19.72 19.95 20.07 20.14 20.1825-May-93 19.90 20.10 20.21 20.27 20.3026-May-93 19.89 20.09 20.20 20.26 20.2927-May-93 20.06 20.24 20.35 20.40 20.4228-May-93 20.02 20.21 20.31 20.36 20.3801-Jun-93 20.24 20.39 20.49 20.54 20.5602-Jun-93 20.03 20.19 20.29 20.34 20.3703-Jun-93 19.74 19.94 20.05 20.11 20.1404-Jun-93 19.77 19.97 20.08 20.14 20.1807-Jun-93 19.54 19.75 19.87 19.96 20.0208-Jun-93 19.65 19.89 20.01 20.10 20.1609-Jun-93 19.64 19.93 20.07 20.16 20.2310-Jun-93 19.28 19.56 19.74 19.84 19.9211-Jun-93 18.98 19.32 19.53 19.65 19.7414-Jun-93 18.89 19.26 19.50 19.63 19.7215-Jun-93 18.58 18.90 19.18 19.35 19.4616-Jun-93 18.84 19.17 19.43 19.60 19.7117-Jun-93 18.70 19.00 19.28 19.46 19.5818-Jun-93 18.67 18.97 19.24 19.43 19.5521-Jun-93 18.62 18.91 19.19 19.38 19.5022-Jun-93 18.42 18.82 19.12 19.33 19.4623-Jun-93 18.86 19.17 19.38 19.52 19.6324-Jun-93 18.89 19.17 19.37 19.51 19.6225-Jun-93 18.84 19.13 19.33 19.47 19.5828-Jun-93 18.90 19.18 19.39 19.54 19.6529-Jun-93 19.01 19.27 19.47 19.62 19.7330-Jun-93 18.85 19.11 19.31 19.46 19.5801-Jul-93 18.45 18.73 18.97 19.18 19.3402-Jul-93 17.95 18.28 18.54 18.78 18.9606-Jul-93 18.29 18.54 18.76 18.96 19.1307-Jul-93 18.02 18.31 18.54 18.75 18.9408-Jul-93 17.79 18.06 18.30 18.52 18.7209-Jul-93 17.89 18.13 18.39 18.60 18.8012-Jul-93 18.10 18.33 18.58 18.78 18.9713-Jul-93 18.13 18.38 18.61 18.80 18.9814-Jul-93 17.49 17.69 17.92 18.13 18.3315-Jul-93 17.67 17.92 18.12 18.31 18.5016-Jul-93 17.21 17.49 17.69 17.88 18.0719-Jul-93 17.70 18.25 18.47 18.66 18.8420-Jul-93 17.09 17.84 18.09 18.28 18.4621-Jul-93 17.93 18.20 18.39 18.54 18.6822-Jul-93 17.63 17.94 18.15 18.31 18.4523-Jul-93 17.75 18.02 18.21 18.36 18.5026-Jul-93 18.07 18.28 18.44 18.57 18.6927-Jul-93 18.42 18.62 18.75 18.86 18.9728-Jul-93 18.23 18.44 18.58 18.69 18.8029-Jul-93 18.12 18.33 18.49 18.60 18.7130-Jul-93 17.88 18.16 18.34 18.46 18.5802-Aug-93 17.97 18.25 18.44 18.57 18.6903-Aug-93 17.85 18.16 18.37 18.52 18.6504-Aug-93 17.80 18.11 18.33 18.49 18.62

05-Aug-93 17.57 17.90 18.13 18.30 18.4406-Aug-93 17.27 17.67 17.91 18.10 18.2509-Aug-93 17.55 17.94 18.18 18.37 18.5210-Aug-93 17.52 17.90 18.15 18.34 18.5011-Aug-93 17.88 18.25 18.49 18.66 18.8112-Aug-93 18.18 18.53 18.77 18.93 19.0713-Aug-93 18.14 18.53 18.78 18.93 19.0616-Aug-93 17.86 18.30 18.58 18.76 18.9017-Aug-93 17.92 18.35 18.63 18.81 18.9518-Aug-93 17.66 18.13 18.43 18.64 18.8019-Aug-93 17.65 18.15 18.45 18.66 18.8220-Aug-93 18.09 18.29 18.56 18.74 18.8923-Aug-93 18.53 18.77 18.93 19.07 19.1824-Aug-93 18.35 18.62 18.79 18.92 19.0325-Aug-93 18.32 18.61 18.80 18.93 19.0426-Aug-93 18.36 18.62 18.81 18.94 19.0527-Aug-93 18.80 19.00 19.16 19.27 19.3630-Aug-93 18.73 18.92 19.08 19.19 19.2831-Aug-93 18.29 18.55 18.74 18.87 18.9701-Sep-93 17.97 18.27 18.45 18.60 18.7202-Sep-93 17.97 18.27 18.49 18.65 18.7903-Sep-93 17.73 18.05 18.30 18.47 18.6207-Sep-93 17.07 17.42 17.73 17.95 18.1408-Sep-93 17.03 17.40 17.70 17.92 18.1209-Sep-93 16.97 17.36 17.68 17.90 18.1010-Sep-93 16.76 17.12 17.46 17.69 17.9013-Sep-93 16.95 17.30 17.66 17.90 18.1114-Sep-93 16.96 17.30 17.67 17.92 18.13

0123456789101112

Additional samplesThe sample size here is unrealistically small. More realisticand comprehensive examples can be downloaded with thefull version of the Derivatives Add-in for Excel.

6 Months 7 Months 8 Months 9 Months 10 Months 11 Months 12 Months#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Maturities6 Months 7 Months 8 Months 9 Months 10 Months 11 Months 12 Months

20.38 20.41 20.42 20.42 20.41 20.39 20.3720.26 20.28 20.29 20.29 20.28 20.25 20.2320.15 20.17 20.19 20.19 20.18 20.16 20.1420.12 20.15 20.17 20.17 20.16 20.14 20.1220.22 20.24 20.26 20.26 20.25 20.23 20.2120.29 20.31 20.33 20.33 20.32 20.30 20.2820.03 20.05 20.07 20.07 20.06 20.04 20.0219.65 19.68 19.71 19.71 19.70 19.68 19.6619.60 19.64 19.69 19.69 19.68 19.66 19.6419.87 19.93 19.98 20.00 20.00 19.98 19.9620.14 20.20 20.25 20.27 20.27 20.25 20.2420.50 20.54 20.57 20.57 20.56 20.56 20.5620.57 20.58 20.57 20.55 20.54 20.54 20.5420.62 20.63 20.62 20.60 20.59 20.58 20.5820.67 20.68 20.67 20.65 20.63 20.61 20.6020.69 20.70 20.70 20.68 20.66 20.64 20.6220.65 20.67 20.67 20.65 20.64 20.63 20.61

20.69 20.71 20.71 20.69 20.67 20.65 20.6321.13 21.13 21.13 21.11 21.08 21.05 21.0320.90 20.89 20.88 20.86 20.83 20.80 20.7720.81 20.80 20.79 20.77 20.74 20.71 20.6920.80 20.79 20.78 20.76 20.73 20.70 20.6820.54 20.54 20.53 20.52 20.49 20.46 20.4420.36 20.36 20.36 20.35 20.33 20.30 20.2820.53 20.52 20.51 20.49 20.46 20.43 20.4120.45 20.44 20.43 20.41 20.38 20.35 20.3320.40 20.39 20.38 20.36 20.33 20.30 20.2820.40 20.39 20.37 20.35 20.32 20.29 20.2720.52 20.50 20.47 20.44 20.41 20.38 20.3620.36 20.35 20.33 20.30 20.27 20.24 20.2219.98 19.98 19.97 19.96 19.94 19.92 19.9120.22 20.21 20.20 20.18 20.16 20.15 20.1420.36 20.35 20.33 20.31 20.29 20.27 20.2520.50 20.48 20.46 20.43 20.41 20.39 20.3720.51 20.49 20.47 20.44 20.41 20.39 20.3720.46 20.44 20.42 20.39 20.36 20.34 20.3220.55 20.53 20.51 20.48 20.46 20.44 20.4220.73 20.71 20.69 20.66 20.64 20.62 20.6020.77 20.75 20.73 20.70 20.68 20.66 20.6420.87 20.85 20.83 20.80 20.77 20.75 20.7320.88 20.86 20.84 20.81 20.78 20.76 20.7420.65 20.64 20.63 20.60 20.58 20.56 20.5420.69 20.68 20.67 20.64 20.62 20.60 20.5820.58 20.58 20.57 20.55 20.53 20.51 20.4920.84 20.84 20.83 20.80 20.78 20.76 20.7420.82 20.82 20.81 20.78 20.75 20.72 20.7020.79 20.79 20.79 20.77 20.75 20.73 20.7120.71 20.72 20.73 20.71 20.69 20.67 20.6620.69 20.70 20.71 20.69 20.67 20.65 20.6420.63 20.65 20.66 20.65 20.64 20.63 20.6220.68 20.71 20.73 20.72 20.71 20.70 20.6920.75 20.76 20.75 20.74 20.73 20.72 20.7120.59 20.60 20.59 20.58 20.57 20.56 20.5520.76 20.77 20.76 20.74 20.72 20.71 20.7020.76 20.76 20.74 20.72 20.70 20.69 20.6820.70 20.70 20.68 20.66 20.64 20.63 20.6220.71 20.71 20.69 20.67 20.65 20.63 20.6220.95 20.95 20.92 20.90 20.88 20.86 20.8520.86 20.85 20.82 20.80 20.77 20.75 20.7420.88 20.87 20.85 20.83 20.80 20.77 20.7620.74 20.73 20.71 20.68 20.65 20.62 20.6120.85 20.84 20.82 20.79 20.76 20.73 20.7120.81 20.79 20.76 20.73 20.70 20.67 20.6520.80 20.79 20.76 20.73 20.70 20.67 20.6520.77 20.75 20.72 20.69 20.66 20.64 20.6220.72 20.71 20.69 20.67 20.64 20.62 20.6020.63 20.62 20.60 20.58 20.55 20.53 20.5120.30 20.30 20.29 20.27 20.25 20.23 20.2120.18 20.19 20.19 20.18 20.17 20.16 20.1520.25 20.26 20.26 20.25 20.24 20.23 20.2220.10 20.12 20.12 20.11 20.10 20.09 20.08

20.11 20.13 20.13 20.13 20.12 20.11 20.1020.28 20.30 20.30 20.30 20.29 20.28 20.2720.27 20.27 20.27 20.26 20.25 20.24 20.2320.20 20.20 20.20 20.19 20.18 20.17 20.1620.31 20.31 20.31 20.30 20.29 20.28 20.2720.31 20.31 20.30 20.29 20.28 20.27 20.2620.44 20.43 20.42 20.41 20.40 20.39 20.3820.40 20.39 20.38 20.37 20.36 20.35 20.3420.58 20.57 20.56 20.55 20.54 20.53 20.5220.39 20.38 20.37 20.36 20.35 20.35 20.3420.16 20.15 20.14 20.13 20.12 20.12 20.1120.20 20.20 20.19 20.18 20.17 20.17 20.1620.06 20.08 20.08 20.07 20.06 20.06 20.0620.20 20.22 20.22 20.21 20.20 20.20 20.2020.28 20.31 20.32 20.32 20.32 20.32 20.3219.98 20.03 20.05 20.06 20.07 20.08 20.0919.81 19.88 19.91 19.93 19.95 19.97 20.0019.79 19.86 19.89 19.91 19.92 19.93 19.9519.55 19.63 19.68 19.72 19.75 19.79 19.8319.80 19.87 19.92 19.95 19.97 20.00 20.0319.67 19.74 19.79 19.82 19.84 19.87 19.9019.65 19.73 19.78 19.81 19.83 19.86 19.8919.60 19.67 19.72 19.75 19.77 19.80 19.8319.56 19.63 19.68 19.71 19.73 19.76 19.7919.71 19.76 19.80 19.83 19.86 19.89 19.9119.70 19.75 19.79 19.82 19.85 19.88 19.9019.66 19.72 19.77 19.81 19.84 19.87 19.8919.74 19.81 19.87 19.91 19.95 19.98 20.0019.82 19.88 19.93 19.97 20.01 20.04 20.0619.68 19.74 19.80 19.84 19.88 19.91 19.9319.47 19.56 19.64 19.70 19.76 19.82 19.8619.11 19.22 19.31 19.38 19.45 19.52 19.5719.27 19.37 19.45 19.51 19.57 19.63 19.6819.10 19.20 19.28 19.34 19.40 19.46 19.5118.92 19.04 19.14 19.22 19.30 19.38 19.4419.01 19.14 19.24 19.32 19.40 19.48 19.5419.16 19.29 19.39 19.47 19.55 19.63 19.6819.15 19.26 19.36 19.44 19.52 19.60 19.6518.53 18.68 18.79 18.88 18.97 19.06 19.1218.68 18.82 18.92 19.01 19.10 19.19 19.2618.24 18.37 18.46 18.55 18.64 18.73 18.8018.99 19.11 19.20 19.28 19.36 19.44 19.5018.61 18.73 18.82 18.90 18.98 19.06 19.1218.79 18.87 18.94 19.01 19.08 19.13 19.1718.57 18.66 18.74 18.81 18.88 18.93 18.9718.61 18.70 18.77 18.84 18.89 18.94 18.9718.78 18.86 18.92 18.98 19.03 19.07 19.1019.05 19.12 19.17 19.22 19.27 19.31 19.3318.88 18.96 19.01 19.06 19.11 19.15 19.1718.79 18.87 18.93 18.99 19.05 19.09 19.1118.67 18.75 18.82 18.89 18.96 19.01 19.0418.78 18.87 18.95 19.03 19.10 19.15 19.1818.75 18.84 18.92 19.00 19.07 19.12 19.1618.72 18.80 18.87 18.94 19.00 19.05 19.09

18.55 18.63 18.70 18.77 18.83 18.88 18.9218.37 18.46 18.54 18.62 18.69 18.75 18.8018.64 18.73 18.81 18.89 18.96 19.02 19.0718.62 18.72 18.81 18.90 18.97 19.03 19.0818.92 19.01 19.09 19.17 19.24 19.30 19.3519.18 19.27 19.34 19.41 19.47 19.53 19.5819.16 19.25 19.32 19.38 19.44 19.50 19.5519.01 19.11 19.18 19.25 19.31 19.37 19.4219.07 19.17 19.24 19.31 19.37 19.43 19.4818.94 19.06 19.14 19.22 19.29 19.36 19.4118.96 19.08 19.16 19.24 19.31 19.38 19.4319.01 19.12 19.19 19.26 19.33 19.40 19.4519.28 19.35 19.42 19.49 19.56 19.61 19.6219.14 19.21 19.28 19.35 19.42 19.47 19.4919.15 19.22 19.29 19.36 19.43 19.48 19.5019.15 19.22 19.29 19.35 19.41 19.45 19.4719.45 19.52 19.58 19.64 19.70 19.74 19.7519.36 19.42 19.48 19.54 19.60 19.64 19.6519.07 19.14 19.21 19.28 19.34 19.38 19.4018.84 18.93 19.01 19.09 19.16 19.20 19.2218.91 19.01 19.10 19.18 19.26 19.31 19.3418.75 18.85 18.95 19.03 19.11 19.17 19.2118.30 18.43 18.56 18.66 18.76 18.84 18.8918.29 18.43 18.56 18.66 18.76 18.84 18.8918.27 18.41 18.54 18.64 18.74 18.82 18.8718.08 18.23 18.37 18.48 18.59 18.68 18.7418.30 18.46 18.60 18.72 18.84 18.94 19.0118.33 18.49 18.63 18.76 18.89 18.99 19.06

HoadleyOEWMA2Produces a history of volatilieis produced by the direct EWMA methodand by the orthoronal EWMA method.This function is only available in the full version of the add-in.

ExampleInputsprices (data on OEWMA1 sheet)Normalization 1Observation_frequency 250No_components 2

Asset_no 6

Results Additional samplesVolatility The sample size here is unrealistically small. More

Date Direct Orthogonal realistic and comprehensive examples can be 04-Feb-93 ### #MACRO? downloaded with the full version of the Derivatives05-Feb-93 ### #MACRO? Add-in for Excel.08-Feb-93 ### #MACRO?09-Feb-93 ### #MACRO?10-Feb-93 ### #MACRO?11-Feb-93 ### #MACRO?12-Feb-93 ### #MACRO?16-Feb-93 ### #MACRO?17-Feb-93 ### #MACRO?18-Feb-93 ### #MACRO?

Index

08-F

eb-9

3

14-F

eb-9

3

20-F

eb-9

3

26-F

eb-9

3

04-M

ar-9

3

10-M

ar-9

3

16-M

ar-9

3

22-M

ar-9

3

28-M

ar-9

3

03-A

pr-9

3

09-A

pr-9

3

15-A

pr-9

3

21-A

pr-9

3

27-A

pr-9

3

03-M

ay-9

3

09-M

ay-9

3

15-M

ay-9

3

21-M

ay-9

3

27-M

ay-9

3

02-J

un-9

3

08-J

un-9

3

14-J

un-9

3

20-J

un-9

3

26-J

un-9

3

02-J

ul-93

08-J

ul-93

14-J

ul-93

20-J

ul-93

26-J

ul-93

01-A

ug-9

3

07-A

ug-9

3

13-A

ug-9

3

19-A

ug-9

3

25-A

ug-9

3

31-A

ug-9

3

06-S

ep-9

3

12-S

ep-9

3

0.0%

200.0%

400.0%

600.0%

800.0%

1000.0%

1200.0%

Direct

Orthogonal

Help

19-Feb-93 ### #MACRO?22-Feb-93 ### #MACRO?23-Feb-93 ### #MACRO?24-Feb-93 ### #MACRO?25-Feb-93 ### #MACRO?26-Feb-93 ### #MACRO?02-Mar-93 ### #MACRO?03-Mar-93 ### #MACRO?04-Mar-93 ### #MACRO?05-Mar-93 ### #MACRO?08-Mar-93 ### #MACRO?09-Mar-93 ### #MACRO?10-Mar-93 ### #MACRO?11-Mar-93 ### #MACRO?12-Mar-93 ### #MACRO?15-Mar-93 ### #MACRO?16-Mar-93 ### #MACRO?17-Mar-93 ### #MACRO?18-Mar-93 ### #MACRO?19-Mar-93 ### #MACRO?22-Mar-93 ### #MACRO?23-Mar-93 ### #MACRO?24-Mar-93 ### #MACRO?25-Mar-93 ### #MACRO?26-Mar-93 ### #MACRO?29-Mar-93 ### #MACRO?30-Mar-93 ### #MACRO?31-Mar-93 ### #MACRO?01-Apr-93 ### #MACRO?02-Apr-93 ### #MACRO?05-Apr-93 ### #MACRO?06-Apr-93 ### #MACRO?07-Apr-93 ### #MACRO?08-Apr-93 ### #MACRO?12-Apr-93 ### #MACRO?13-Apr-93 ### #MACRO?14-Apr-93 ### #MACRO?15-Apr-93 ### #MACRO?16-Apr-93 ### #MACRO?19-Apr-93 ### #MACRO?20-Apr-93 ### #MACRO?21-Apr-93 ### #MACRO?22-Apr-93 ### #MACRO?23-Apr-93 ### #MACRO?26-Apr-93 ### #MACRO?27-Apr-93 ### #MACRO?28-Apr-93 ### #MACRO?29-Apr-93 ### #MACRO?30-Apr-93 ### #MACRO?03-May-93 ### #MACRO?04-May-93 ### #MACRO?05-May-93 ### #MACRO?06-May-93 ### #MACRO?07-May-93 ### #MACRO?

10-May-93 ### #MACRO?11-May-93 ### #MACRO?12-May-93 ### #MACRO?13-May-93 ### #MACRO?14-May-93 ### #MACRO?17-May-93 ### #MACRO?18-May-93 ### #MACRO?19-May-93 ### #MACRO?20-May-93 ### #MACRO?21-May-93 ### #MACRO?24-May-93 ### #MACRO?25-May-93 ### #MACRO?26-May-93 ### #MACRO?27-May-93 ### #MACRO?28-May-93 ### #MACRO?01-Jun-93 ### #MACRO?02-Jun-93 ### #MACRO?03-Jun-93 ### #MACRO?04-Jun-93 ### #MACRO?07-Jun-93 ### #MACRO?08-Jun-93 ### #MACRO?09-Jun-93 ### #MACRO?10-Jun-93 ### #MACRO?11-Jun-93 ### #MACRO?14-Jun-93 ### #MACRO?15-Jun-93 ### #MACRO?16-Jun-93 ### #MACRO?17-Jun-93 ### #MACRO?18-Jun-93 ### #MACRO?21-Jun-93 ### #MACRO?22-Jun-93 ### #MACRO?23-Jun-93 ### #MACRO?24-Jun-93 ### #MACRO?25-Jun-93 ### #MACRO?28-Jun-93 ### #MACRO?29-Jun-93 ### #MACRO?30-Jun-93 ### #MACRO?01-Jul-93 ### #MACRO?02-Jul-93 ### #MACRO?06-Jul-93 ### #MACRO?07-Jul-93 ### #MACRO?08-Jul-93 ### #MACRO?09-Jul-93 ### #MACRO?12-Jul-93 ### #MACRO?13-Jul-93 ### #MACRO?14-Jul-93 ### #MACRO?15-Jul-93 ### #MACRO?16-Jul-93 ### #MACRO?19-Jul-93 ### #MACRO?20-Jul-93 ### #MACRO?21-Jul-93 ### #MACRO?22-Jul-93 ### #MACRO?23-Jul-93 ### #MACRO?26-Jul-93 ### #MACRO?

27-Jul-93 ### #MACRO?28-Jul-93 ### #MACRO?29-Jul-93 ### #MACRO?30-Jul-93 ### #MACRO?02-Aug-93 ### #MACRO?03-Aug-93 ### #MACRO?04-Aug-93 ### #MACRO?05-Aug-93 ### #MACRO?06-Aug-93 ### #MACRO?09-Aug-93 ### #MACRO?10-Aug-93 ### #MACRO?11-Aug-93 ### #MACRO?12-Aug-93 ### #MACRO?13-Aug-93 ### #MACRO?16-Aug-93 ### #MACRO?17-Aug-93 ### #MACRO?18-Aug-93 ### #MACRO?19-Aug-93 ### #MACRO?20-Aug-93 ### #MACRO?23-Aug-93 ### #MACRO?24-Aug-93 ### #MACRO?25-Aug-93 ### #MACRO?26-Aug-93 ### #MACRO?27-Aug-93 ### #MACRO?30-Aug-93 ### #MACRO?31-Aug-93 ### #MACRO?01-Sep-93 ### #MACRO?02-Sep-93 ### #MACRO?03-Sep-93 ### #MACRO?07-Sep-93 ### #MACRO?08-Sep-93 ### #MACRO?09-Sep-93 ### #MACRO?10-Sep-93 ### #MACRO?13-Sep-93 ### #MACRO?14-Sep-93 ### #MACRO?

The sample size here is unrealistically small. Morerealistic and comprehensive examples can be downloaded with the full version of the Derivatives

08-F

eb-9

3

14-F

eb-9

3

20-F

eb-9

3

26-F

eb-9

3

04-M

ar-9

3

10-M

ar-9

3

16-M

ar-9

3

22-M

ar-9

3

28-M

ar-9

3

03-A

pr-9

3

09-A

pr-9

3

15-A

pr-9

3

21-A

pr-9

3

27-A

pr-9

3

03-M

ay-9

3

09-M

ay-9

3

15-M

ay-9

3

21-M

ay-9

3

27-M

ay-9

3

02-J

un-9

3

08-J

un-9

3

14-J

un-9

3

20-J

un-9

3

26-J

un-9

3

02-J

ul-93

08-J

ul-93

14-J

ul-93

20-J

ul-93

26-J

ul-93

01-A

ug-9

3

07-A

ug-9

3

13-A

ug-9

3

19-A

ug-9

3

25-A

ug-9

3

31-A

ug-9

3

06-S

ep-9

3

12-S

ep-9

3

0.0%

200.0%

400.0%

600.0%

800.0%

1000.0%

1200.0%

Direct

Orthogonal

0123456789

101112

HoadleyOGARCH1Retuns a covariance matrix and asset volatilities using the orthogonal GARCH model.This function is only available in the full version of the add-in.

Example

Index


GARCH requires a large number of prices for successeful convergence. Instead of including the data in this samples spreadsheet, and thus significantly increasing its size, examples of orthogonal GARCH are included in the additional samples spreadsheets which can be downloaded with the full version of the Derivatives Add-in for Excel.

Help


HoadleyOGARCH2Produces a history of volatilieis produced by the direct GARCH(1,1) method and by theorthoronal GARCH method.This function is only available in the full version of the add-in.

Example


GARCH requires a large number of prices for successeful convergence. Instead of including the data in this samples spreadsheet, and thus significantly increasing its size, an example of orthogonal GARCH is included in the additional samples spreadsheets which can be downloaded with the full version of the Derivatives Add-in for Excel.

Also see the example in the spreadsheet for the HoadleyOEWMA2 function which is very similar to the HoadleyOGARCH2 function

Help


HoadleyPriceDistReturns skewness and kurtosis coefficients, and standarderrors of skewness and kurtosis, from a sample of historical asset prices

ExampleInputs Results ValueClosing pricesFor one year Skewness: ###

10.61 Excess kurtosis ###10.6510.75 Standard error of skewness: ###10.58 Standard error of kurtosis ###10.3810.73 Significance tests:10.76 Skewness T ratio: ###10.85 Kurtosis T ratio: ###10.8010.5510.3410.6510.8010.4310.5510.6710.5010.3810.4010.6010.8010.9510.4910.1810.1010.259.729.449.679.589.579.299.229.319.419.509.579.609.689.559.559.69

Index


Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

Help


9.459.559.579.579.339.129.269.459.379.389.309.169.059.139.339.209.289.499.679.539.349.299.359.349.419.529.339.359.259.199.219.329.449.749.729.609.539.439.409.349.369.379.319.309.319.319.219.249.149.309.259.279.329.40

9.269.349.309.359.329.379.489.459.359.269.319.319.469.509.419.569.529.649.489.489.549.429.419.479.479.559.359.009.059.099.089.038.958.898.808.758.748.969.029.109.059.059.029.019.119.119.028.879.028.989.049.069.129.07

9.079.089.059.008.998.838.848.888.998.908.758.738.478.498.508.669.059.409.469.449.619.629.479.319.309.399.459.559.329.469.549.509.559.509.369.579.659.659.759.769.649.769.919.95

10.029.849.959.98

10.2510.3210.2510.3010.2310.13

9.969.959.829.989.869.809.929.91

10.1310.029.959.949.869.89

10.0010.3110.2810.3810.1110.049.759.639.609.559.719.889.739.609.709.659.829.959.849.899.849.949.769.739.809.869.759.509.559.609.549.689.519.489.39

Comment

(based on daily sampling)(based on daily sampling)

Skewness not statistically different from normality.Kurtosis is significantly different from that expectedfrom a lognormal distribution of prices.(see help file for significance testing)

Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyAutoCorrelReturns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of the prices, or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies strongautocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is appropriatefor the data.

ExampleInputs ResultsClosing prices Confidence level: 2%For one year data_type: 3

lag1 ### #MACRO? ### 5.412

10.61 2 ### #MACRO? ### 7.82410.65 3 ### #MACRO? ### 9.83710.75 5 ### #MACRO? ### 13.38810.58 10 ### #MACRO? ### 21.16110.38 20 ### #MACRO? ### 35.02010.73 30 ### #MACRO? ### 47.96210.7610.8510.8010.5510.3410.6510.8010.4310.5510.6710.5010.3810.4010.6010.8010.9510.4910.1810.1010.259.729.449.679.589.579.299.229.319.419.509.57

Index

Null hypothesis: there is no autocorrelation for this data_type

Auto-corre-lation

Ljung-Box statistic

Chi-square

P-value

Chi-square critical

value


Notes:1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical example of how this function can be used to evaluate GARCH suitability.

2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

Help


9.609.689.559.559.699.459.559.579.579.339.129.269.459.379.389.309.169.059.139.339.209.289.499.679.539.349.299.359.349.419.529.339.359.259.199.219.329.449.749.729.609.539.439.409.349.369.379.319.309.319.319.219.249.14

9.309.259.279.329.409.269.349.309.359.329.379.489.459.359.269.319.319.469.509.419.569.529.649.489.489.549.429.419.479.479.559.359.009.059.099.089.038.958.898.808.758.748.969.029.109.059.059.029.019.119.119.028.879.02

8.989.049.069.129.079.079.089.059.008.998.838.848.888.998.908.758.738.478.498.508.669.059.409.469.449.619.629.479.319.309.399.459.559.329.469.549.509.559.509.369.579.659.659.759.769.649.769.919.95

10.029.849.959.98

10.25

10.3210.2510.3010.2310.139.969.959.829.989.869.809.929.91

10.1310.029.959.949.869.89

10.0010.3110.2810.3810.1110.049.759.639.609.559.719.889.739.609.709.659.829.959.849.899.849.949.769.739.809.869.759.509.559.609.549.689.519.489.39

123

Returns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of the prices, or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies strongautocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is appropriate

Meaning#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

Null hypothesis: there is no autocorrelation for this data_type

Notes:1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical example of how this function can be used to evaluate GARCH suitability.

2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyProbAtEndReturns the probability of the spot price being above orbelow a target price at the end of the specified numberof days.

ExampleInputsProb_type ATarget_price 55.00Spot 50.00Days 365Volatility 30%Expected_return 5%

Optional arguments:Dividend_type DDividends 2.50Days_to_ex_dates 182.5

Results Prob_typeA #MACRO? #VALUE!B #MACRO? #VALUE!

Probability of being above when expected return = 0 #MACRO? #VALUE!and dividend = 0 (equivalent to a stock #MACRO? #VALUE!with a dividend yield equal to expected return)

Index

From a worksheet cell

From VBA module

Probability of spot being above target at end:Probability of spot being below target at end:


Help


NCD

### HoadleySpotAtEndCalculates the future spot price that has a specified probability of occurring.This function is only available in the full version of the add-in

ExamplesInputsProb_type BSpot 50.00DaysVolatility 20%Expected_return 5%Probability

Optional arguments:Dividend type NDividends 2.00Days_to_ex_dates 87

Target probability bands99% 95% 80% 40%

Example 1: Probability of being below spot price after specified days from time nowDays from 99.5% 97.5% 90.0% 70.0% 30.0% 10.0% 2.5%time-now Spot price at days from time-now

0 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?10 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?20 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?30 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?50 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?60 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?70 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?80 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?90 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?110 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?120 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?130 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?140 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Index

0 20 40 60 80 100

120

140

160

180

200

220

240

260

280

300

320

340

360

30.0

35.0

40.0

45.0

50.0

55.0

60.0

Probability Cones

80%

40%

Days from time-now

Fut

ure

spot

pric

e

The HoadleySpotAtEnd function can be used to produce probability cones. They show the percentage of time that the stock (or futures, currency, or index) falls within various probability bands for each date from now until the end of the period. For example, the graph shows that 80% of the time the future asset price will fall within the blue "cone". Note: change dividend type to "D" to see impact of dividends.

Help

150 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?160 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?170 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?180 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?190 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?200 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?210 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?220 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?230 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?240 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?250 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?260 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?270 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?280 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?290 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?300 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?310 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?320 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?330 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?340 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?350 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?360 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Probability of being below spot price after specified days from time now Example 2:0.5%

Spot price at days from time-now Prob_type A#MACRO? Target_price 60.00#MACRO? Days 250#MACRO?#MACRO? Prob at end #MACRO?#MACRO? Spot at end #MACRO?#MACRO? (=Target_price)#MACRO? The above example illustrates that#MACRO? HoadleyProbAtEnd function and the#MACRO? HoadleySpotAtEnd function are#MACRO? consistent with each other.#MACRO? ie the "spot at end" produced by the#MACRO? HoadleySpotAtEnd function is#MACRO? the same as the target_price input#MACRO? to the HoadleyProbAtEnd function.#MACRO?

0 20 40 60 80 100

120

140

160

180

200

220

240

260

280

300

320

340

360

30.0

35.0

40.0

45.0

50.0

55.0

60.0

Probability Cones

80%

40%

Days from time-now

Fut

ure

spot

pric

e

#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

ABNCD

50.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.00

50.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.0050.00

HoadleyProbAnyTime1Returns the probability of the spot price ever being above or below

This function is only available in the full version of the the add-in.

Example showing probabilities by volatility and spot priceInputsProb_type ATarget_price 60.00SpotDays 300Volatility 30%Expected_return 10%

Optional arguments:Dividend_yield 0%Observations_per_day 1

ResultsThe following table shows the probability of the spot price being above the target at any time. The "at end probability" is shown for comparison.

Spot PriceVolatility Any time during period At end of period

45.00 50.00 55.00 60 45.00 50.00 55.00 60.005% ### ### ### ### ### ### ### ###

10% ### ### ### ### ### ### ### ###15% ### ### ### ### ### ### ### ###20% ### ### ### ### ### ### ### ###25% ### ### ### ### ### ### ### ###30% ### ### ### ### ### ### ### ###35% ### ### ### ### ### ### ### ###40% ### ### ### ### ### ### ### ###45% ### ### ### ### ### ### ### ###50% ### ### ### ### ### ### ### ###55% ### ### ### ### ### ### ### ###60% ### ### ### ### ### ### ### ###

a target price at any time during a specified number of days.

Index


Help


HoadleyProbAnyTime1TReturns the probability of the spot price ever being above or below target price at

tree. Specifically useful for calculating probabilities on stocks paying discrete dividends.This function is only available in the full version of the add-in.

ExampleInputsProb_type ATarget_price 120.00Spot 100.00Days 365Volatility 30%Expected_return 7.00%



observations_per_day 0Trinomial_steps 200

ResultsIncluding dividends #MACRO?

Excluding dividends: HoadleyProbAnyTime1T #MACRO?Excluding dividends: HoadleyProbAnyTime1 #MACRO?

any time during a specified number of days. Probabilties are calculated using a trinomial

Index


Help


NCD

AB

HoadleySpotAnytTimeCalculates the future spot price that has a specified probability of occurring at any time during a specified numberof days.This function is only available in the full version of theadd-in.

InputsProb_type ASpot 100Probability 35.0%Days 250Volatility 25%Expected return 8%

Optional arguments:Dividend yield 3%observations_per_day 0

ResultsTarget spot price ###

Probability from HoadleyProbAnyTime1 ###

Index


Help


AB

HoadleyProbAnyTime2Returns the probability of the spot price moving outside a target range at any time during a specified number of days. It also will return the probability of movingoutside both prices in the range, or remaining within the range at all times.This function is only available in the full version of the add-in.

ExampleInputsprob_type Eupper_target 55.00lower_target 45.00spot 50.00days 100.00volatility 30%expected_return 7.00%

Optional arguments:dividend_yield 0.00%observations_per_day 0.00

Results Prob_type ValueProbability of being either above or below target at any time E #MACRO?Prob of remaining within target range at all times N #MACRO?Probability of being both above upper and below lower targets B #MACRO?Probability of being between target prices at some time W #MACRO?

Probability of being above upper target at any time A #MACRO?Probability of being below lower target at any time B #MACRO?

Probability of being above upper target at end of period A #MACRO?Probability of being below lower target at end of period B #MACRO?

Index


Help


HoadleyProbAnyTime2TReturns the probability of the spot price moving outside a target range at

tree. Specifically useful for calculating probabilities on stocks paying discrete dividends.This function is only available in the full version of the add-in.

ExampleInputsProb_type EUpper_target 120.00Lower_target 60.00Spot 100.00Days 365Volatility 30%Expected_return 7.00%



observations_per_day 0Trinomial_steps 300

ResultsIncluding dividends #MACRO?

Excluding dividends: HoadleyProbAnyTime2T #MACRO?Excluding dividends: HoadleyProbAnyTime2 #MACRO?

any time during a specified number of days. Probabilties are calculated using a trinomial

Index


Help


NCD

HoadleyProbDistReturns an array containing the probability distribution for a range of asset prices. The skewness and kurtosis of the distribution can be specified to handle non-lognormally distributed prices. This function is only available in the full version of the add-in.

ExampleInputsspot 70.00days 180volatility 35%expected_return 5.0%

Optional arguments:dividend_yield 0%skewness -0.50Excess kurtosis 1.50

ResultsProbability Distribution

non-Price gap: 1.00 Prices lognormal lognormal

30.00 #MACRO? #MACRO?31.00 #MACRO? #MACRO?32.00 #MACRO? #MACRO?33.00 #MACRO? #MACRO?34.00 #MACRO? #MACRO?35.00 #MACRO? #MACRO?36.00 #MACRO? #MACRO?37.00 #MACRO? #MACRO?38.00 #MACRO? #MACRO?39.00 #MACRO? #MACRO?40.00 #MACRO? #MACRO?41.00 #MACRO? #MACRO?42.00 #MACRO? #MACRO?43.00 #MACRO? #MACRO?44.00 #MACRO? #MACRO?45.00 #MACRO? #MACRO?46.00 #MACRO? #MACRO?47.00 #MACRO? #MACRO?48.00 #MACRO? #MACRO?49.00 #MACRO? #MACRO?50.00 #MACRO? #MACRO?51.00 #MACRO? #MACRO?52.00 #MACRO? #MACRO?53.00 #MACRO? #MACRO?54.00 #MACRO? #MACRO?55.00 #MACRO? #MACRO?56.00 #MACRO? #MACRO?57.00 #MACRO? #MACRO?58.00 #MACRO? #MACRO?59.00 #MACRO? #MACRO?

Index


30 34 38 42 46 50 54 58 62 66 70 74 78 82 86 90 94 98 102

106

110

114

118

122

126

130

Price Probability Distribution

Log-normal

Non log-normal

Asset Price

Note: This function returns an array of prices and as such the function must be entered as an Excel array formula.

This is done by highlighting the range which is to receive the results, using the function wizard to enter all arguments, and then hitting ctrl-shift-enter to enter the formula.

Help


60.00 #MACRO? #MACRO?61.00 #MACRO? #MACRO?62.00 #MACRO? #MACRO?63.00 #MACRO? #MACRO?64.00 #MACRO? #MACRO?65.00 #MACRO? #MACRO?66.00 #MACRO? #MACRO?67.00 #MACRO? #MACRO?68.00 #MACRO? #MACRO?69.00 #MACRO? #MACRO?70.00 #MACRO? #MACRO?71.00 #MACRO? #MACRO?72.00 #MACRO? #MACRO?73.00 #MACRO? #MACRO?74.00 #MACRO? #MACRO?75.00 #MACRO? #MACRO?76.00 #MACRO? #MACRO?77.00 #MACRO? #MACRO?78.00 #MACRO? #MACRO?79.00 #MACRO? #MACRO?80.00 #MACRO? #MACRO?81.00 #MACRO? #MACRO?82.00 #MACRO? #MACRO?83.00 #MACRO? #MACRO?84.00 #MACRO? #MACRO?85.00 #MACRO? #MACRO?86.00 #MACRO? #MACRO?87.00 #MACRO? #MACRO?88.00 #MACRO? #MACRO?89.00 #MACRO? #MACRO?90.00 #MACRO? #MACRO?91.00 #MACRO? #MACRO?92.00 #MACRO? #MACRO?93.00 #MACRO? #MACRO?94.00 #MACRO? #MACRO?95.00 #MACRO? #MACRO?96.00 #MACRO? #MACRO?97.00 #MACRO? #MACRO?98.00 #MACRO? #MACRO?99.00 #MACRO? #MACRO?

100.00 #MACRO? #MACRO?101.00 #MACRO? #MACRO?102.00 #MACRO? #MACRO?103.00 #MACRO? #MACRO?104.00 #MACRO? #MACRO?105.00 #MACRO? #MACRO?106.00 #MACRO? #MACRO?107.00 #MACRO? #MACRO?108.00 #MACRO? #MACRO?109.00 #MACRO? #MACRO?110.00 #MACRO? #MACRO?111.00 #MACRO? #MACRO?112.00 #MACRO? #MACRO?113.00 #MACRO? #MACRO?

114.00 #MACRO? #MACRO?115.00 #MACRO? #MACRO?116.00 #MACRO? #MACRO?117.00 #MACRO? #MACRO?118.00 #MACRO? #MACRO?119.00 #MACRO? #MACRO?120.00 #MACRO? #MACRO?121.00 #MACRO? #MACRO?122.00 #MACRO? #MACRO?123.00 #MACRO? #MACRO?124.00 #MACRO? #MACRO?125.00 #MACRO? #MACRO?126.00 #MACRO? #MACRO?127.00 #MACRO? #MACRO?128.00 #MACRO? #MACRO?129.00 #MACRO? #MACRO?130.00 #MACRO? #MACRO?


30 34 38 42 46 50 54 58 62 66 70 74 78 82 86 90 94 98 102

106

110

114

118

122

126

130

Price Probability Distribution

Log-normal

Non log-normal

Asset Price

Note: This function returns an array of prices and as such the function must be entered as an Excel array formula.

This is done by highlighting the range which is to receive the results, using the function wizard to enter all arguments, and then hitting ctrl-shift-enter to enter the formula.


Monte Carlo Simulation ClassWill produce a range of underlying asset probabilities in situations where no analytic solution is possible.Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected return and duration.This object is only available in the full version of the add-in.

Examples:

1. Calculating probabilitiesInputs: Results:Upper target 60.00 Probabilities:Lower target 45.00 Above upper target at expirationSpot 50.00 Above upper target at any timeDays 100 Below lower target at expirationVolatility 30% Below lower target at any timeExpected return 10% Touching either targetDividend type D Touching neither targetDividend amount 2.00 Touching both targetsDays to ex dividend 60 Being between targets at any timeNumber of dividends 1Prices per day 1 Average end price:Iterations 2,000

2. Deriving a call price from simulationThis illustrates how simulation can be used to derive the price of an option (in this case a call).The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very closeTo the Black-Scholes price. This proves that the prices produced by simulation are lognormally distributed.Inputs: Results:Spot price 100.00Strike 98.00 Call price from simulation:Volatility 30%Days 50 Call price from Black-Scholes:Risk free interest rate 5%Number of iterations 30,000

3. Production of normal distribution curveA simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations increases,The simulated distribution converges on the analytic distribution. This example is also proof that the prices produced by the simulation object are Lognormally distributed.Inputs: Results:Current price 90 Gap between prices:Volatility 30%Days 365 PriceExpected return 7% 24Iterations 50,000 26(Change iterations to, say, 5,000 and 28 see the effect) 30

323436

Index

24 32 40 48 56 64 72 80 88 96 104

112

120

128

136

144

152

160

168

176

184

192

200

208

216

Simulated & Analytic Lognormal Probability Distributions

Simulation

AnalyticStock Price

Pro

bab

ilit

y

Help

38404244464850525456586062646668707274767880828486889092949698

100102104106108110112114116118120122124126128130132134136138140142144

24 32 40 48 56 64 72 80 88 96 104

112

120

128

136

144

152

160

168

176

184

192

200

208

216

Simulated & Analytic Lognormal Probability Distributions

Simulation

AnalyticStock Price

Pro

bab

ilit

y

146148150152154156158160162164166168170172174176178180182184186188190192194196198200202204206208210212214216218220222

Will produce a range of underlying asset probabilities in situations where no analytic solution is possible.Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected

Above upper target at expiration 10.1%Above upper target at any time 19.6%Below lower target at expiration 30.8%Below lower target at any time 51.4%

70.5%29.5%

0.6%Being between targets at any time 100.0%

49.36

The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very closeTo the Black-Scholes price. This proves that the prices produced by simulation are lognormally distributed.

5.82

###

A simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations increases,The simulated distribution converges on the analytic distribution. This example is also proof that the prices produced by the simulation object are

Gap between prices: 2Simulation Analytic

Frequency Prob Prob below Prob0 0.000 #MACRO? 0.0001 0.000 #MACRO? ###1 0.000 #MACRO? ###2 0.000 #MACRO? ###6 0.000 #MACRO? ###

13 0.000 #MACRO? ###27 0.001 #MACRO? ###

32 0.001 #MACRO? ###58 0.001 #MACRO? ###78 0.002 #MACRO? ###

121 0.002 #MACRO? ###176 0.004 #MACRO? ###211 0.004 #MACRO? ###309 0.006 #MACRO? ###346 0.007 #MACRO? ###454 0.009 #MACRO? ###554 0.011 #MACRO? ###631 0.013 #MACRO? ###709 0.014 #MACRO? ###863 0.017 #MACRO? ###969 0.019 #MACRO? ###

1061 0.021 #MACRO? ###1187 0.024 #MACRO? ###1223 0.024 #MACRO? ###1329 0.027 #MACRO? ###1299 0.026 #MACRO? ###1361 0.027 #MACRO? ###1368 0.027 #MACRO? ###1492 0.030 #MACRO? ###1501 0.030 #MACRO? ###1457 0.029 #MACRO? ###1516 0.030 #MACRO? ###1456 0.029 #MACRO? ###1419 0.028 #MACRO? ###1469 0.029 #MACRO? ###1453 0.029 #MACRO? ###1398 0.028 #MACRO? ###1359 0.027 #MACRO? ###1331 0.027 #MACRO? ###1215 0.024 #MACRO? ###1197 0.024 #MACRO? ###1168 0.023 #MACRO? ###1169 0.023 #MACRO? ###1012 0.020 #MACRO? ###1032 0.021 #MACRO? ###

908 0.018 #MACRO? ###870 0.017 #MACRO? ###885 0.018 #MACRO? ###816 0.016 #MACRO? ###683 0.014 #MACRO? ###636 0.013 #MACRO? ###670 0.013 #MACRO? ###601 0.012 #MACRO? ###539 0.011 #MACRO? ###519 0.010 #MACRO? ###451 0.009 #MACRO? ###465 0.009 #MACRO? ###415 0.008 #MACRO? ###395 0.008 #MACRO? ###340 0.007 #MACRO? ###352 0.007 #MACRO? ###

280 0.006 #MACRO? ###248 0.005 #MACRO? ###236 0.005 #MACRO? ###221 0.004 #MACRO? ###210 0.004 #MACRO? ###167 0.003 #MACRO? ###190 0.004 #MACRO? ###176 0.004 #MACRO? ###178 0.004 #MACRO? ###111 0.002 #MACRO? ###128 0.003 #MACRO? ###126 0.003 #MACRO? ###110 0.002 #MACRO? ###

94 0.002 #MACRO? ###81 0.002 #MACRO? ###89 0.002 #MACRO? ###63 0.001 #MACRO? ###70 0.001 #MACRO? ###64 0.001 #MACRO? ###48 0.001 #MACRO? ###40 0.001 #MACRO? ###43 0.001 #MACRO? ###45 0.001 #MACRO? ###39 0.001 #MACRO? ###38 0.001 #MACRO? ###24 0.000 #MACRO? ###29 0.001 #MACRO? ###29 0.001 #MACRO? ###16 0.000 #MACRO? ###27 0.001 #MACRO? ###13 0.000 #MACRO? ###25 0.001 #MACRO? ###16 0.000 #MACRO? ###18 0.000 #MACRO? ###14 0.000 #MACRO? ###

8 0.000 #MACRO? ###9 0.000 #MACRO? ###6 0.000 #MACRO? ###4 0.000 #MACRO? ###

49,911 1.00 ###

HoadleyHedgeReturns an array containing the number of options and/or number of units in theunderlying to achieve specific hedge ratio targets with respect to one or moreof a portfolio's position delta, position gamma and position vega. An examplewould be making a portfolio both delta and vega neutral.This function is only available in the full version of the add-in.

Portfolio examplePortfolio: general valuation details Note: Spot 27.80 1. The function must be entered as an Excel array formula. See helpValuation date 20-Apr-04 for details.Volatility 30.0% 2. Set the "use_underlying" argument to TRUE or FALSE to see the impactRisk free rate 4.00% on hedging of using or not using trades in the underlying.

Portfolio: holdings and current position greeksOptions portfolio: Put or Call Strike Expiry QTY

C 25.00 30-Sep-04 3000C 26.00 31-Aug-04 2000P 27.00 30-Nov-04 -1000P 30.00 30-Jun-04 3000C 30.00 30-Nov-04 -2000

Underlying position: 780Net portfolio position: Current Position greeks:

Target portfolio hedge ratios (greeks):Required adjustment to portfolio greeks:

Options to be used for adjusting hedge ratiosPut or Call Strike Expiry

Option 1 (currently in portfolio) C 25.00 30-Sep-04Option 2 (currently in portfolio) P 27.00 30-Nov-04

Option 3 (not currently in portfolio) C 28.00 31-Dec-04

Hedging resultsHedge Change in number of unitsType Underlying Option 1 Option 2 Option 3

Delta D #MACRO? #MACRO? #MACRO? #MACRO?Delta, gamma DG #MACRO? #MACRO? #MACRO? #MACRO?

Vega V #MACRO? #MACRO? #MACRO? #MACRO?Delta, vega DV #MACRO? #MACRO? #MACRO? #MACRO?

Delta,gamma,vega DGV #MACRO? #MACRO? #MACRO? #MACRO?

Index


Help


10

1. The function must be entered as an Excel array formula. See help

2. Set the "use_underlying" argument to TRUE or FALSE to see the impacton hedging of using or not using trades in the underlying.

Delta Gamma Vega#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

1.000#MACRO? #MACRO? #MACRO?

0 0 0#MACRO? #MACRO? #MACRO?

Delta Gamma Vega Use_underlying#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? 1#MACRO? #MACRO? #MACRO?

Change in position greeks New position greeksDelta Gamma Vega Delta Gamma Vega

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

HoadleyHedgeOptimizeScans a set of options for an underlying and, depending on specified criteria, selectsthe optimal combination of trades (a scenario) which will meet target changes in one or more of the position delta, gamma, or vega.This function is only available in the full version of the add-in.

See the Implied Volatility Calculator (included withthe addin) for an example of how this function canbe used.

ExampleAvailable options (eg from option chain) D G VOption no. Put/Call Strike Expiry Volatility Delta Gamma Vega

Option 1 C 96.00 01-Dec-04 22% #MACRO? #MACRO? #MACRO?Option 2 C 98.00 01-Dec-04 21% #MACRO? #MACRO? #MACRO?Option 3 C 100.00 01-Dec-04 20% #MACRO? #MACRO? #MACRO?Option 4 C 102.00 01-Nov-04 20% #MACRO? #MACRO? #MACRO?Option 5 C 104.00 01-Oct-04 20% #MACRO? #MACRO? #MACRO?Option 6 C 106.00 01-Dec-04 20% #MACRO? #MACRO? #MACRO?Option 7 P 97.00 01-Sep-04 20% #MACRO? #MACRO? #MACRO?Option 8 P 99.00 01-Sep-04 20% #MACRO? #MACRO? #MACRO?Option 9 P 101.00 01-Dec-04 20% #MACRO? #MACRO? #MACRO?Option 10 P 103.00 01-Dec-04 20% #MACRO? #MACRO? #MACRO?Option 11 P 105.00 01-Dec-04 20% #MACRO? #MACRO? #MACRO?

Results Reply Units in U/L OptionEach line represents an optimal scenario code to buy/sell number 1Scenario 1: Theta maximized #MACRO? #MACRO? #MACRO?Scenario 2: Net credit from options trades maximized #MACRO? #MACRO? #MACRO?Scenario 3: Absolute value of options trades minimized #MACRO? #MACRO? #MACRO?Scenario 4: Number of shares traded in U/L minimized #MACRO? #MACRO? #MACRO?

Scenario 1: Theta is maximized Scenario 2: Credit from options trades is maximizedTrade combos Delta Gamma Vega Theta Value TradesU/L ### U/L

#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?

Position totals ### ### #MACRO? #MACRO? #MACRO? Pos'n totals

Scenario 3: Absolute value from options trades is minimized Scenario 4: Absolute units in underlying traded is minimizedTrade combos Delta Gamma Vega Theta Value TradesU/L ### U/L

#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?

Position totals ### ### #MACRO? #MACRO? #MACRO? Pos'n totals

Index


Help


DDGVDVDGV

10

Option 0

T P General valuation parametersTheta Price Spot 100.00

Valuation date 18-Apr-04#MACRO? #MACRO? Risk free rate 5.00%#MACRO? #MACRO?#MACRO? #MACRO? Hedging requirements#MACRO? #MACRO? Target change in position delta 93.5#MACRO? #MACRO? Target change in position gamma -4.9#MACRO? #MACRO? Target change in position vega -58.4#MACRO? #MACRO?#MACRO? #MACRO? Type of hedging DGV#MACRO? #MACRO? Use underlying 1#MACRO? #MACRO? Constraints:#MACRO? #MACRO? Maximum value of any one option trade 10,000

Maximum quantity of any one option tradeMinimum delta to be included 0.10Maximum delta to be included

Options to Option Options to Option Options tobuy/sell number 2 buy/sell number 3 buy/sell

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Scenario 2: Credit from options trades is maximizedDelta Gamma Vega Theta Value

#MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Scenario 4: Absolute units in underlying traded is minimizedDelta Gamma Vega Theta Value

#MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

HoadleyPortInsureReturns the expected future index level (eg S&P500) for a specified futureportfolio value. This function can be used to calculate the strike of indexput options which can be used to insure a portfolio of equities againstfalling below a specific value.This function is only available in the full version of the add-in.

ExampleInsure portfolio against dropping below $1,000,000InputsBeta 1.5Days 90Risk_free_rate 5.50%Div_yield_index 4.5%Div_yield_pfolio 2.0%Value_index (current index level) 4958Value_portfolio Current value 1,200,000future_portfolio Insured value 1,000,000Index_multilier 10rate_type C

Results: Today calc_type ValueStrike of index option required: F ###Number of index options required N ###

Cost of insurance using put options (volatility = 15%) ###(value of one option is multiplied by index_multplier & no options)

Results: At option expiry, to prove insurance worksAssume portfolio has dropped in value to 750,000Expected value of index: ###

Change in portfolio value (from insured value) -250,000Gain on index options (ie payoff at expiry) ###

The above result shows that the loss on the portfolio is exactly offset by thegain on the index put options.

Index


Help


HoadleyPLExpiryReturns the profit or loss of an option trade at option expiry.

Example:Inputs

Option_type C CNo_options 4,000 -4,000Strike 9.50 11.00Initial_option_price 1.153 0.421

ResultsStock price at expiry 7.50 8.00 8.50 9.00 9.50P/L for option trade 1 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?P/L for option trade 2 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Total deal profit/loss #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Index

Option trade 1

Option trade 2


7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.500

2

4

6

8

10

12Total Profit/Loss

Stock Price at Expiry

Pro

fit/

Lo

ss

Help


CP

10.00 10.50 11.00 11.50 12.00 12.50#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

7.50 8.00 8.50 9.00 9.50 10.00 10.50 11.00 11.50 12.00 12.500

2

4

6

8

10

12Total Profit/Loss


Pro

fit/

Lo

ss

HoadleyPLIfCloseReturns the profit or loss of an option trade if closed at any time prior to expiry.

Example:InputsPricing_model 2Option_type PNo_options -1,000Strike 50Expiry_date 31-Dec-03Volatility 30%Risk_free_rate 5%Initial_option_price 6.2


Dividend_details Amt Ex-div1.00 10-Apr-03

Binomial_steps 50

ResultsStock price 35.00 40.00 45.00 50.00Profit/Loss at expiry #MACRO? #MACRO? #MACRO? #MACRO?

Profit/Loss at analysis date 1 31-Mar-03 #MACRO? #MACRO? #MACRO? #MACRO?Profit/Loss at analysis date 2 31-Jul-03 #MACRO? #MACRO? #MACRO? #MACRO?Profit/Loss at analysis date 3 31-Oct-03 #MACRO? #MACRO? #MACRO? #MACRO?

Index

Analysis dates


35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00

0

2

4

6

8

10

12 Profit/Loss if closed prior to expiry

Expiry

31-Oct-03

31-Jul-03

31-Mar-03

Stock Price

Pro

fit/

Lo

ss

Help


123

CPNCD

55.00 60.00 65.00 70.00 75.00#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

35.00 40.00 45.00 50.00 55.00 60.00 65.00 70.00 75.00

0

2

4

6

8

10

12 Profit/Loss if closed prior to expiry

Expiry

31-Oct-03

31-Jul-03

31-Mar-03

Stock Price

Pro

fit/

Lo

ss

HoadleyPLUnderlyingReturns the profit or loss of a position in the underlying asset as at a specified date. The function takes into account dividends received or paid.

Example:InputsNo_units 1,000Initial_price 20.00Initial_transaction_date 1-Jan-03Analysis_date 30-Jun-03


Dividend_details Amt Ex-divDividend 1 1.00 1-Mar-03Dividend 2 0.60 1-Jun-03

Results: Payoff diagram for covered callStock price 16.00 17.00 18.00 19.00Stock P/L #MACRO? #MACRO? #MACRO? #MACRO?Call option details:strike: 20.00Initial option price 0.512Option P/L at expiry #MACRO? #MACRO? #MACRO? #MACRO?Total covered call P/L #MACRO? #MACRO? #MACRO? #MACRO?

Index


16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00 24.00 25.00

0

2

4

6

8

10

12Covered Call Profit/Loss


Pro

fit/

Lo

ss

Help


NCD

20.00 21.00 22.00 23.00 24.00 25.00#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00 24.00 25.00

0

2

4

6

8

10

12Covered Call Profit/Loss


Pro

fit/

Lo

ss

HoadleyFuturesPriceReturns the forward or futures price of an investment asset.

ExampleInputsCalc_type PValue_date 07-Apr-03Maturity_date 30-Nov-03Spot 102.00Risk_free_rate 3.25%

Optional arguments:Income_type D

Income_details: Amt DateIncome payment 1 (eg coupon) 2.50 04-May-03

Income payment 2 2.50 04-Nov-03

Futures_price

Results -1 Calc Type ResultsFutures price P #MACRO?

Implied risk free rate IR #MACRO?

Results - 2 ResultsStrike: 100Price volatility 12%Call/Put CSpot option (uses spot price): #MACRO?Futures option (uses futures price): #MACRO?This example shows that a European futures option is worthexactly the same as a spot option if the option matures at thesame time as the futures contract. This example proves theconsistency of the futures and options functions.

Index

Option details


Help


CPNCD

HoadleyFuturesConValReturns the profit or loss of a position in the underlyingasset as at a specified date.

ExampleInputsValue_date 10-May-03Maturity_date 03-Dec-03Spot 102.00Delivery_price 98.74Risk_free_rate 2.50%Income_type CIncome_details 2.50%

Results ValueContract value #MACRO?

Index


Help


NCD

HoadleyVarianceSwap1Calculates the fair variance, cost and weights of a hedging portfolio of options for a variance swapThis function is only available in the full version of the add-in.

ExampleInputsCalculation_type Vols_by_strike Strike VolatilityAsset_price 100.00 50.00 30.0%Days 90 55.00 29.0%Risk_free_rate 5.0% 60.00 28.0%Div_yield 0.0% 65.00 27.0%

70.00 26.0%75.00 25.0%80.00 24.0%85.00 23.0%90.00 22.0%95.00 21.0%

100.00 20.0%105.00 19.0%110.00 18.0%115.00 17.0%

Results Calc_type Value 120.00 16.0%Fair variance (strike) VAR #MACRO? 125.00 15.0%Fair variance as volatility VOL #MACRO? 130.00 14.0%Cost of options portfolio C #MACRO? 135.00 13.0%

Results - Options portfolioPut/Call Strike Volatility Weights Option Val Contribution

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Total #MACRO?

Index


Help


HoadleyVarianceSwap2Calculates the value of variance swap some time after inceptionThis function is only available in the full version of the add-in.

ExampleInputsCalculation_typeCalendar_days_left 150Risk_free_rate 5.0%Trading_days_passed 57Trading_days_left 106vol_realized 15.75%Vol_implied 13.30%Vol_strike 12.00%

Optional argumentVol_cap 0.00%

Results Calc_type ValueFair value (per unit) FV #MACRO?Net variance Var #MACRO?Net volatility Vol #MACRO?P&L realized to date (per unit) P&L #MACRO?

Index


Help


Returns the Value at risk for a portfolio of instruments linearly dependent on market variables.This function is only available in the full version of the add-in.

ExampleInputs

S&P 500 NASDAQ DAX 100 US$/EuroVolatilities 18.5% 37.0% 24.0% 9.7%

S&P 500 NASDAQ DAX 100 US$/EuroCorr_matrix S&P 500 1.00 0.92 0.36 -0.17

NASDAQ 1.00 0.41 -0.15DAX 100 1.00 -0.23

US$/Euro 1.00

S&P 500 NASDAQ DAX 100 US$/EuroPositions (US$) 780,000 -250,000 450,000 300,000

VaR_days 5Conf_interval 1%Trading_days_pa 252

Results (VaR & CVar) ValueValue at risk (US$): ###Conditional Value at Risk (CVaR): ###

Overall portfolio volatility: ###

Results (Component VaR)Action S&P 500 NASDAQ DAX 100 US$/Euro Totals

Marginal VaR M ### ### ### ###Component VaR C ### ### ### ### ###Component Percentages P ### ### ### ### ###Component Beta B ### ### ### ### ###

VaRtools - HoadleyVaRLinear

Index

Download VaRtools additional samples spreadsheet


Help

http://www.hoadley.net/options/develtoolsvar.htm


HoadleyCVaRLinearReturns the Conditional Value at risk (CVar) for a portfolio of instruments linearly dependent on market variables.This function is only available in the full version of the add-in.

ExampleSee the examples on the VarLinear sheet

Index



Help



HoadleyComponentVaRReturns the Component VaR measures for each instument in a portfolio of assets linearly dependent on market variables.This function is only available in the full version of the add-in.

ExampleSee the examples on the VarLinear sheet

Index



Help



###Returns the Value at risk for a portfolio of instruments which may not all be linearly dependent on market variables. Can also be used to generate a set of correlated asset prices.The simulation class must be used from a VBA module (macro); it is not a function.The VaR simulation component is only available in the full version of the add-in.

ExampleInputs - general

Market variable IDs MSFT GenElec 10_Yr_BondCurrent prices (not required for linear assets) 27.60 30.21 4.8%Exchange rates 1 1 1

Annual volatilities 32% 19% 23%Correlation matrix MSFT 1 0.8 -0.2

GenElec 1 -0.1010_Yr_Bond 1

VaR period in days 5Confidence interval 1%Trading days per year 252Simulation iterations 50,000Filter by position type (0 = include all) 0(set to 1 to compare simulated VaR with analytic)

Inputs - Positions

Long holding in stock 1 MSFT 5,520,210Short holding in stock 1 GenElec -1,078,500

Option position (note: position value 2 MSFT 55,300 12,080not required for option position)

Ten year bond (using duration method) 3 10_Yr_Bond 2,200,000 9.3

VaRtools - VaR simulation class

Index

Position type

Market Variable ID

Position value

Position delta, or duration

Position gamma



Help



0123

Results

VaR from simulation 653,120Analytic VaR for linear positions ###

Conditional VaR (CVaR) from simulation 740,906Analytic CVar for linear positions ###

Error status:OK (Monte Carlo simulation)

linear positions ('filter by position' = 1), the simulated VaR and CVaR will be very close to the analytic VaR and CVaR.

Note: When the simulation is filtered to only include

Returns an array mapping future cash flows (eg from bonds) at any time periods to anynumber of user-specified time vertices. The function uses quadratic interpolation topreserve the value and market risk of the original cash flows. The cash flow map canthen be used in the VaRLinear function or in the VaR simulation component.This function is only available in the full version of the add-in.

ExampleInputsStandard time vertices in years (maturity dates) 0.25 0.50 1.00Zero rates with continuous compounding 4.50% 5.00% 6.00%Bond price volatilities (% pa) 0.96% 1.60% 3.20%

0.25 0.50 1.00Correlation matrix 0.25 1.0 0.9 0.6

0.50 1.0 0.71.00 1.0

Cash flows: Maturity Amount0.30 120,0000.80 968,0001.20 875,000

Note: The function must be entered as an Excel array formula (crtl-shift-enter)

Results -1Time vertices (years) 0.25 0.50 1.00Mapped cash flows (PV of equivalent bond positions): ### ### ###

Five day VaR at 1% confidence interval: ###

Results - 2: Same result but showing detailed mapTime vertices (years) 0.25 0.50 1.00Cash flow 1: Year received: 0.3; Amount: 120,000 ### ### ###Cash flow 2: Year received: 0.8; Amount: 968,000 ### ### ###Cash flow 3: Year received: 1.2; Amount: 875,000 ### ### ###Total ### ### ###

VaRtools - HoadleyCashFlowMap

Index



Help



1

23

HoadleyRebaseVolsCurrency rebasing of volatilities.This function is only available in the full version of the add-in.

ExampleOriginal volatilities and correlations:

IDs: S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £Volatilities: 21.92% 17.32% 22.73% 22.24% 19.83% 10.28%

S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £S&P 500 1.000 0.555 0.126 0.595 0.689 -0.156

FTSE 100 0.555 1.000 0.249 0.778 0.719 -0.133NIKKEI 225 0.126 0.249 1.000 0.125 0.114 -0.005

CAC 40 0.595 0.778 0.125 1.000 0.860 -0.200DAX100 0.689 0.719 0.114 0.860 1.000 -0.201

US$/UK £ -0.156 -0.133 -0.005 -0.200 -0.201 1.000US$/Yen -0.159 -0.068 0.085 -0.071 -0.178 0.004

US$/EURO -0.053 -0.259 -0.204 -0.262 -0.151 0.421

Current base: US$ Do not change current baseNew base: UK £ Observe impact of changing new base

Rebased volatilities and correlations:IDs #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Rebase back to original currency (as a check):IDs #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

IndexHelp

US$/Yen US$/EURO 7.75% 15.00%

US$/Yen US$/EURO-0.159 -0.053-0.068 -0.2590.085 -0.204

-0.071 -0.262-0.178 -0.1510.004 0.4211.000 -0.071

-0.071 1.000


#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?


#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?

UK £YENEURO

HoadleyRebaseCorrelCurrency rebasing of vol correlation matricesThis function is only available in the full version of the add-in.

ExampleSee the examples on the RebaseVols sheet

Index



Help



HoadleyBetaReturns the beta of an individual asset, or a portfolio of assetsThis function is only available in the full version of the add-in.

ExampleInputs: GeneralCalc_model (1: equally weighted; 2: EWMA) 1

Weights ($) TWX XOM CSCO25,000 50,000 -2,500

observation_frequency (tracking error function only) 252Decay_factor 0.94

ResultsBeta R-Squared Tracking Err

TWX #MACRO? #MACRO? #MACRO?

XOM #MACRO? #MACRO? #MACRO?

CSCO #MACRO? #MACRO? #MACRO?

Portfolio #MACRO? #MACRO? #MACRO?

Inputs: Historic closing pricesDate S&P 500 TWX XOM CSCO19-Dec-02 884.25 13.31 34.19 13.0020-Dec-02 895.74 13.39 34.72 13.2723-Dec-02 897.38 13.24 34.77 13.4424-Dec-02 892.47 13.18 34.45 13.3526-Dec-02 889.66 12.97 34.35 13.1027-Dec-02 875.40 12.44 33.69 13.0130-Dec-02 879.39 12.41 33.80 12.9731-Dec-02 879.82 13.10 33.98 13.1002-Jan-03 909.03 13.31 34.50 13.6403-Jan-03 908.59 13.60 34.53 13.9106-Jan-03 929.01 14.09 35.39 14.2007-Jan-03 922.92 14.16 34.19 14.6008-Jan-03 909.93 13.88 34.04 14.4409-Jan-03 927.58 14.33 34.76 14.9510-Jan-03 927.57 14.88 34.28 15.2213-Jan-03 926.26 15.03 34.14 15.2814-Jan-03 931.66 15.35 34.45 15.5815-Jan-03 918.22 15.24 33.98 15.1816-Jan-03 914.60 15.30 34.13 14.9017-Jan-03 901.78 14.81 33.77 14.1321-Jan-03 887.62 14.35 32.99 14.18

Index


Help


22-Jan-03 878.36 13.91 32.57 13.9623-Jan-03 887.34 14.48 32.50 14.5924-Jan-03 861.40 14.11 31.80 13.8627-Jan-03 847.48 13.57 30.95 13.7128-Jan-03 858.54 13.66 31.77 14.2229-Jan-03 864.36 13.96 32.92 14.0830-Jan-03 844.61 12.00 32.32 13.8731-Jan-03 855.70 11.66 33.22 13.3703-Feb-03 860.32 11.55 33.68 13.4805-Feb-03 843.59 10.51 33.20 13.2006-Feb-03 838.15 10.84 32.91 13.2407-Feb-03 829.69 10.64 32.66 12.8510-Feb-03 835.97 10.36 32.91 13.1511-Feb-03 829.20 10.20 32.68 13.4712-Feb-03 818.68 10.27 32.02 13.2013-Feb-03 817.37 10.15 32.44 13.3114-Feb-03 834.89 10.51 32.75 13.6818-Feb-03 851.17 11.07 33.05 14.3119-Feb-03 845.13 10.94 33.08 14.4220-Feb-03 837.10 10.56 32.93 14.2621-Feb-03 848.17 10.60 33.47 14.6724-Feb-03 832.58 10.06 33.30 14.4225-Feb-03 838.57 10.43 33.43 14.0826-Feb-03 827.55 10.27 33.14 13.5127-Feb-03 837.28 10.74 33.28 13.7528-Feb-03 841.15 11.32 33.31 13.9803-Mar-03 834.81 11.20 33.75 13.7204-Mar-03 821.99 10.87 33.52 13.6305-Mar-03 829.85 11.05 34.20 13.7406-Mar-03 822.10 11.11 33.84 13.4807-Mar-03 828.89 11.40 34.07 13.2410-Mar-03 807.48 11.27 33.64 13.0111-Mar-03 800.73 11.11 33.85 13.0212-Mar-03 804.19 10.69 33.35 12.6913-Mar-03 831.90 10.85 33.77 13.4214-Mar-03 833.27 11.13 33.68 13.4017-Mar-03 862.79 11.73 34.32 14.1318-Mar-03 866.45 11.54 34.52 14.2019-Mar-03 874.02 11.46 34.85 14.2220-Mar-03 875.84 11.46 34.85 14.0421-Mar-03 895.79 11.45 35.25 13.9024-Mar-03 864.23 10.95 34.58 13.5125-Mar-03 874.74 11.37 34.93 13.7226-Mar-03 869.95 11.45 35.12 13.6627-Mar-03 868.52 11.54 35.18 13.5028-Mar-03 863.50 11.35 35.28 13.2231-Mar-03 848.18 10.86 34.23 12.9801-Apr-03 858.48 10.91 34.91 12.9802-Apr-03 880.90 11.11 34.96 13.6403-Apr-03 876.45 11.26 34.32 13.6404-Apr-03 878.85 11.55 34.78 13.7107-Apr-03 879.93 12.16 34.32 13.5708-Apr-03 878.29 12.45 33.86 13.4309-Apr-03 865.99 12.49 33.76 13.04

10-Apr-03 871.58 12.65 33.96 13.0411-Apr-03 868.30 12.30 33.62 13.2114-Apr-03 885.23 12.51 34.15 13.4715-Apr-03 890.81 12.44 34.32 13.3416-Apr-03 879.91 12.48 33.97 13.5617-Apr-03 893.58 12.60 34.30 13.9521-Apr-03 892.01 12.90 34.15 13.9422-Apr-03 911.37 13.31 34.69 14.3223-Apr-03 919.02 14.00 34.61 14.3324-Apr-03 911.43 13.80 34.40 14.3525-Apr-03 898.81 13.32 34.07 14.3428-Apr-03 914.84 13.56 34.68 14.9829-Apr-03 917.84 13.68 34.11 15.1430-Apr-03 916.92 13.68 34.47 15.0001-May-03 916.30 13.58 34.74 15.1202-May-03 930.08 13.45 35.29 15.27

12

HoadleyRSquaredReturns RSquared for an individual asset, or a portfolio of assets.This function is only available in the full version of the add-in.

ExampleSee the examples on the Beta sheet

Index


Help


HoadleyRSquaredReturns the Tracking Error for an individual asset, or a portfolio of assets.This function is only available in the full version of the add-in.

ExampleSee the examples on the Beta sheet

Index


Help


HoadleyActiveCorrelReturns the active correlation matrix for two or more assets.This function is only available in the full version of the add-in.

ExampleInputs: Historic Calc_model (1: equally weighted; 2: EWMA) 1Index_prices On Beta sheetAsset_prices On Beta sheet

Optional argument:Decay_factor 0.94

ResultsTWX XOM CSCO

TWX #MACRO? #MACRO? #MACRO?XOM #MACRO? #MACRO? #MACRO?CSCO #MACRO? #MACRO? #MACRO?

Index


Help


12

HoadleyDownsideDeviationCalculates the downside deviation of an asset. Downside deiviation, together withthe correlation matrix produced by the HoadleyDownsideCorrel function, can be used inplace of normal volatiliies and correlations to calculate portfolio volatility, optimize portfolios etc.This function is only available in the full version of the add-in.

ExamplesInputsMAR 0.00%Observation frequency 1

Returns Notional pricesYear S&P Nikkei S&P NikkeiStart 100.00 100.001997 31.0% -21.2% 136.34 80.901998 26.7% -9.3% 178.07 73.711999 19.5% 36.8% 216.41 106.502000 -10.1% -27.2% 195.62 81.142001 -13.0% -23.5% 171.77 64.152002 -23.4% -18.6% 135.93 53.262003 26.4% 24.5% 177.00 68.052004 9.0% 7.6% 193.67 73.422005 3.0% 40.2% 199.57 109.752006 13.6% 6.9% 228.64 117.59

Results

Standard & downside deviation S&P Nikkei S&P NikkeiStandard deviation (STDEV) 18.74% 25.44% ### ###Standard deviation (STDEVP) 17.78% 24.13%Downside Deviation ### ###Downside Deviation using HoadleyPerformanceLPM function ### ### 0.00% (MAR)

Correlation & covariance Standard Correl Downside Correl Downside CovarS&P Nikkei S&P Nikkei S&P Nikkei

S&P ### #MACRO? ### ### ### ###Nikkei ### #MACRO? ### ### ### ###

Portfolio downside deviation example 1 S&P Nikkei PortfolioPortfolio weights 80% 20% 100%Portfolio volatility (Standard deviation total) ###Portfolio downside deviation ###

Portfolio downside deviation example 2: Exhibit 3 in the Estrada paperProportion in S&P 100% 90% 80% 70% 60% 50%Proportion in Nikei 0% 10% 20% 30% 40% 50%

Notional aggregated portfolio valueStart ### #MACRO? ### ### ### ###1997 ### #MACRO? ### ### ### ###1998 ### #MACRO? ### ### ### ###1999 ### #MACRO? ### ### ### ###2000 ### #MACRO? ### ### ### ###2001 ### #MACRO? ### ### ### ###2002 ### #MACRO? ### ### ### ###2003 ### #MACRO? ### ### ### ###

IndexHelp

2004 ### #MACRO? ### ### ### ###2005 ### #MACRO? ### ### ### ###2006 ### #MACRO? ### ### ### ###

Portfolio downside deviations: approximate (using downside correlation) vs exact (using portfolio value for each year)Exact portfolio downside deviation ### #MACRO? ### ### ### ###Approx. portfolio downside deviation ### #MACRO? ### ### ### ###Difference ### #MACRO? ### ### ### ###http://www.hoadley.net/options


40% 30% 20% 10% 0%60% 70% 80% 90% 100%

Notional aggregated portfolio value### ### ### ### ###### ### ### ### ###### ### ### ### ###### ### ### ### ###### ### ### ### ###### ### ### ### ###### ### ### ### ###### ### ### ### ###

This example replicates the results from the paper "Mean-Semivariance Optimization: A Heuristic Approach" by Javier Estrada, November 2007.

The approach described allows downside deviation and downside correlation (ie semicovariance) to be used in standard portfolio optimizer (MVO) programs. This greatly simplifies optimization using downside risk (DRO or Downside Risk Optimization) as standard tools can be used. The paper argues that the results, whilst only an approximation, are accurate enough in most situations.

The example in the paper uses returns rather than prices. The HoadleyDownsideDeviation and HoadleyDownsideCorrel functions use prices (not returns) as input, so in the examples on this sheet the returns are converted to notional prices starting at the arbitrary price of 100.

By comparing the results on this sheet with the results in the paper it can be seen that the Hoadley downside functions are a correct implementation of the approach described.

### ### ### ### ###### ### ### ### ###### ### ### ### ###

Portfolio downside deviations: approximate (using downside correlation) vs exact (using portfolio value for each year)### ### ### ### ###### ### ### ### ###### ### ### ### ###

HoadleyDownsideCorrelUses the "Javier Estrada" approximation to produce a correlationmatrix based on downside deviation. The matrix, together with assetdownside deviations, can be used place of regular correlation matricesfor calcualting portfolio volatility, portfolio optimization etc.This function is only available in the full version of the add-in.

ExampleSee the examples on the DownsideDeviation sheet

Index


Help


HoadleyPortfolioVolReturns the volatility of a portfolio consisting of any number of linearinstruments.This function is only available in the full version of the add-in.

ExampleInputs

Volatilities 15.0% 17.5%Expected annual returns 10% 13%

US EAFECorrelation matrix US 1.00 0.35

EAFE 1.00

Results: Portfolio scenarios

0% 100% 13.0% ###5.00% 95% 12.9% ###

10.00% 90% 12.7% ###15.00% 85% 12.6% ###20.00% 80% 12.4% ###25.00% 75% 12.3% ###30.00% 70% 12.1% ###35.00% 65% 12.0% ###40.00% 60% 11.8% ###45.00% 55% 11.7% ###50.00% 50% 11.5% ###55.00% 45% 11.4% ###60.00% 40% 11.2% ###65.00% 35% 11.1% ###70.00% 30% 10.9% ###75.00% 25% 10.8% ###80.00% 20% 10.6% ###85.00% 15% 10.5% ###90.00% 10% 10.3% ###95.00% 5% 10.1% ###

100.00% 0% 10.0% ###

Index Index

US equities

EAFE equities

% US equities

% EAFE equities

Portfolio return

Portfolio volatility


13.0% 513.0% 1013.0% 1513.0% 2013.0% 2513.0%

9.5%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%Efficient Frontier

Portfolio Volatility

Po

rtfo

lio

Ret

urn

Help


13.0% 513.0% 1013.0% 1513.0% 2013.0% 2513.0%

9.5%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%Efficient Frontier

Portfolio Volatility

Po

rtfo

lio

Ret

urn

100% US

100% EAFE

HoadleyPortfolioVolFXReturns the volatility of a portfolio consisting of a combination of domestic and foreign assets.This function is only available in the full version of the add-in.

ExampleInputs

AssetsUS UK Japan France

S&P 500 FTSE 100 NIKKEI 225 CAC 40

Volatilities 12.7% 10.0% 28.6% 15.4%

Correlation 1.00 0.11 -0.09 0.180.11 1.00 0.37 0.78

-0.09 0.37 1.00 0.220.18 0.78 0.22 1.000.08 0.26 0.02 0.35

-0.20 -0.09 -0.15 -0.06-0.11 -0.13 -0.17 -0.17-0.07 -0.05 0.00 -0.10

Asset positions ($US) 100 200 300 400Asset currency exposures ($US)(non currency assets only)

Results

Portfolio volatility #MACRO?

Index


Help


Assets Exchange RatesGermany UK Japan EuroDAX100 US$/UK £ US$/Yen US$/EURO

12.8% 8.7% 9.5% 8.6%

0.08 -0.20 -0.11 -0.070.26 -0.09 -0.13 -0.050.02 -0.15 -0.17 0.000.35 -0.06 -0.17 -0.101.00 0.00 0.00 0.050.00 1.00 0.14 0.340.00 0.14 1.00 0.550.05 0.34 0.55 1.00

500 150200 300 900

HoadleyPortfolioReturnFXReturns the expected return of a portfolio consisting of a combination ofDomestic and foreign assets.This function is only available in the full version of the add-in.

ExampleInputs

AssetsUS UK Japan France

S&P 500 FTSE 100 NIKKEI 225 CAC 40

Expected returns 4.49% 7.18% 12.21% 8.78%

Asset_positions 100.00 200.00 300.00 400.00Currency_exposures (Optional)

Results

Portfolio expected return #MACRO?

Index


Help


Assets Exchange RatesGermany UK Japan EuroDAX100 US$/UK £ US$/Yen US$/EURO

7.65% 0.52% 2.93% 2.49%

500.00 150.00100.00 300.00 900.00

HoadleyPortfolioStatsReturns active management statistics and residuals covariance.This function is only available in the full version of the add-in.

ExampleInputsActionRisk_free_rateMarket_volatilityMarket_return

TWX XOM CSCO GE KOReturns 11.50% 11.80% 12.00% 9.50% 7.00%Volatilities 16.97% 21.00% 18.70% 17.45% 11.95%

Corr_matrix TWX 1.00 0.22 0.46 0.22 0.19XOM 0.22 1.00 0.14 0.23 0.04

CSCO 0.46 0.14 1.00 0.40 0.46GE 0.22 0.23 0.40 1.00 0.19KO 0.19 0.04 0.46 0.19 1.00DIS 0.45 -0.16 0.32 0.18 0.36

MER 0.33 0.34 0.26 0.31 0.39

Positions 21.2% 26.0% 20.1% 9.3% 5.0%Betas 1.100 1.300 1.200 0.689 0.633

Results

Active Portfolio Statistics Portfolio TWX XOM CSCO GE KO#MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ###

Residuals Covariance TWX XOM CSCO GE KOVolatilities ### ### ### ### ###Correlation matrix TWX ### ### ### ### ###

XOM ### ### ### ### ###CSCO ### ### ### ### ###

GE ### ### ### ### ###KO ### ### ### ### ###DIS ### ### ### ### ###

MER ### ### ### ### ###

Index


Help


4.00%9.80%9.00%

DIS MER8.90% 8.50%

18.31% 15.25%

0.45 0.33-0.16 0.340.32 0.260.18 0.310.36 0.391.00 0.180.18 1.00

13.5% 5.0%0.800 0.895

DIS MER### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###

DIS MER### ###### ###### ###### ###### ###### ###### ###### ###

Returns the proportions of an active portfolio, the benchmark and the riskless asset (cash) required to set the volatility of the combined portfolio equal to that of the benchmark and the tracking error of the combined portfolio equal to a target tracking error. This function is only available in the full version of the add-in.

ExamplePortfolio Prior to M3 Adjustment

Active Bench- This example shows how thePortfolio Mark Cash impact on all active management

Volatilities 10.51% 10.14% 0 statistics of risk-adjusting anTotal expected returns 9.61% 10.00% 4.00% active portfolio with theBetas 0.925 1 0 HoadleyM3Function can be

assessed by using theCorrelation matrix Active B/M Cash HoadleyPortfolioStats function.

Active Portfolio 1 0.892 0Benchmark 1 0 Note: Inputs to the

Cash 1 HoadleyM3Function are shownin white.

Results from the HoadleyM3FunctionActive Tracking Error Target

Portfolio 0% 1% 2% 3% 4%Percent active portfolio 100.00% ### ### ### ### ###Percent passive benchmark 0.00% ### ### ### ### ###Percent cash 0.00% ### ### ### ### ###

Active Management Statistics for Risk Adjusted PortfoliosActive Tracking Error Target

Portfolio 0% 1% 2% 3% 4%#MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ####MACRO? ### ### ### ### ### ###


Help


Returns the proportions of an active portfolio, the benchmark and the riskless asset (cash) required to set the volatility of the combined portfolio equal to that of the benchmark and the tracking error of the combined portfolio

This example shows how theimpact on all active managementstatistics of risk-adjusting anactive portfolio with theHoadleyM3Function can beassessed by using theHoadleyPortfolioStats function.

HoadleyM3Function are shown

Tracking Error Target5%#########

Tracking Error Target5%##########################################

HoadleyRiskAttributionIdentifies the contribution of individual assets, or asset groups, to total portfolio volatilityThis function is only available in the full version of the add-in.

Example 1InputsExample 1 shows risk attribution at the individual asset level.Note: Volatilities and correlation matrix are calculated from prices below

Asset 1 Asset 2 Asset 3 Asset 4Volatilities ### ### ### ###

Corr_matrix Asset 1 ### ### ### ###Asset 2 ### ### ### ###Asset 3 ### ### ### ###Asset 4 ### ### ### ###

Weights 18.0% 10.0% 30.0% 42.0% 100%

ResultsAction Asset 1 Asset 2 Asset 3 Asset 4 Total

Marginal contribution to risk M ### ### ### ###Portfolio Volatility ###Contribution to risk C ### ### ### ### ###Percent contribution to risk P ### ### ### ### ###

Example 3Inputs

Asset 1 Asset 2 Asset 3 Asset 4 CashVolatilies ### ### ### ### 0.0%

Corr_matrix (including cash) Asset 1 ### ### ### ### 0.00Asset 2 ### ### ### ### 0.00Asset 3 ### ### ### ### 0.00Asset 4 ### ### ### ### 0.00

Cash 0.00 0.00 0.00 0.00 1.00

Weights 18.001% 10.000% 30.000% 42.000% -0.001%

ResultsAsset 1 Asset 2 Asset 3 Asset 4 Cash

Contribution to risk ### ### ### ### ###Original portfolio volatility (from example 1)Change in portfolio volatility as a result of 1%pt increase in asset 1, funded by cash account:

Daily Prices Asset 1 Asset 2 Asset 3 Asset 41494.50 6600.74 16501.55 6703.361489.26 6581.96 16130.90 6675.011481.99 6555.52 16040.23 6697.801484.91 6478.19 16190.52 6568.891480.87 6555.50 16213.28 6637.91

IndexHelp

1465.81 6417.30 16213.28 6614.651444.51 6410.15 16061.16 6522.381459.90 6403.50 16124.19 6529.951451.34 6279.87 16458.31 6405.431449.05 6199.16 16311.05 6254.771448.72 6205.92 15818.25 6258.581439.03 6257.13 15992.90 6336.281427.21 6213.21 15928.62 6294.061426.57 6269.34 15639.95 6319.791458.29 6264.06 15626.96 6311.031436.51 6294.24 15747.26 6266.631436.23 6284.46 15902.51 6349.241426.46 6345.04 15912.09 6400.431434.32 6334.94 16149.08 6296.131436.28 6381.98 16099.26 6335.121408.99 6391.23 15994.24 6258.411402.03 6264.84 15994.24 6110.061387.02 6247.68 15827.72 6143.301364.59 6117.63 15513.57 5956.12



Example 2InputsExample 2 shows how risk can be attributed to groups (eg industries) as well asto individual assets. Group 1 consists of Asset 1 & Asset 2 combined using theHoadleyPortAggregate function. The example shows risk contributions are additive.

Group 1 Asset 3 Asset 4Volatilities ### ### ###

Corr_matrix Group 1 ### ### ###Asset 3 ### ### ###Asset 4 ### ### ###

Weights 28.0% 30.0% 42.0% 100%

ResultsAction Group 1 Asset 3 Asset 4 Total

Marginal contribution to risk M ### ### ###Portfolio Volatility ###Contribution to risk C ### ### ### ###Percent contribution to risk P ### ### ### ###

100.00%

Total Vol. Total Vol### ###### ###### ###

Daily prices (for example 2) Group 1 Asset 3 Asset 4### 16501.55 6703.36### 16130.90 6675.01### 16040.23 6697.80### 16190.52 6568.89### 16213.28 6637.91

Example 3: This example illustrates how, in the risk attribution model, the marginal contribution of asset n to total risk represents an increase in the holding of asset n by one percentage point financed by a decrease in the cash account by one percentage point.

This is shown in example 3 where the number of assets is expanded by one to include a cash account. Initially when the cash account holding is zero the results would be exactly the same as example 1.

The weight of asset 1 is increased by a small amount and the holding of cash decreased by the same amount. The original volatility from example 1 is then subtracted from the new volatility (shown in Cell I46) and the result scaled up to show the change in portfolio volatility from increasing the holding of asset 1 by 1%. The result, as expected, is the same as the marginal contribution of asset 1 in example 1 (circled in red).

### 16213.28 6614.65### 16061.16 6522.38### 16124.19 6529.95### 16458.31 6405.43### 16311.05 6254.77### 15818.25 6258.58### 15992.90 6336.28### 15928.62 6294.06### 15639.95 6319.79### 15626.96 6311.03### 15747.26 6266.63### 15902.51 6349.24### 15912.09 6400.43### 16149.08 6296.13### 16099.26 6335.12### 15994.24 6258.41### 15994.24 6110.06### 15827.72 6143.30### 15513.57 5956.12

Example 3: This example illustrates how, in the risk attribution model, the marginal contribution of asset n to total risk represents an increase in the holding of asset n by one percentage point financed by a decrease in the cash account by one percentage point.

This is shown in example 3 where the number of assets is expanded by one to include a cash account. Initially when the cash account holding is zero the results would be exactly the same as example 1.

The weight of asset 1 is increased by a small amount and the holding of cash decreased by the same amount. The original volatility from example 1 is then subtracted from the new volatility (shown in Cell I46) and the result scaled up to show the change in portfolio volatility from increasing the holding of asset 1 by 1%. The result, as expected, is the same as the marginal contribution of asset 1 in example 1 (circled in red).

HoadleyStyleAnalysisReturns a matrix containing a style analysis for a fund or portfolio using returns-based methodology originally developed by William

This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of 12 Returns.A commercial/corporate (for a business) or pro (private) license is required to process more than 12 returns or 1 year.

To process more than 12 returns or one yearenter corporate/commercial license key

ExampleInputs Hoadley Portfolio Style Analyzer

Period Fund Benchmarks Returns The Hoadley Portfolio Style Analyzer Ending Returns Growth Value Large Small application, which uses this function canJan-06 0.05581 0.10423 0.07087 0.07518 0.12244 be downloaded from the Hoadley Trading &Feb-06 0.05396 0.03207 0.04645 0.00757 -0.08027 Investment Tools web site.Mar-06 -0.05795 -0.03849 -0.10807 -0.01557 -0.18031Apr-06 -0.04524 -0.08447 -0.08930 -0.02077 -0.05772May-06 0.09448 0.03410 0.05983 0.03674 -0.04636Jun-06 -0.12566 -0.13344 -0.19462 -0.06142 -0.19575Jul-06 0.00121 -0.02596 -0.03758 -0.00908 -0.01673Aug-06 -0.10253 0.07445 -0.10503 -0.07246 -0.21350Sep-06 -0.13441 -0.12275 -0.02218 -0.07900 -0.21773Oct-06 0.05280 0.02292 0.07301 0.00488 0.09991Nov-06 -0.09476 -0.10915 -0.22638 -0.11002 -0.07543Dec-06 0.25214 0.22258 0.35378 0.08645 0.26053

Min_weights 0% 0% 0% 0%Max_weights 100% 100% 100% 100%

Observation_frequency 12

Results from HoadleyStyleAnalysis function Re-arranged results### ### ### ###### ### ### ### Style Analysis Growth### ### ### ### Style weights ###### ### ### ###### ### ### ### Returns and volatilities### ### ### ### Mean annualzied returns### ### ### ### Geometric (compounding) returns### ### ### ### Volatility (annualized St Dev)

Beta & R-SquaredPercent Active Risk: ###Percent Residual Risk: ###

Benchmark returns and volatilities GrowthMean annualzied returns ###Geometric (compounding) returns ###Volatility (annualized St Dev) ###

F Sharpe. This approach uses quadratic programming to determine the combination of indices, style benchmarks , or asset classes that best represents the exposure of a fund to these "benchmarks".

Index


Help


Returns a matrix containing a style analysis for a fund or portfolio using returns-based methodology originally developed by William

This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of 12 Returns.A commercial/corporate (for a business) or pro (private) license is required to process more than 12 returns or 1 year.

Hoadley Portfolio Style Analyzer

The Hoadley Portfolio Style Analyzer application, which uses this function canbe downloaded from the Hoadley Trading &Investment Tools web site.

Value Large Small### ### ###

Fund Style Selection### ### ###### ### ###### ### ###

Beta R-Squared### ###

Value Large Small### ### ###### ### ###### ### ###

F Sharpe. This approach uses quadratic programming to determine the combination of indices, style benchmarks , or asset classes

More Information

http://www.hoadley.net/options/develtoolsstyleanalyzer.htm

HoadleyDrawdownProduces an analysis of fund drawdownsThis function is only available in the full version of the add-in.

Example

Date Drawdown Summary1 01-Mar-01 0.0126 ### Rank - highest to lowest2 31-Mar-01 -0.0110 ### Measure 13 30-Apr-01 0.0422 ### Drawdown amount ###4 31-May-01 0.0302 ### Drawdown start period ###5 30-Jun-01 -0.0271 ### Drawdown end period ###6 31-Jul-01 0.0355 ### Recovery start period ###7 30-Aug-01 0.0235 ###8 30-Sep-01 -0.0323 ###9 30-Oct-01 -0.0023 ###

10 29-Nov-01 0.0617 ###11 30-Dec-01 0.0241 ###12 29-Jan-02 -0.0297 ###13 01-Mar-02 0.0162 ###14 31-Mar-02 0.0360 ###15 01-May-02 -0.0281 ###16 31-May-02 -0.0198 ###17 01-Jul-02 0.0337 ###18 31-Jul-02 -0.0540 ###19 30-Aug-02 -0.0270 ###20 30-Sep-02 0.0459 ###21 30-Oct-02 -0.0205 ###22 30-Nov-02 -0.0208 ###23 30-Dec-02 -0.0259 ###24 30-Jan-03 0.0155 ###25 01-Mar-03 -0.0360 ###26 31-Mar-03 -0.0169 ###27 01-May-03 -0.0154 ###28 31-May-03 0.0529 ###29 01-Jul-03 0.0302 ###30 31-Jul-03 0.0097 ### Hoadley Portfolio Style Analyzer31 31-Aug-03 0.0093 ###32 30-Sep-03 0.0504 ### The Hoadley Portfolio Style Analyzer 33 31-Oct-03 -0.0141 ### application, which uses this function can34 30-Nov-03 0.0248 ### be downloaded from the Hoadley Trading &35 30-Dec-03 -0.0916 ### Investment Tools web site.36 30-Jan-04 -0.0006 ###37 29-Feb-04 0.0457 ###38 31-Mar-04 0.0006 ###39 30-Apr-04 0.0056 ###40 31-May-04 0.0369 ###41 30-Jun-04 -0.0077 ###42 30-Jul-04 0.0509 ###43 30-Aug-04 0.0134 ###44 29-Sep-04 -0.0272 ###45 30-Oct-04 0.0321 ###46 29-Nov-04 -0.0246 ###47 30-Dec-04 0.0334 ###48 29-Jan-05 0.0192 ###

Index

Period No.

Log Returns

Under Water

More Information


01-M

ar-0

1

31-M

ay-0

1

30-A

ug-0

1

29-N

ov-0

1

28-F

eb-0

2

30-M

ay-0

2

29-A

ug-0

2

28-N

ov-0

2

27-F

eb-0

3

29-M

ay-0

3

28-A

ug-0

3

27-N

ov-0

3

26-F

eb-0

4

27-M

ay-0

4

26-A

ug-0

4

25-N

ov-0

4

24-F

eb-0

5

26-M

ay-0

5

25-A

ug-0

5

24-N

ov-0

5

23-F

eb-0

6

25-M

ay-0

6

24-A

ug-0

6

23-N

ov-0

6

22-F

eb-0

7

24-M

ay-0

7

23-A

ug-0

7

22-N

ov-0

7

21-F

eb-0

8

0%

200%

400%

600%

800%

1000%

1200%Drawdown Analysis - Time Under Water

Help

http://www.hoadley.net/options/develtoolsstyleanalyzer.htm


49 01-Mar-05 -0.0064 ###50 31-Mar-05 -0.0076 ###51 30-Apr-05 0.0029 ###52 31-May-05 0.0154 ###53 30-Jun-05 0.0454 ###54 31-Jul-05 0.0646 ###55 30-Aug-05 0.0361 ###56 30-Sep-05 -0.0491 ###57 30-Oct-05 0.0004 ###58 29-Nov-05 0.0325 ###59 30-Dec-05 0.0632 ###60 29-Jan-06 -0.0104 ###61 01-Mar-06 -0.0201 ###62 31-Mar-06 -0.0146 ###63 01-May-06 0.0182 ###64 31-May-06 0.0033 ###65 01-Jul-06 0.0045 ###66 31-Jul-06 0.0395 ###67 30-Aug-06 -0.0139 ###68 30-Sep-06 -0.0393 ###69 30-Oct-06 0.0349 ###70 30-Nov-06 0.0097 ###71 30-Dec-06 -0.0016 ###72 30-Jan-07 0.0454 ###73 01-Mar-07 0.0123 ###74 31-Mar-07 0.0273 ###75 01-May-07 -0.0094 ###76 31-May-07 0.0314 ###77 01-Jul-07 -0.0247 ###78 31-Jul-07 0.0063 ###79 31-Aug-07 0.0190 ###80 30-Sep-07 -0.0192 ###81 31-Oct-07 -0.0056 ###82 30-Nov-07 -0.0121 ###83 30-Dec-07 0.0328 ###84 30-Jan-08 0.0801 ###85 29-Feb-08 -0.0005 ###

Drawdown SummaryRank - highest to lowest

2 3### ###### ###### ###### ###

01-M

ar-0

1

31-M

ay-0

1

30-A

ug-0

1

29-N

ov-0

1

28-F

eb-0

2

30-M

ay-0

2

29-A

ug-0

2

28-N

ov-0

2

27-F

eb-0

3

29-M

ay-0

3

28-A

ug-0

3

27-N

ov-0

3

26-F

eb-0

4

27-M

ay-0

4

26-A

ug-0

4

25-N

ov-0

4

24-F

eb-0

5

26-M

ay-0

5

25-A

ug-0

5

24-N

ov-0

5

23-F

eb-0

6

25-M

ay-0

6

24-A

ug-0

6

23-N

ov-0

6

22-F

eb-0

7

24-M

ay-0

7

23-A

ug-0

7

22-N

ov-0

7

21-F

eb-0

8

0%

200%

400%

600%

800%

1000%

1200%Drawdown Analysis - Time Under Water

HoadleyPerformanceLPMReturns a number of performance measures based on Lower Partial MomentsThis function is only available in the full version of the add-in.

InputsPerformance_measureReturns (using monthly returns on Drawdown sheet)MAR (minimum acceptable return) 0.05%

Optional argumentAre_log_returns 1

PerformanceResults - example 1: All measures Measure ValueOmega O #MACRO?Downside deviation D #MACRO?Sortino ratio S #MACRO?Kappa 3 K #MACRO?Upside potential ratio U #MACRO?

Results - example 2: Omega by MAR MAR Omega0.00% #MACRO?0.25% #MACRO?0.50% #MACRO?0.75% #MACRO?1.00% #MACRO?1.25% #MACRO?1.50% #MACRO?1.75% #MACRO?2.00% #MACRO?

The Hoadley Style Analyzer includes all LPM performance measures for the fundand benchmarks/indices.

Index

Example (using returns on Drawdown sheet)


0.00% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00%0.00

2.00

4.00

6.00

8.00

10.00

12.00Omega

MAR (Minimum Acceptable Return)

Help


HoadleyPCAUndertakes a principal component analysis of a portfolio of assets using price histories as input.This function is only available in the full version of the add-in.

ExampleInputs: GeneralCalc_method 1Normalization 1

Optional argumentsEWMA_decay_factor 1Return_covar 0Flip_vector_sign column number; 0 = none) 0

Results: PCAPC1 PC2 PC3 PC4

Eigenvectors ANZ ### ### ### ###(Factor loadings) NAB ### ### ### ###

CBA ### ### ### ###WOW ### ### ### ###

Eigenvalues (PC variances) ### ### ### ###Explanatory power: Individual PC ### ### ### ###

Cumulative ### ### ### ###Principal component (factor scores ) standard deviations ### ### ### ###Asset Standard deviations ### ### ### ###

Mean returns ### ### ### ###ANZ NAB CBA WOW

Anualized asset volatility ### ### ### ###Anualized asset returns for period ### ### ### ###Sum of squares of factor loadings: #NUM! #NUM! #NUM! #NUM!

Results: Covariance matrixANZ NAB CBA WOW

ANZ ### ### ### ###NAB ### ### ### ###CBA ### ### ### ###

WOW ### ### ### ###

Inputs: Historic closing pricesDate ANZ NAB CBA WOW24-Jul-06 25.34 34.60 44.21 18.8725-Jul-06 25.61 35.27 44.62 19.2826-Jul-06 25.29 35.00 44.25 19.0027-Jul-06 25.48 35.75 45.10 19.0028-Jul-06 25.10 35.67 44.65 18.8531-Jul-06 25.25 35.90 44.80 19.041-Aug-06 25.55 35.90 45.05 19.002-Aug-06 25.55 35.66 45.13 18.853-Aug-06 25.74 36.05 45.90 19.104-Aug-06 25.65 35.80 45.86 19.027-Aug-06 25.69 35.93 46.15 19.05

IndexHelp

8-Aug-06 26.15 36.43 46.80 19.309-Aug-06 26.12 36.10 46.30 19.1010-Aug-06 26.40 36.38 45.79 18.9811-Aug-06 26.38 36.20 45.75 18.9214-Aug-06 26.55 36.52 44.57 19.3615-Aug-06 26.65 36.30 44.55 19.3216-Aug-06 26.89 36.60 44.93 19.4217-Aug-06 27.15 36.79 45.38 19.6518-Aug-06 27.04 36.53 45.35 19.6621-Aug-06 26.97 36.70 45.47 19.9322-Aug-06 26.81 36.40 45.44 19.9023-Aug-06 26.64 36.36 45.60 20.4424-Aug-06 26.20 35.62 44.51 20.0925-Aug-06 26.45 35.85 44.70 20.3028-Aug-06 26.45 35.65 44.65 20.4729-Aug-06 26.85 36.01 45.16 20.8030-Aug-06 26.95 36.12 45.41 20.7131-Aug-06 27.25 36.32 45.72 20.701-Sep-06 27.09 35.93 45.74 20.664-Sep-06 27.22 36.21 46.12 20.305-Sep-06 27.36 36.50 46.10 20.606-Sep-06 27.09 36.20 45.81 20.387-Sep-06 27.23 36.20 45.99 20.508-Sep-06 27.40 36.26 46.09 20.8011-Sep-06 27.20 35.97 45.47 20.5012-Sep-06 27.24 36.20 45.95 20.5913-Sep-06 27.22 36.40 46.10 20.3314-Sep-06 27.34 36.68 46.37 20.5815-Sep-06 27.15 36.35 46.11 20.4218-Sep-06 27.30 36.94 46.65 20.5019-Sep-06 27.00 36.91 46.40 20.4720-Sep-06 26.60 36.64 45.56 20.2121-Sep-06 26.29 36.23 45.00 20.1822-Sep-06 26.00 36.00 44.75 19.8925-Sep-06 26.10 36.16 44.72 19.7426-Sep-06 26.07 36.05 44.70 19.8227-Sep-06 26.76 36.35 45.15 20.2028-Sep-06 26.80 36.34 45.13 20.1829-Sep-06 26.86 36.70 45.75 20.262-Oct-06 26.95 36.80 45.90 20.373-Oct-06 27.13 36.95 46.11 20.584-Oct-06 27.03 37.09 45.95 20.635-Oct-06 27.55 37.69 46.80 20.906-Oct-06 27.42 37.55 46.70 20.989-Oct-06 27.34 37.25 46.45 20.5810-Oct-06 27.34 37.25 46.45 20.5811-Oct-06 27.78 37.70 47.13 20.6012-Oct-06 27.81 37.62 46.96 20.7113-Oct-06 27.81 37.95 46.90 20.7516-Oct-06 27.80 37.85 47.00 20.8417-Oct-06 27.64 37.48 46.33 20.6818-Oct-06 27.98 37.60 46.40 20.6819-Oct-06 28.10 37.42 45.99 20.5720-Oct-06 28.23 37.60 46.45 20.72

23-Oct-06 28.21 37.66 47.09 20.5524-Oct-06 28.15 37.95 47.18 20.4025-Oct-06 28.42 38.06 47.32 20.5526-Oct-06 28.75 38.48 48.07 20.61

012

10

###

######

HoadleyPCAFromCovarUndertakes a principal component analysis of a portfolio of assets using theircovariance matrix of returns.This function is only available in the full version of the add-in.

ExampleInputsThe covariance matrix produced on the PCA sample sheet is used as inputto this example. For normalization types 0 and 1, the results will equal the PCA on thePCA samples sheet.

Results: PCAPC1 PC2 PC3 PC4

Eigenvectors ANZ ### ### ### ###(factor loadings) NAB ### ### ### ###

CBA ### ### ### ###WOW ### ### ### ###

Eigenvalues ### ### ### ###

Index


Help


HoadleyPCAToCovarRecreates the original covariance matrix from the principal component analysis using the specified number of components.This function is only available in the full version of the add-in.

ExampleInputsNormalization (only 0 or 2 can be used to restore original covariance matrix)

PC1Principal component analysis Eigenvectors ANZ #MACRO?

NAB #MACRO?CBA #MACRO?

WOW #MACRO?Eigenvalues #MACRO?

Num_components (number of components to use in recreating original covariance matrix - 4 restores exactly)

Results

ANZRecreated covariance matrix using 3 component(s) ANZ #MACRO?


WOW #MACRO?

ANZCovariance matrix produced from original data ANZ #MACRO?


WOW #MACRO?

ANZSquared differences between original and recreated matrix ANZ #MACRO?

NABCBA

WOW

Average squared difference #MACRO?Average difference (the smaller the better the fit) #MACRO?

Index


HelpHelp


02

123

4

Recreates the original covariance matrix from the principal component analysis using the specified number of components.

2

PC2 PC3 PC4#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

Num_components (number of components to use in recreating original covariance matrix - 4 restores exactly) 3

NAB CBA WOW#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

NAB CBA WOW#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

NAB CBA WOW#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

#MACRO? #MACRO?#MACRO?

HoadleyPCAFactorScoresCalculates the value of each principal component -- ie the factor scores.This function is only available in the full version of the add-in.

Example

1. Factor loadings (eigenvectors) from PCA 6. Factor scores for entire periodPC1 PC2 PC3 PC4

ANZ ### ### ### ### Using functionNAB ### ### ### ### Without using functionCBA ### ### ### ### Using average

WOW ### ### ### ###### ### ### ###### ### ### ### 7. Standard deviation of factor scores### ### ### ###

Factor score SDs ### ### ### ### Factor score SDs

5. Factor loadings recovered by linear regression 8. Correlation matrix of factor scores (all correlations = 0)PC1 PC2 PC3 PC4

ANZ ### ### ### ###NAB ### ### ### ###CBA ### ### ### ###

WOW ### ### ### ###

Date Historical prices 2. Daily returnsANZ NAB CBA WOW ANZ NAB CBA

24-Jul-06 25.34 34.60 44.21 18.8725-Jul-06 25.61 35.27 44.62 19.28 0.0106 0.0192 0.009226-Jul-06 25.29 35.00 44.25 19.00 -0.0126 -0.0077 -0.008327-Jul-06 25.48 35.75 45.10 19.00 0.0075 0.0212 0.019028-Jul-06 25.10 35.67 44.65 18.85 -0.0150 -0.0022 -0.010031-Jul-06 25.25 35.90 44.80 19.04 0.0060 0.0064 0.00341-Aug-06 25.55 35.90 45.05 19.00 0.0118 0.0000 0.00562-Aug-06 25.55 35.66 45.13 18.85 0.0000 -0.0067 0.00183-Aug-06 25.74 36.05 45.90 19.10 0.0074 0.0109 0.01694-Aug-06 25.65 35.80 45.86 19.02 -0.0035 -0.0070 -0.00097-Aug-06 25.69 35.93 46.15 19.05 0.0016 0.0036 0.00638-Aug-06 26.15 36.43 46.80 19.30 0.0177 0.0138 0.01409-Aug-06 26.12 36.10 46.30 19.10 -0.0011 -0.0091 -0.010710-Aug-06 26.40 36.38 45.79 18.98 0.0107 0.0077 -0.011111-Aug-06 26.38 36.20 45.75 18.92 -0.0008 -0.0050 -0.0009

Index

This example does the following:1. Undertakes a principal component analysis using the closing prices below.2. Calculates the daily returns.3. Uses the HoadleyPCAFactorScores function to calculate the factor scores for each day using the PCA and daily returns.4. Demonstrates that the returns for each day can be recreated as the linear sum of the factors using the factor scores and the factor loadings.5. Demonstrates that the factor loadings (eigenvectors) can be re-created by linear regression using the factor scores and the returns for each asset.6. Calculates the factor scores covering the entire period and demonstrates that this is equivalent to the average of the daily factor scores. It also demonstrates that the principal components are uncorrelated by calculating the factor scores without using the HoadleyPCAFactorScores function. This would only be possible if the PCs were uncorrelated. See help file for additional details.7. Demonstrates that the standard deviation of the factor scores calculated using STDEV equals the standard deviation of the factor scrores from the HoadleyPCA function.8. Demonstrates directly that the factor scores for principal components are uncorrelated.

Help

14-Aug-06 26.55 36.52 44.57 19.36 0.0064 0.0088 -0.026115-Aug-06 26.65 36.30 44.55 19.32 0.0038 -0.0060 -0.000416-Aug-06 26.89 36.60 44.93 19.42 0.0090 0.0082 0.008517-Aug-06 27.15 36.79 45.38 19.65 0.0096 0.0052 0.010018-Aug-06 27.04 36.53 45.35 19.66 -0.0041 -0.0071 -0.000721-Aug-06 26.97 36.70 45.47 19.93 -0.0026 0.0046 0.002622-Aug-06 26.81 36.40 45.44 19.90 -0.0060 -0.0082 -0.0007

Average returns: 0.0027 0.0024 0.0013



6. Factor scores for entire periodPC1 PC2 PC3 PC4

Using function ### ### ### ###Without using function ### ### ### ###Using average ### ### ### ###

7. Standard deviation of factor scoresPC1 PC2 PC3 PC4

Factor score SDs ### ### ### ###

8. Correlation matrix of factor scores (all correlations = 0)PC1 PC2 PC3 PC4

PC1 1 ### ### ###PC2 1 ### ###PC3 1 ###PC4 1

3. Principal component factor scores 4. Recreated daily returnsWOW PC1 PC2 PC3 PC4 ANZ NAB CBA WOW

0.0215 ### ### ### ### ### ### ### ###-0.0146 ### ### ### ### ### ### ### ###0.0000 ### ### ### ### ### ### ### ###

-0.0079 ### ### ### ### ### ### ### ###0.0100 ### ### ### ### ### ### ### ###

-0.0021 ### ### ### ### ### ### ### ###-0.0079 ### ### ### ### ### ### ### ###0.0132 ### ### ### ### ### ### ### ###

-0.0042 ### ### ### ### ### ### ### ###0.0016 ### ### ### ### ### ### ### ###0.0130 ### ### ### ### ### ### ### ###

-0.0104 ### ### ### ### ### ### ### ###-0.0063 ### ### ### ### ### ### ### ###-0.0032 ### ### ### ### ### ### ### ###


0.0230 ### ### ### ### ### ### ### ###-0.0021 ### ### ### ### ### ### ### ###0.0052 ### ### ### ### ### ### ### ###0.0118 ### ### ### ### ### ### ### ###0.0005 ### ### ### ### ### ### ### ###0.0136 ### ### ### ### ### ### ### ###

-0.0015 ### ### ### ### ### ### ### ###0.0025


HoadleyPCAPortVolsDecompose portfolio volatility into market risk and specific riskThis function is only available in the full version of the add-in.

ExampleInputsNormalization (only 0 or 2 can be usedEWMA decay factor (1=equally weighted)

PC1 PC2Principal component analysis Eigenvectors ANZ #MACRO? #MACRO?

NAB #MACRO? #MACRO?CBA #MACRO? #MACRO?

WOW #MACRO? #MACRO?Eigenvalues #MACRO? #MACRO?

ANZ NABPositions (position values) 5,520 8,220

Num_components (number of components to use)Num_trading_days_pa

Results: HoadleyPortVols Total. Vol with TotalPort Vol functn Volatility

Portfolio volatility #MACRO? #MACRO?

Results: HoadleyAssetVols Total Vol with TotalHist Vol function Volatility

Individual asset volatilities ANZ #MACRO? #MACRO?NAB #MACRO? #MACRO?CBA #MACRO? #MACRO?

WOW #MACRO? #MACRO?

Index


Help


02

1234

20.94

PC3 PC4#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?

CBA WOW7,225 4,896

2252

Volatility due Specificto Market Volatility

#MACRO? #MACRO?

Volatility due to SpecificMarket Factors Volatility

#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?

HoadleyPCAAssetVolsDecomposes individual asset volatilities into market risk and specific riskThis function is only available in the full version of the add-in.

ExampleSee the examples on the PCAPortVols sheet

Index


Help


HoadleyPortAggregateReturns a single price series (a synthetic security) representing the weighted aggegated price historiesof individual assets in a portfolio. The price series of the synthetic security starts at the arbitrary value of 100.This function is only available in the full version of the add-in.

The VaR additional samples spreadsheet includes an examplePortAggregate to calculate VaR.

Examples1. Portfolio volatilityThis example shows that the volatility of the portfolio measured using the HoadleyPortfolioVol functionusing all prices, is exactly the same as the volatility on the aggregated price history using theHoadley Historic Volatility function. Volatilities are calculated using EWMA.

Volatility of weighted price history using HoadleyPortAggregateVolatility using individual asset prices using HoadleyPortfolioVolatility

2. Value at risk (VaR) aggregationThis example shows that calculating VaR using six individual assets is exactly the same as calculating VaRusing the weighted price history plus the other two assets. (VaR is 5 days at 1% conf. level).

VaR calculated using six assets:VaR calculated using three "assets": two "other" assets plus the aggregated asset

Inputs: Equities historic closing prices Other assetsANZ NAB CBA WOW S&P 500

Position values: 52,500 75,020 63,255 45,620 80,256

Price histories:24-Jul-06 25.34 34.60 44.21 18.87 1494.5025-Jul-06 25.61 35.27 44.62 19.28 1489.2626-Jul-06 25.29 35.00 44.25 19.00 1481.9927-Jul-06 25.48 35.75 45.10 19.00 1484.9128-Jul-06 25.10 35.67 44.65 18.85 1480.8731-Jul-06 25.25 35.90 44.80 19.04 1465.811-Aug-06 25.55 35.90 45.05 19.00 1444.512-Aug-06 25.55 35.66 45.13 18.85 1459.903-Aug-06 25.74 36.05 45.90 19.10 1451.344-Aug-06 25.65 35.80 45.86 19.02 1449.057-Aug-06 25.69 35.93 46.15 19.05 1448.728-Aug-06 26.15 36.43 46.80 19.30 1439.039-Aug-06 26.12 36.10 46.30 19.10 1427.2110-Aug-06 26.40 36.38 45.79 18.98 1426.5711-Aug-06 26.38 36.20 45.75 18.92 1458.2914-Aug-06 26.55 36.52 44.57 19.36 1436.5115-Aug-06 26.65 36.30 44.55 19.32 1436.2316-Aug-06 26.89 36.60 44.93 19.42 1426.4617-Aug-06 27.15 36.79 45.38 19.65 1434.3218-Aug-06 27.04 36.53 45.35 19.66 1436.2821-Aug-06 26.97 36.70 45.47 19.93 1408.9922-Aug-06 26.81 36.40 45.44 19.90 1402.0323-Aug-06 26.64 36.36 45.60 20.44 1387.0224-Aug-06 26.20 35.62 44.51 20.09 1364.59

IndexHelp

Volatilities: ### ### ### ### ###

of individual assets in a portfolio. The price series of the synthetic security starts at the arbitrary value of 100.

The VaR additional samples spreadsheet includes an example

######

This example shows that calculating VaR using six individual assets is exactly the same as calculating VaR

######

Other assets Results Correlation matrices$US/Euro Equities

1. All Assets27,580 236,395 ANZ NAB CBA WOW S&P 500 $US/Euro

Weighted price ANZ ### ### ### ### ### ###history NAB ### ### ### ### ### ###

0.8664 #MACRO? CBA ### ### ### ### ### ###0.8618 #MACRO? WOW ### ### ### ### ### ###0.8607 #MACRO? S&P 500 ### ### ### ### ### ###0.8646 #MACRO? $US/Euro ### ### ### ### ### ###0.8614 #MACRO?0.8631 #MACRO? 2. Equities0.8544 #MACRO? ANZ NAB CBA WOW0.8536 #MACRO? ANZ ### ### ### ###0.8475 #MACRO? NAB ### ### ### ###0.8529 #MACRO? CBA ### ### ### ###0.8817 #MACRO? WOW ### ### ### ###0.8733 #MACRO?0.8801 #MACRO? 3. Aggregated equities with other two assets:0.8813 #MACRO? S&P 500 $US/Euro Equities0.8829 #MACRO? S&P 500 ### ### ###0.8825 #MACRO? $US/Euro ### ### ###0.8817 #MACRO? Equities ### ### ###0.8764 #MACRO?0.8728 #MACRO?0.8695 #MACRO?0.8697 #MACRO?0.8690 #MACRO?0.8682 #MACRO?0.8739 #MACRO?

### #MACRO?

HoadleyPCAPortAggregateReturns a single price series representing the weighted aggegated price historiesof individual assets in a portfolio. The number of principal components to be used to representthe portfolio can be specificed. The price series starts at the arbitrary value of 100.This function is only available in the full version of the add-in.

The VaR additional samples spreadsheet includes an exampleof using HoadleyPCAPortAggregate to calculate VaR.

ExampleInputsPrices (This examples uses price data on the PortAggregate sample sheet)

Positions ANZ NAB CBA52,500 75,020 63,255

PCA:Normalization (only 0 or 2 can be used

PC1 PC2 PC3Eigenvectors ANZ ### #MACRO? #MACRO?

NAB ### #MACRO? #MACRO?CBA ### #MACRO? #MACRO?

WOW ### #MACRO? #MACRO?Eigenvalues ### #MACRO? #MACRO?

num_components

ResultsThe results below show the price series for both the specificed number of components ("Market factors") and the remainderof the factors ("specific factors" or "residuals"). The volatility is calculated on both price series using the HoadleyHistoricVolatility function and the results compared to the output from the HoadleyPCAPortVols function. As expctedthe results are the same.

Market factorsVolatility calculated on prices using HoadleyHistoricVolaitlity: #MACRO?Volatility calculated using HoadleyPCAPortVols: #MACRO? #MACRO?

calc_type 1#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

IndexHelp

#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

0201234

The VaR additional samples spreadsheet includes an exampleof using HoadleyPCAPortAggregate to calculate VaR.

WOW45,620

2PC4

#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

2

The results below show the price series for both the specificed number of components ("Market factors") and the remainder

HoadleyHistoricVolatility function and the results compared to the output from the HoadleyPCAPortVols function. As expcted

Specific factors#MACRO?#MACRO?

2#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

HoadleyImpliedReturnsUses reverse optimization to produce the equilibreum returns for assets or markets based on their market capitalizations.The outputs from this function would normally be used by Black-Litterman model.This function is only available in the full version of the add-in.

ExampleInputsActionRisk_free_rate 4.50%Market_return 8.50%

Market/asset details: US bonds Int'l bonds US large equ'tyCapitalizations 10.50% 5.20% 29.50%Volatilities 6.20% 5.50% 18.00%

Corr_matrix S bonds 1 0.3 0.2Int'l bonds 1 0.4

US large equ'ty 1US Small equ'tyInt'l. dev equ'ty

Int'l emergingOptional arugumentsRisk Aversion

Results ActionUS bonds Int'l bonds US large equ'ty

Implied returns R #MACRO? #MACRO? #MACRO?Implied market return #MACRO?

Implied betas (HoadleyImplied Betas) #MACRO? #MACRO? #MACRO?Returns implied by the CAPM #MACRO? #MACRO? #MACRO?

Risk aversion parameter RAP #MACRO?

Optimal portfolio (as a check) #MACRO? #MACRO? #MACRO?

Additional samples spreadsheet contains examples whichreproduce results from two key papers on Black-Litterman.

Index


Login in to hoadley.net to download

Help


http://www.hoadley.net/options/addinregisterexisting.asp?src=BlackLitterman

Uses reverse optimization to produce the equilibreum returns for assets or markets based on their market capitalizations.

US Small equ'ty Int'l. dev equ'ty Int'l emerging4.00% 38.00% 12.80%

25.00% 17.00% 32.00%

0.3 0.2 0.20.3 0.2 0.20.7 0.5 0.4

1 0.6 0.71 0.5

1

US Small equ'ty Int'l. dev equ'ty Int'l emerging#MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO?

Additional samples spreadsheet contains examples whichreproduce results from two key papers on Black-Litterman.Login in to hoadley.net to download


HoadleyImpliedReturnsFXUses reverse optimization to produce the equilibrium returns for portfolios or markets based on their market capitalizations.The function takes into account currency exposure/currency hedging on international assets.This function is only available in the full version of the add-in.

ExampleInputsActionRisk_free_rate 4.00%Market_return 10.00%Excess return 6.00%

US UK JapanS&P 500 FTSE 100 NIKKEI 225

Asset_positions 100.00 200.00 300.00Pre-hedging currency exposuresCurrency hedgingNet currency exposures

Volatilities 12.7% 10.0% 28.6%

Corr_matrix S&P 500 1.00 0.11 -0.09FTSE 100 0.11 1.00 0.37

NIKKEI 225 -0.09 0.37 1.00CAC 40 0.18 0.78 0.22DAX100 0.08 0.26 0.02

US$/UK £ -0.20 -0.09 -0.15US$/Yen -0.11 -0.13 -0.17

US$/EURO -0.07 -0.05 0.00

Optional arugumentsRisk_aversion

Results ActionS&P 500 FTSE 100 NIKKEI 225

Implied total returns R #MACRO? #MACRO? #MACRO?Implied excess returns ER #MACRO? #MACRO? #MACRO?Total returns less excess returns #MACRO? #MACRO? #MACRO?Risk aversion parameter RAP #MACRO?

Optimal unconstrained portfolio Percent #MACRO? #MACRO? #MACRO?Optimal unconstrained portfolio $Value #MACRO? #MACRO? #MACRO?

Asset total returns including currency impact #MACRO? #MACRO? #MACRO?Asset excess returns including currency impact #MACRO? #MACRO? #MACRO?

Portfolio return #MACRO?Portfolio excess return #MACRO?Portfolio volatility #MACRO?

Index

This example is from the perspective of a US investor who holds foreign currency assets. All positions and exposures are expressed in US dollars. The example illustrates how the returns from a global market/portfolio that may include currency hedging, can be backed out from equilibrium portfolio weights. This can aid in the assessment of the impact of various levels of currency hedging on portfolio returns and portfolio volatility.

In this example, UK investments are 50% hedged (the UK pound currency position is half the value of the asset position). Other assets are unhedged. In addition to the currency exposure of non-US assets, the portfolio (in this simplified example) includes a holding of Japanese Yen.

To verify the results, an optimal unconstrained portfolio is calculated using the HoadleyOptimalPortfolio function. Note that excess returns (not total returns) must be used, the risk free rate must be set to zero and the portfolio must not be scaled to 100%. There are solid theoretical, but complex, reasons for this! It can be seen, as expected, that the dollar value of the optimal portfolio equals the total of the asset and currency positions used as input to the HoadleyImpliedReturnsFX function.

Asset total and excess returns which include currency returns are simply calculated by adding the relevant currency returns to each asset return. The total "portfolio returns" equal the market return from which they were derived.

Finally the portfolio returns (total and excess) are calculated using the HoadleyPortfolioReturnFX function. Again, as expected, the returns equal the "market return" and the excess return used as input to the HoadleyImpliedReturnsFX function.

Help








Uses reverse optimization to produce the equilibrium returns for portfolios or markets based on their market capitalizations.

France Germany UK Japan EuroCAC 40 DAX100 US$/UK £ US$/Yen US$/EURO 400.00 500.00 150.00

200.00 300.00 900.00-100

100.00 300.00 900.00

15.4% 12.8% 8.7% 9.5% 8.6%

0.18 0.08 -0.20 -0.11 -0.070.78 0.26 -0.09 -0.13 -0.050.22 0.02 -0.15 -0.17 0.001.00 0.35 -0.06 -0.17 -0.100.35 1.00 0.00 0.00 0.05

-0.06 0.00 1.00 0.14 0.34-0.17 0.00 0.14 1.00 0.55-0.10 0.05 0.34 0.55 1.00

CAC 40 DAX100 US$/UK £ US$/Yen US$/EURO Port. Totals#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO?











### HoadleyImpliedBetasUses reverse optimization to produce the equilibreum implied betas for assets or markets based on their market capitalizations.This function is only available in the full version of the add-in.

ExampleSee the example on the HoadleyImpliedReturns sheet (under results)

Index


Help


Uses reverse optimization to produce the equilibreum implied betas for assets or markets based on their market capitalizations.

HoadleyImpliedViewsBacks out the expected returns for a portfolio based on the estimated expectedreturn for a single asset.This function is only available in the full version of the add-in.

ExampleInputsRisk_free_rate 4.50%

Returns from ImpliedReturns sheet 5.04% 5.07% 8.62%(These are NOT an input to this function)

US bonds Int'l bonds US large equ'tyAsset_return 8.62%

Positions 10.50% 5.20% 29.50%Volatilities 6.20% 5.50% 18.00%

Corr_matrix S bonds 1 0.3 0.2Int'l bonds 1 0.4

US large equ'ty 1US Small equ'tyInt'l. dev equ'ty

Int'l emerging

ResultsUS bonds Int'l bonds US large equ'ty

Implied returns #MACRO? #MACRO? #MACRO?

Portfolio weights calculated from #MACRO? #MACRO? #MACRO?implied returns using HoadleyOptimalPortfolio

Portfolio return #MACRO?Portfolio volatility #MACRO?

Index


This example uses data from the ImpliedReturns sample sheet. Because the implied returns on that sheet are produced by the HoadleyImpliedReturns function, the volatilities, returns, correlation matrix and position weights represent an optimal portfolio.

Using the same volatilities, position weights and correlations as inputs to the HoadleyImpliedView function, together with one of the returns, should therefore produce returns which exactly equal the returns produced by the HoadleyImpliedReturns function on the ImpliedReturns sample sheet. ie the Implied returns under "Results" above should equal the returns from the ImpliedReturns sheet (also duplicated on line 13 above).

Also, irrespective of the returns used, the HoadleyOptimalPortfolio function can be used to recover the position weights used as input to the HoadleyImpliedViews function. This is shown above (line 32).

Help


10.54% 8.68% 11.30%

US Small equ'ty Int'l. dev equ'ty Int'l emerging

4.00% 38.00% 12.80%25.00% 17.00% 32.00%

0.3 0.2 0.20.3 0.2 0.20.7 0.5 0.4

1 0.6 0.71 0.5

1

US Small equ'ty Int'l. dev equ'ty Int'l emerging#MACRO? #MACRO? #MACRO?


This example uses data from the ImpliedReturns sample sheet. Because the implied returns on that sheet are produced by the HoadleyImpliedReturns function, the volatilities, returns, correlation matrix and position weights represent an optimal portfolio.

Using the same volatilities, position weights and correlations as inputs to the HoadleyImpliedView function, together with one of the returns, should therefore produce returns which exactly equal the returns produced by the HoadleyImpliedReturns function on the ImpliedReturns sample sheet. ie the Implied returns under "Results" above should equal the returns from the ImpliedReturns sheet (also duplicated on line 13 above).

Also, irrespective of the returns used, the HoadleyOptimalPortfolio function can be used to recover the position weights used as input to the HoadleyImpliedViews function. This is shown above (line 32).

HoadleyBlackLittermanAplies user-defined views to the equilibreum market returns to produce a set of modified returns reflecting these views. Will also produce the posterior volatilities and correlation matrix for the assets or markets.This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of 10 assets. A commercial/corporate (for a business) or pro (private) license is required to process more than 10 assets.

To process more than 10 assets enter corporate/commercial license key

ExampleInputsActionRisk_free_rate 4.50%Market_return 8.50%

Market/asset details: US bonds Int'l bonds US large equ'tyCapitalizations (portfolio weights) 10.50% 5.20% 29.50%Volatilities 6.20% 5.50% 18.00%

Corr_matrix 1.000 0.300 0.2001.000 0.400

1.000

Implied market equilibrium returns #MACRO? #MACRO? #MACRO?Risk aversion parameters (RAP) #MACRO?

View Matrix, view values View matrixView 1 1 0 0View 2 0 0 -1View 3 0 0 1

Optional argumentsRisk_aversionDo_calculationTau

Results ActionUS bonds Int'l bonds US large equ'ty

Portfolio returns R #MACRO? #MACRO? #MACRO?

Portfolio volatilities & correlations C #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

Norm.Unconstrained optimal portfolio 1 #MACRO? #MACRO? #MACRO?

Index


Help


RRACCA

10

Aplies user-defined views to the equilibreum market returns to produce a set of modified returns reflecting these views.

This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of 10 assets. A commercial/corporate (for a business) or pro (private) license is required to process more than 10 assets.

Additional samples spreadsheet contains examples which reproducethe results from two key papers on the Black-Litterman model.

US small equ'ty Int'l. dev equ'ty Int'l emerging4.00% 38.00% 12.80%

25.00% 17.00% 32.00%

0.300 0.200 0.2000.300 0.200 0.2000.700 0.500 0.4001.000 0.600 0.700

1.000 0.5001.000


View matrix View values view confidence0 0 0 5.25% 30.0%1 0 0 4.00% 80.0%1 -1 -1 1.00% 50.0%

US small equ'ty Int'l. dev equ'ty Int'l emerging Portfolio return#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? Volatilities#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? Correlation#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO?

Login in to hoadley.net to download

View Descriptions

View 1: The return on US bonds will be 5.25%. pa (Confidence 30%)

View 2: US Small equities will outperform US large equities by 4.00% pa. (confidence 80%)

View 3: US equities as a group will outperform international equities as a group by 1.00% (confidence 50%)


HoadleyOptimalPortfolioReturns the unconstrained optimal portfolio for a given set of returns, correlations and volatilities.This function is only available in the full version of the add-in.

ExampleSee the example on the HoadleyBlackLitterman sheet (under results)

Index


Help


HoadleyEfficientFrontierUndertakes a mean-variance optimization on a potfolio and returns the efficient frontier. The optimal (tangency) portfolio is alsoreturned. If linear constraints were sepcified the weights allocated to each constraint are returned.This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of ten assets.A commercial/corporate (for a business) or pro (private) license is required to optimize more than ten assets.

To optimize more than 10 assetsenter corporate/commercial license key

ExampleInputs

Risk free rate:Asset IDs TWX XOM CSCO GEReturns 10.6% 11.8% 11.2% 8.1%Volatilities 17.0% 21.0% 18.7% 17.4%Minimum weights 0% 0% 5% 0%Maximum weights 100% 80% 30% 50%

Correlation matrix TWX 1.00 0.22 0.46 0.22XOM 0.22 1.00 0.14 0.23

CSCO 0.46 0.14 1.00 0.40GE 0.22 0.23 0.40 1.00KO 0.19 0.04 0.46 0.19DIS 0.45 -0.16 0.32 0.18

MER 0.33 0.34 0.26 0.31

Linear constraints Min/Max Value TWX XOM CSCO GETech: Min 2 10% 1 0 1 0

Max 1 100% 1 0 1 0Energy: Min 2 0% 0 1 0 0

Max 1 30% 0 1 0 0Finance: Min 2 0% 0 0 0 0

Max 1 100% 0 0 0 0Other: Min 2 0% 0 0 0 1

Max 1 100% 0 0 0 1

Results Portfolio Portfolio Individual asset weightsReturns Volatilities TWX XOM CSCO GE

Minimum variance portfolio ### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###

Efficient portfolios ### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###### ### ### ### ### ###

IndexHelp

Maximum return portfolio ### ### ### ### ### ###Optimal (tangency) portfolio ### ### ### ### ### ###Sharpe ratio: ###

Capital market line

0 4.00%#MACRO? #MACRO?

100% #MACRO?



Undertakes a mean-variance optimization on a potfolio and returns the efficient frontier. The optimal (tangency) portfolio is also

This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of ten assets.A commercial/corporate (for a business) or pro (private) license is required to optimize more than ten assets.

this function can be used in a VBA module to build a portfolio 4.00% optimizer application.

KO DIS MER7.8% 8.8% 9.4%

11.9% 18.3% 15.2%0% 5% 5%

50% 100% 20%

0.19 0.45 0.330.04 -0.16 0.340.46 0.32 0.260.19 0.18 0.311.00 0.36 0.390.36 1.00 0.180.39 0.18 1.00

KO DIS MER0 0 00 0 00 0 00 0 00 0 10 0 11 1 01 1 0

Individual asset weights Industry sector groupings (linear constraints)KO DIS MER Tech Energy Finance### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###

The Hoadley Portfolio Optimizer Pro provides an example of how

More Information

0.0924 0.0974 0.1024 0.1074 0.1124 0.1174 0.1224 0.1274

8.80%

9.30%

9.80%

10.30%

10.80%

Efficient Frontier

Volatility

Ret

urn

s

http://www.hoadley.net/options/develtoolsoptimize.htm

### ### ### ### ### ### ### ### ###### ### ### ### ### ### ### ### ###

this function can be used in a VBA module to build a portfolio

Industry sector groupings (linear constraints)Other

### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###### ###

provides an example of how

0.0924 0.0974 0.1024 0.1074 0.1124 0.1174 0.1224 0.1274

8.80%

9.30%

9.80%

10.30%

10.80%

Efficient Frontier

Volatility

Ret

urn

s

### ###### ###

HoadleyRiskParityReturns the Risk Parity Portfolio -- the portfolio with the contribution of each component to overall portfolio volatility equally weighted.This function is only available in the full version of the add-in.

ExampleInputs

US bonds Int'l bonds US large equ'ty US small equ'tyVolatilities 6.20% 5.50% 18.00% 25.00%

Corr_matrix 1.000 0.300 0.200 0.3001.000 0.400 0.300

1.000 0.7001.000

Do_Calc (Set Do_Calc to TRUE to run the function)

Results (live, using function with Do_Calc = TRUE)US bonds Int'l bonds US large equ'ty US small equ'ty

Asset weights #MACRO? #MACRO? #MACRO? #MACRO?

Risk contributions 0.000% 0.000% 0.000% 0.000%Portfolio volatilityContribution percentages 0.000% 0.000% 0.000% 0.000%

Results (values only)US bonds Int'l bonds US large equ'ty US small equ'ty

Asset weights 33.82% 36.02% 8.95% 5.76%

Risk contributions 1.202% 1.202% 1.202% 1.202%Portfolio volatilityContribution percentages 16.667% 16.667% 16.667% 16.667%

Index


Help


10

Int'l. dev equ'ty Int'l emerging17.00% 32.00%

0.200 0.2000.200 0.2000.500 0.4000.600 0.7001.000 0.500

1.000

0

Int'l. dev equ'ty Int'l emerging Totals#MACRO? #MACRO? ###

0.000% 0.000% 0.00%0.00%

0.000% 0.000% 0.00%

Int'l. dev equ'ty Int'l emerging Totals10.08% 5.37% 100.00%

1.202% 1.202% 7.21%7.21%

16.667% 16.667% 100.00%

HoadleyAfterTaxTaxableCalculates the tax adjusted return, volatility, current after tax value,

for tax adjusted (ie after tax) portfolio optimization.This function is only available in the full version of the add-in.

ExampleInputsActionMarket Value 1,000Pre_tax_return 7.0%Volatility 30%Years 20

Optional argumentsLT_CGT_Rate 15%

Tax_rate_1 15%Tax_1_percent 10%

Tax_rate_2 40%Tax_2_percent 35%

Tax_rate_3Tax_3_percent

Cost_base 700

Results Action ValueAfter tax return RET #MACRO?After tax volatility VOL #MACRO?After tax future value FV #MACRO?After tax current value CV #MACRO?

After tax future value calculated using above results #MACRO?

An additional samples spreadsheet is available for download. It includes examples which illustrate how to use this function as part of after tax portfolio optimization for new portfolios and for existing portfolios withunrealized capital gains, and how to optimize the asset allocation acrossmultiple locations (investment accounts). An example is also included showing the derivation of after tax rates and values using a discountedcash flow technique.

and future value of a taxable investment. The outputs can then be used

Index

Details and download


Help

http://www.hoadley.net/options/develtoolsportfoliosamples.htm


HoadleyAfterTaxTaxDefCalculates the tax adjusted return, volatility, current after tax value, and future value of a tax deferred investment. -- eg in a tax deferred retirement account -- for tax adjusted (ie after tax) portfolio optimization.This function is only available in the full version of the add-in.

ExampleInputsActionMarket Value 1,000Pre_tax_return 7.0%Volatility 30%Years 20tax_on_withdrawals 40%

Results Action ValueAfter tax return RET #MACRO?After tax volatility VOL #MACRO?After tax future value FV #MACRO?After tax current value CV #MACRO?

After tax future value calculated using above results #MACRO?

Index


Help


Portfolio Monte Carlo Simulation ClassThe portfolio Monte Carlo Simulation class is used in a VBA module to simulatethe range of returns and risk from a portfolio consisting of multiple asset classesor individual assets (eg equities). This function is only available in the full version of the add-in.

Overview of the simulation class:

For a comprehensive example of how to use the simulation class, download theHoadley Monte Carlo Simulator from the Hoadley Trading & Portfolio Investment Toolsweb site (available to current users of the full version of the Finance Add-in for Excel.

Overview of the Hoadley Portfolio Monte Carlo Simulator


Help

http://www.hoadley.net/options/develtoolsportfoliosimulator.htm


10

Retirement Planning Monte Carlo Simulation ClassThe Retirment Planning Simulation class is used in a VBA module to prepare aretirement plan.

This function is only available in the full version of the add-in.

Overview of the Retirement Planning class:

For a comprehensive example of how to use the Retirement Planning class, download theHoadley Retirment Planner from the Hoadley Trading & Portfolio Investment Toolsweb site (available to current users of the full version of the Finance Add-in for Excel.

Overview of the Hoadley Retirement Planner


Help

http://www.hoadley.net/options/develtoolsRetirementPlanner.htm


A function for retrieving stock quotes from Yahoo.

ExampleInputs

Ticker ANZData_item Last

ExampleSymbol Name Date Time Last ChangeIBM #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?MSFT #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?Dell #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?GE #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?F #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?C #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?BA #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?BAC #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?GOOG #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?^GSPC #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

AUDUSD=X #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?USDCAD=X #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

0005.HK #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?KOTAKBANK.NS #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NAB.AX #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?BHP.AX #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?LastUpdate #MACRO?

Note:1. The quotes toolbar can also be made to appear by using the HoadleyOptionsmenu (HoadleyOptionMenu/Insert Function/On-line data)

2. Quotes can also be refreshed from the quotes toolbar. Quotes cannot berefreshed more frequently than once every ten seconds.

3. If you are using the trial version of the add-in, then the refresh button will stopworking after approximately three minutes.

HoadleyYahooQuotes (Function)

Index


Help


%Change#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

#MACRO?#MACRO?

#MACRO?#MACRO?#MACRO?#MACRO?

A subroutine which can be called from a VBA module to return stock quotes from Yahoo.

ExampleClick on heading fields below to select/change columns

Symbol Name Date Last Trade Change

IBM INTL BUS MACHINE 27-Dec-02 77.36 -1.14MSFT MICROSOFT CP 27-Dec-02 52.97 -0.42Dell DELL COMPUTER 27-Dec-02 27.02 -0.36GE GENERAL ELEC CO 27-Dec-02 24.70 -0.41F FORD MOTOR CO 27-Dec-02 9.58 -0.21C CITIGROUP 27-Dec-02 35.17 -0.85BA BOEING CO 27-Dec-02 32.33 -0.30BAC BANK OF AMERICA 27-Dec-02 69.17 -0.67MER MERRILL LYNCH 27-Dec-02 38.30 -1.24XOM EXXON MOBIL 27-Dec-02 34.64 -0.68

ANZ.AX ANZ BANKING GRP 27-Dec-02 17.70 0.03NWS.AX NEWS CORP 27-Dec-02 11.81 -0.16

#VALUE! (yahoo format string) Unhide YahooFormatString sheet to view format character table

HoadleyGetQuotes (subroutine)

Index


Help


Click on heading fields below to select/change columns

Day's High Day's LowClick on column

79.18 76.61 77.25 headings to change54.00 52.9 52.86 selection.27.45 26.83 27.0325.30 24.54 24.75

9.80 9.53 9.6436.06 34.85 35.1733.09 32.14 32.3370.20 68.9 69.1239.48 38.08 38.2735.52 34.6 34.58

17.74 17.53 17.711.93 11.76 11.81

Unhide YahooFormatString sheet to view format character table

Last Trade (Real-time)

A function for retrieving streaming real-time quotes from the Marketfeed service.

Example: EquitiesSymbol Name Date Time BidIBM #MACRO? #MACRO? #MACRO? ###MSFT #MACRO? #MACRO? #MACRO? ###Dell #MACRO? #MACRO? #MACRO? ###GE #MACRO? #MACRO? #MACRO? ###F #MACRO? #MACRO? #MACRO? ###C #MACRO? #MACRO? #MACRO? ###BA #MACRO? #MACRO? #MACRO? ###QQQQ #MACRO? #MACRO? #MACRO? ###

I:SPX.CBO #MACRO? #MACRO? #MACRO? ###I:NDX.NAS #MACRO? #MACRO? #MACRO? ###

Example: OptionsOption Symbol Expiry Date Strike Option Type BidO:SPY\11L17\20.0 #MACRO? #MACRO? #MACRO? ###O:SPX\12X22\550.0 #MACRO? #MACRO? #MACRO? ###O:IBM\11A22\135.0 #MACRO? #MACRO? #MACRO? ###

Notes:1. The quotes toolbar can also be made to appear by using the HoadleyOptions menu:HoadleyOptionMenu/ Insert Function/ On-line data

2. A subscription to the Marketfeed streaming quotes service is required to use this function.

3. Once you subscribe to Marketfeed your User ID and Password should be entered using the "User"button on the Hoadley Marketfeed Quotes toolbar. You will only need to do this once.

4. A subscription to Marketfeed will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Impliedvolatility calculator application downloaded with the add-in for a more sophisticated example of using option.chains.

HoadleyMFQuotes

Index

Marketfeed streaming quotes: Service details and subscription

Subscribe to Marketfeed steaming quotes


Help

http://www.hoadley.net/options/develtoolsmarketfeed.htm



Ask Last### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?

### #MACRO?### #MACRO?

Ask Last### #MACRO?### #MACRO?### #MACRO?

3. Once you subscribe to Marketfeed your User ID and Password should be entered using the "User"

4. A subscription to Marketfeed will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Impliedvolatility calculator application downloaded with the add-in for a more sophisticated example of using option.

Marketfeed streaming quotes: Service details and subscription


A function for retrieving streaming real-time quotes from the OptionsXpress streamer.Currently free to OptionsXpress account holders.

Example: EquitiesSymbol Name Time BidIBM #MACRO? #MACRO? ###MSFT #MACRO? #MACRO? ###Dell #MACRO? #MACRO? ###GE #MACRO? #MACRO? ###F #MACRO? #MACRO? ###C #MACRO? #MACRO? ###SPY #MACRO? #MACRO? ###QQQQ #MACRO? #MACRO? ###

SPX #MACRO? #MACRO? ###NDX #MACRO? #MACRO? ###

Example: OptionsOption Symbol Name Strike Time BidIBM^^^120121P00100000 #MACRO? #MACRO? #MACRO? ###SPX^^^111217C01200000 #MACRO? #MACRO? #MACRO? ###C^^^^^120121C00005000 #MACRO? #MACRO? #MACRO? ###


2. This service is currently free to OptionsXpress account holders.

3. The HoadleyOXQuotes function will automatically log in to your OptionsXpress account. For securityreasons your OptionsXpress password will not be saved on your hard drive and you will need to re-enterit each time you re-start Excel and use the OptionsXpress service. Both your OptionsXpress user ID and password are encrypted using secure sockets layer (SSL) technology before being sent to OptionsXpress.

4. Joining OptionsXress will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Impliedvolatility calculator application downloaded with the add-in for a more sophisticated example of using option.chains.

HoadleyOXQuotes

Index

OptionsXpress streaming quotes: Details


Help

http://www.hoadley.net/options/develtoolsoxLanding.htm


Ask Last### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?### #MACRO?

### #MACRO?### #MACRO?

Ask Last### #MACRO?### #MACRO?### #MACRO?

3. The HoadleyOXQuotes function will automatically log in to your OptionsXpress account. For securityreasons your OptionsXpress password will not be saved on your hard drive and you will need to re-enterit each time you re-start Excel and use the OptionsXpress service. Both your OptionsXpress user ID and password are encrypted using secure sockets layer (SSL) technology before being sent to OptionsXpress.

chain component. See option chains sheet in this samples workbook for a simple example, and the Impliedvolatility calculator application downloaded with the add-in for a more sophisticated example of using option.

OptionsXpress streaming quotes: Details

http://www.hoadley.net/options/develtoolsoxLanding.htm

A function for retrieving streaming real-time quotes from eSignal.

Examples: GeneralLocation Type Symbol NameUS Equities GE #MACRO?

MSFT #MACRO?DELL #MACRO?

Index $INDU #MACRO?Future SP M1 #MACRO?Futures Option SP Z0C1475 #MACRO?

Canada Equities - Toronto BMO-TC #MACRO?Equities - Venture BLR-VC #MACRO?

Spain Equities TEF-MAC #MACRO?UK Equities LLOY-LON #MACRO?

BARC-LON #MACRO?Index $UKX-FTSE #MACRO?

Australia Equities ANZ-ASX #MACRO?BHP-ASX #MACRO?

Index $XAO-ASX #MACRO?Germany Equites BMW-BER #MACRO?US Currency AUD A0-FX #MACRO?

Examples: Stock & Index options

Location Type Symbol NameUS Equity O:IBM 12M100.00 #MACRO?

O:MSFT 12A37.50 #MACRO?Index O:SPX 12X1100.00 #MACRO?


2. A subscription to the eSignal streaming quotes service is required to use this function.

4. A subscription to eSignal will also let you retrieve real-time US option chains using the option chain component.

HoadleyESQuotes

Index

eSignal streaming quotes: Details


Help

http://www.hoadley.net/options/develtoolsESignal.htm


Time Bid Ask Last Change Volume#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?

Time Strike Ask Last#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?

4. A subscription to eSignal will also let you retrieve real-time US option chains using the option chain component.

Expiry Date

Open Interest

eSignal streaming quotes: Details

eSignal details



HoadleySWQuotesA function for retrieving real-time streaming quotes from StockWatch.

Example: Equities and indicesSymbol Bid Ask Last Change Volume HighMSFT #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?DELL #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?IBM #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?XOM #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?

T:BMO #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?T:SLF #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?V:BLR #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?

$INDU ### #MACRO? #MACRO? #MACRO?$SPX ### #MACRO? #MACRO? #MACRO?$NDX ### #MACRO? #MACRO? #MACRO?

V:VIJX #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?T:TITX60 #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?

Example: Options

Option Symbol Strike Bid AskIBMA211270.00 #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?

M:BMO120121C56.00 #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?


2. A subscription to Stockwatch is required to use this function.

4. A subscription to Stockwatch will also let you retrieve real-time US and Canadian option chains using the option chain component.

Index

Option Year

Option Month

Option Type

Stockwatch streaming quotes: Details


Help

http://www.hoadley.net/options/develtoolsStockwatch.htm


Low#MACRO?#MACRO?#MACRO?#MACRO?

#MACRO?#MACRO?#MACRO?


#MACRO?#MACRO?

Last#MACRO?

#MACRO?

Stockwatch streaming quotes: Details

http://www.hoadley.net/options/develtoolsStockwatch.htm

A function for retrieving streaming real-time quotes for the Australian market fromWebLink's BullSignal quotes service.

Example: EquitiesSymbol Name Date Time Bid AskAGK #MACRO? #MACRO? #MACRO? ### ###ANZ #MACRO? #MACRO? #MACRO? ### ###BHP #MACRO? #MACRO? #MACRO? ### ###FGL #MACRO? #MACRO? #MACRO? ### ###NAB #MACRO? #MACRO? #MACRO? ### ###NWS #MACRO? #MACRO? #MACRO? ### ###TLS #MACRO? #MACRO? #MACRO? ### ###WDC #MACRO? #MACRO? #MACRO? ### ###

XJO #MACRO?XAO #MACRO?

Example: OptionsOption Symbol Expiry Date Strike Security Type Bid AskANZYG7 #MACRO? #MACRO? #MACRO? ### ###BHPKV8 #MACRO? #MACRO? #MACRO? ### ###XJOQH9 #MACRO? #MACRO? #MACRO? ### ###


2. A subscription to the WebLink Australia's BullSignal streaming quotes service is required to use this function.

3. A subscription to BullSignal will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Implied Volatility Calculator application downloaded with the add-in for a more sophisticated example of using optionchains.

HoadleyBSQuotes

Index

BullSignal streaming quotes: Service details and subscription

Subscribe to BullSignal steaming quotes


Help

http://www.hoadley.net/options/develtoolsBullSignal.htm



Last#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

#MACRO?#MACRO?

Last#MACRO?#MACRO?#MACRO?

2. A subscription to the WebLink Australia's BullSignal streaming quotes service is required to use this function.

3. A subscription to BullSignal will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Implied Volatility Calculator application downloaded with the add-in for a more sophisticated example of using option

BullSignal streaming quotes: Service details and subscription


A function for retrieving streaming real-time UK quotes from the MoneyAM streamer.Free streaming is available (with time limits), and unlimited by subscription.

Example: EquitiesSymbol Name Last Change Time BidBARC #MACRO? #MACRO? ### ### ###LLOY #MACRO? #MACRO? ### ### ###VOD #MACRO? #MACRO? ### ### ###BLT #MACRO? #MACRO? ### ### ###RIO #MACRO? #MACRO? ### ### ###ABC #MACRO? #MACRO? ### ### ###BT.A #MACRO? #MACRO? ### ### ###RSA #MACRO? #MACRO? ### ### ###BP. #MACRO? #MACRO? ### ### ###GSK #MACRO? #MACRO? ### ### ###TSCO #MACRO? #MACRO? ### ### ###

UKX #MACRO? #MACRO? ### ### ###

Notes:1. The quotes toolbar can also be made to appear by using the HoadleyOptions menu: HoadleyOptionMenu/ Insert Function/ On-line data

2. This service requires registration at www.moneyam.com

3. Quotes are available for equity and indices. Streaming option quotes are not available from MoneyAM.

HoadleyAMQuotes

Index

MoneyAM streaming quotes: Details


Help

http://www.moneyam.com/


Ask#################################

###

3. Quotes are available for equity and indices. Streaming option quotes are not available from MoneyAM.

MoneyAM streaming quotes: Details

http://www.moneyam.com/

HoadleyTDQuotesA function for retrieving streaming real-time quotes from the TD Ameritrade streamer.Available to TD Ameritrade account holders.

ExampleSymbol Name Last Change TimeIBM #MACRO? ### ### ###GE #MACRO? ### ### ###GOOG #MACRO? ### ### ###DELL #MACRO? ### ### ###DNB #MACRO? ### ### ###BA #MACRO? ### ### ###C #MACRO? ### ### ###HP #MACRO? ### ### ###XOM #MACRO? ### ### ###

IBM_012112P105 #MACRO? ### ### ###SPX_121711C1600 #MACRO? ### ### ###

$RUT.X #MACRO? ### ### ###$SPX.X #MACRO? ### ### ###


2. This service is available to TD Ameritrade account holders.

3. The HoadleyTDQuotes function will automatically log in to your TD Ameritrade account. Your TD Ameritrade password will be stored on your hard drive in encrypted form.Both your TD Ameritrade user ID and password are encrypted using secure sockets layer (SSL) technology before being sent to TD Ameritrade.

4. Joining TD Ameritrade will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Impliedvolatility calculator application downloaded with the add-in for a more sophisticated example of using option.chains.

Index

TD Ameritrade streaming quotes: Details


Help

http://www.hoadley.net/options/develtoolsTDLanding.htm


Bid Ask### ###### ###### ###### ###### ###### ###### ###### ###### ###

### ###### ###

### ###### ###

Both your TD Ameritrade user ID and password are encrypted using secure sockets layer (SSL) technology


TD Ameritrade streaming quotes: Details

http://www.hoadley.net/options/develtoolsTDLanding.htm

HoadleyIBQuotesA function for retrieving streaming real-time quotes from the Interactive Brokers.Available to IB account holders.

Example

Type of quote Symbol Exchange Expiry DateEquities GOOG

MSFTMSFT USDIBM SMART USDIBM SMART EURBARC LSE GBPAMAT STK SMARTALTR STKKOPSUB STK NSE INRBMW STK SMART EUR

Indices SPX IND CBOE USDNDX IND NASDAQNIFTY50 IND NSE INRDAX IND DTB EUR

Equity options MSFT 110122C00031000 OPTMSFT OPT USD 201101

IBM OPT SMART USD 201201IBM 120121P00125000 OPT SMART USD

C BMW DEC 10 3600 OPT DTB EURBMW OPT DTB EUR 201012

Index options SPX 111217P01050000 OPT CBOESPX OPT SMART 201112SPX OPT USD 20111215

P ODAX DEC 10 5000 OPT DTB EURDAX OPT DTB 201012

Futures ESZ0 FUT GLOBEX

ZG JUN 11 FUT NYSELIFFE USDZG FUT NYSELIFFE USD 201106

ZB FUT ECBOT USD 201012Futures options C OZB DEC 10 12100 FOP ECBOT

ZB FOP ECBOT USD 201012

ESZ0 C1095 FOP GLOBEXES FOP GLOBEX USD 20101217

Currencies USD.GBP CASH IDEAL GBPAUD.USD CASH IDEALPRO

Notes:1. The quotes toolbar can also be made to appear by using the HoadleyOptions menu:

Index

Security Type

Curr-ency

Help

HoadleyOptionMenu/ Insert Function/ On-line data

2. This service is available to IB account holders.

3. The HoadleyIBQuotes function requires that the IB Application Programming Interface (API)

See the IB help notes for more information.

4. Joining IB will also enable you to retrieve real-time option chains using the optionchain component. See option chains sheet in this samples workbook for a simple example, and the Impliedvolatility calculator application downloaded with the add-in for a more sophisticated example of using option.chains.

be installed and that the IB TWS be running and correctly configured.



Strike Bid Ask High Low Last#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

NASDAQ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

ISLAND #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?NASDAQ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

31.00 C #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

125.00 P #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?36.00 C 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1050.00 P #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1050.00 P #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?5000.00 P #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?



121.00 C #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?1095.00 C #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


Put/ Call

Multi-plier

Primary Exchnage

Interactive Brokers streaming quotes: Details

http://www.hoadley.net/options/develtoolsIBLanding.htm


Volume#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?

#MACRO?#MACRO?

#MACRO?#MACRO?#MACRO?#MACRO?#MACRO?


#MACRO?#MACRO?


#MACRO?#MACRO?#MACRO?#MACRO?

Option Chain ClassA component for retrieving option chains for specified underlying assets.

ExampleInputs

Example 1:Ticker IBM

Information provider (click cell) MSNExchange (or blank for default) Example 2:

Note: six sort options are available

ResultsSpot: 127.99 Error status: OK

Option OpenExpiry Strike Type Symbol Interest Volume Bid18-Sep-10 75.00 C .IBM\10I18\75.0 0 0 51.950

P .IBM\10U18\75.0 51 0 0.00080.00 C .IBM\10I18\80.0 0 0 46.950

P .IBM\10U18\80.0 132 0 0.00085.00 C .IBM\10I18\85.0 0 0 41.950

P .IBM\10U18\85.0 229 0 0.00090.00 C .IBM\10I18\90.0 1 0 36.950

P .IBM\10U18\90.0 1,871 0 0.00095.00 C .IBM\10I18\95.0 69 0 32.900

P .IBM\10U18\95.0 619 6 0.000100.00 C .IBM\10I18\100.0 56 17 27.950

P .IBM\10U18\100.0 650 0 0.000105.00 C .IBM\10I18\105.0 185 11 22.950

P .IBM\10U18\105.0 737 32 0.020110.00 C .IBM\10I18\110.0 221 41 18.000

P .IBM\10U18\110.0 2,388 27 0.030115.00 C .IBM\10I18\115.0 276 12 13.000

P .IBM\10U18\115.0 5,428 449 0.050120.00 C .IBM\10I18\120.0 1,282 415 8.050

P .IBM\10U18\120.0 11,835 354 0.070125.00 C .IBM\10I18\125.0 8,591 2,580 3.250

P .IBM\10U18\125.0 12,094 3,379 0.270130.00 C .IBM\10I18\130.0 14,491 4,640 0.360

P .IBM\10U18\130.0 4,913 2,016 2.340135.00 C .IBM\10I18\135.0 9,779 970 0.030

P .IBM\10U18\135.0 2,992 372 6.950140.00 C .IBM\10I18\140.0 3,041 4 0.000

P .IBM\10U18\140.0 231 1 11.900145.00 C .IBM\10I18\145.0 1,163 0 0.000

P .IBM\10U18\145.0 0 0 16.650150.00 C .IBM\10I18\150.0 224 0 0.000

P .IBM\10U18\150.0 1 0 21.650155.00 C .IBM\10I18\155.0 0 0 0.000

IndexHelp

P .IBM\10U18\155.0 0 0 26.650160.00 C .IBM\10I18\160.0 0 0 0.000

P .IBM\10U18\160.0 0 0 31.650

16-Oct-10 60.00 C .IBM\10J16\60.0 0 0 66.500P .IBM\10V16\60.0 299 0 0.000

65.00 C .IBM\10J16\65.0 0 0 61.500P .IBM\10V16\65.0 1,550 0 0.000

70.00 C .IBM\10J16\70.0 0 0 56.500P .IBM\10V16\70.0 630 0 0.000

75.00 C .IBM\10J16\75.0 0 0 51.500P .IBM\10V16\75.0 364 0 0.010

80.00 C .IBM\10J16\80.0 0 1 46.500P .IBM\10V16\80.0 506 0 0.010

85.00 C .IBM\10J16\85.0 0 0 41.550P .IBM\10V16\85.0 590 0 0.030

90.00 C .IBM\10J16\90.0 0 0 37.900P .IBM\10V16\90.0 1,009 0 0.050

95.00 C .IBM\10J16\95.0 7 0 32.850P .IBM\10V16\95.0 673 110 0.080

100.00 C .IBM\10J16\100.0 11 2 27.900P .IBM\10V16\100.0 2,138 20 0.120

105.00 C .IBM\10J16\105.0 25 0 22.950P .IBM\10V16\105.0 6,053 12 0.170

110.00 C .IBM\10J16\110.0 334 10 18.250P .IBM\10V16\110.0 4,515 79 0.270

115.00 C .IBM\10J16\115.0 684 1 13.450P .IBM\10V16\115.0 11,707 691 0.460

120.00 C .IBM\10J16\120.0 1,366 122 8.900P .IBM\10V16\120.0 12,733 983 0.880

125.00 C .IBM\10J16\125.0 4,578 615 4.900P .IBM\10V16\125.0 13,685 2,618 1.880

130.00 C .IBM\10J16\130.0 11,088 3,678 2.010P .IBM\10V16\130.0 3,516 1,144 3.950

135.00 C .IBM\10J16\135.0 13,232 612 0.580P .IBM\10V16\135.0 1,550 68 7.500

140.00 C .IBM\10J16\140.0 10,237 251 0.130P .IBM\10V16\140.0 521 0 11.900

145.00 C .IBM\10J16\145.0 6,100 75 0.020P .IBM\10V16\145.0 142 11 16.900

150.00 C .IBM\10J16\150.0 26,223 0 0.000P .IBM\10V16\150.0 4 0 21.700

155.00 C .IBM\10J16\155.0 761 0 0.000P .IBM\10V16\155.0 2 0 26.650

160.00 C .IBM\10J16\160.0 808 0 0.000P .IBM\10V16\160.0 2 0 31.650

165.00 C .IBM\10J16\165.0 598 0 0.000P .IBM\10V16\165.0 0 0 36.650

170.00 C .IBM\10J16\170.0 216 0 0.000P .IBM\10V16\170.0 0 0 41.650

175.00 C .IBM\10J16\175.0 202 0 0.000P .IBM\10V16\175.0 0 0 46.650

180.00 C .IBM\10J16\180.0 20 0 0.000P .IBM\10V16\180.0 0 0 51.650

185.00 C .IBM\10J16\185.0 0 0 0.000P .IBM\10V16\185.0 0 0 56.650

22-Jan-11 20.00 C .IBM\11A22\20.0 0 0 106.300P .IBM\11M22\20.0 2,149 0 0.000

22.50 C .IBM\11A22\22.5 0 0 103.800P .IBM\11M22\22.5 777 0 0.000

25.00 C .IBM\11A22\25.0 0 0 101.300P .IBM\11M22\25.0 1,138 0 0.000

30.00 C .IBM\11A22\30.0 0 0 96.300P .IBM\11M22\30.0 3,356 0 0.000

35.00 C .IBM\11A22\35.0 0 0 91.300P .IBM\11M22\35.0 1,300 0 0.000

40.00 C .IBM\11A22\40.0 0 0 86.300P .IBM\11M22\40.0 2,372 0 0.010

45.00 C .IBM\11A22\45.0 3 0 81.300P .IBM\11M22\45.0 1,853 0 0.020

50.00 C .IBM\11A22\50.0 6 0 76.300P .IBM\11M22\50.0 2,718 0 0.050

55.00 C .IBM\11A22\55.0 0 0 71.300P .IBM\11M22\55.0 979 0 0.070

60.00 C .IBM\11A22\60.0 70 1 66.300P .IBM\11M22\60.0 1,448 0 0.090

65.00 C .IBM\11A22\65.0 1 0 61.350P .IBM\11M22\65.0 1,447 0 0.140

70.00 C .IBM\11A22\70.0 0 0 56.850P .IBM\11M22\70.0 2,892 0 0.210

75.00 C .IBM\11A22\75.0 0 0 52.700P .IBM\11M22\75.0 2,529 0 0.280

80.00 C .IBM\11A22\80.0 30 0 47.750P .IBM\11M22\80.0 3,792 0 0.370

85.00 C .IBM\11A22\85.0 6 0 42.900P .IBM\11M22\85.0 3,245 95 0.500

90.00 C .IBM\11A22\90.0 690 0 37.950P .IBM\11M22\90.0 4,866 43 0.660

95.00 C .IBM\11A22\95.0 1,585 0 33.150P .IBM\11M22\95.0 6,406 15 0.880

100.00 C .IBM\11A22\100.0 1,677 0 28.750P .IBM\11M22\100.0 9,049 60 1.180

105.00 C .IBM\11A22\105.0 452 5 24.100P .IBM\11M22\105.0 6,482 7 1.610

110.00 C .IBM\11A22\110.0 3,199 1,755 19.750P .IBM\11M22\110.0 16,676 13 2.220

115.00 C .IBM\11A22\115.0 5,193 2 15.550P .IBM\11M22\115.0 13,302 175 3.050

120.00 C .IBM\11A22\120.0 4,803 12 11.700P .IBM\11M22\120.0 11,102 249 4.200

125.00 C .IBM\11A22\125.0 5,090 39 8.350P .IBM\11M22\125.0 8,149 174 5.850

130.00 C .IBM\11A22\130.0 12,933 402 5.550P .IBM\11M22\130.0 7,872 56 8.050

135.00 C .IBM\11A22\135.0 10,948 264 3.400P .IBM\11M22\135.0 1,108 13 10.900

140.00 C .IBM\11A22\140.0 7,470 2,410 1.910

P .IBM\11M22\140.0 984 20 14.400145.00 C .IBM\11A22\145.0 4,385 91 0.980

P .IBM\11M22\145.0 339 0 18.450150.00 C .IBM\11A22\150.0 11,286 93 0.470

P .IBM\11M22\150.0 422 0 22.900155.00 C .IBM\11A22\155.0 4,103 29 0.200

P .IBM\11M22\155.0 243 0 27.550160.00 C .IBM\11A22\160.0 2,647 1 0.080

P .IBM\11M22\160.0 1,046 0 32.350165.00 C .IBM\11A22\165.0 1,281 0 0.030

P .IBM\11M22\165.0 109 0 37.300170.00 C .IBM\11A22\170.0 680 0 0.010

P .IBM\11M22\170.0 1,660 0 42.200175.00 C .IBM\11A22\175.0 771 0 0.000

P .IBM\11M22\175.0 86 0 47.200180.00 C .IBM\11A22\180.0 755 0 0.000

P .IBM\11M22\180.0 0 0 52.200185.00 C .IBM\11A22\185.0 363 0 0.000

P .IBM\11M22\185.0 0 0 57.200190.00 C .IBM\11A22\190.0 386 0 0.000

P .IBM\11M22\190.0 0 0 62.200195.00 C .IBM\11A22\195.0 242 0 0.000

P .IBM\11M22\195.0 10 0 67.100200.00 C .IBM\11A22\200.0 0 0 0.000

P .IBM\11M22\200.0 5 0 72.100

16-Apr-11 65.00 C .IBM\11D16\65.0 0 0 61.550P .IBM\11P16\65.0 331 0 0.300

70.00 C .IBM\11D16\70.0 0 0 57.550P .IBM\11P16\70.0 25 0 0.410

75.00 C .IBM\11D16\75.0 0 0 52.650P .IBM\11P16\75.0 188 0 0.550

80.00 C .IBM\11D16\80.0 0 0 47.700P .IBM\11P16\80.0 77 0 0.720

85.00 C .IBM\11D16\85.0 0 0 42.850P .IBM\11P16\85.0 44 12 0.960

90.00 C .IBM\11D16\90.0 0 0 38.200P .IBM\11P16\90.0 10 12 1.260

95.00 C .IBM\11D16\95.0 0 0 33.850P .IBM\11P16\95.0 849 21 1.670

100.00 C .IBM\11D16\100.0 8 0 29.200P .IBM\11P16\100.0 499 0 2.200

105.00 C .IBM\11D16\105.0 4 1 25.000P .IBM\11P16\105.0 448 25 2.900

110.00 C .IBM\11D16\110.0 106 0 20.800P .IBM\11P16\110.0 594 80 3.800

115.00 C .IBM\11D16\115.0 357 0 17.000P .IBM\11P16\115.0 350 2 4.950

120.00 C .IBM\11D16\120.0 77 7 13.400P .IBM\11P16\120.0 605 0 6.400

125.00 C .IBM\11D16\125.0 491 30 10.250P .IBM\11P16\125.0 985 40 8.250

130.00 C .IBM\11D16\130.0 422 56 7.550P .IBM\11P16\130.0 312 0 10.550

135.00 C .IBM\11D16\135.0 605 14 5.300P .IBM\11P16\135.0 45 18 13.350

140.00 C .IBM\11D16\140.0 328 18 3.550P .IBM\11P16\140.0 10 0 16.600

145.00 C .IBM\11D16\145.0 235 35 2.300P .IBM\11P16\145.0 0 0 20.300

150.00 C .IBM\11D16\150.0 96 21 1.390P .IBM\11P16\150.0 1 0 24.200

155.00 C .IBM\11D16\155.0 80 5 0.800P .IBM\11P16\155.0 3 0 28.700

160.00 C .IBM\11D16\160.0 24 0 0.440P .IBM\11P16\160.0 0 0 33.200

165.00 C .IBM\11D16\165.0 29 0 0.230P .IBM\11P16\165.0 0 0 38.100

170.00 C .IBM\11D16\170.0 11 0 0.100P .IBM\11P16\170.0 0 0 42.900

175.00 C .IBM\11D16\175.0 0 0 0.050P .IBM\11P16\175.0 0 0 47.850

180.00 C .IBM\11D16\180.0 0 0 0.020P .IBM\11P16\180.0 0 0 52.800

21-Jan-12 65.00 C .IBM\12A21\65.0 15 0 61.450P .IBM\12M21\65.0 846 1 1.400

70.00 C .IBM\12A21\70.0 18 0 56.600P .IBM\12M21\70.0 1,617 20 1.780

75.00 C .IBM\12A21\75.0 12 0 51.700P .IBM\12M21\75.0 705 0 2.270

80.00 C .IBM\12A21\80.0 8 0 47.450P .IBM\12M21\80.0 745 0 2.840

85.00 C .IBM\12A21\85.0 69 0 43.850P .IBM\12M21\85.0 788 35 3.500

90.00 C .IBM\12A21\90.0 342 0 39.550P .IBM\12M21\90.0 1,728 0 4.350

95.00 C .IBM\12A21\95.0 206 0 35.200P .IBM\12M21\95.0 562 0 5.300

100.00 C .IBM\12A21\100.0 2,259 0 31.250P .IBM\12M21\100.0 3,375 0 6.450

105.00 C .IBM\12A21\105.0 7 0 27.500P .IBM\12M21\105.0 706 0 7.750

110.00 C .IBM\12A21\110.0 618 4 24.300P .IBM\12M21\110.0 1,735 6 9.250

115.00 C .IBM\12A21\115.0 39 0 21.450P .IBM\12M21\115.0 504 3 11.000

120.00 C .IBM\12A21\120.0 884 0 18.450P .IBM\12M21\120.0 1,165 0 13.000

125.00 C .IBM\12A21\125.0 603 8 15.650P .IBM\12M21\125.0 1,121 71 15.200

130.00 C .IBM\12A21\130.0 4,538 13 13.150P .IBM\12M21\130.0 5,699 545 17.700

135.00 C .IBM\12A21\135.0 493 19 10.900P .IBM\12M21\135.0 183 0 20.450

140.00 C .IBM\12A21\140.0 3,305 11 8.900P .IBM\12M21\140.0 2,096 0 23.550

145.00 C .IBM\12A21\145.0 328 0 7.250

P .IBM\12M21\145.0 29 0 26.650150.00 C .IBM\12A21\150.0 2,578 46 5.750

P .IBM\12M21\150.0 130 0 30.300155.00 C .IBM\12A21\155.0 314 2 4.600

P .IBM\12M21\155.0 10 0 33.950160.00 C .IBM\12A21\160.0 2,529 20 3.600

P .IBM\12M21\160.0 100 0 37.900165.00 C .IBM\12A21\165.0 262 0 2.790

P .IBM\12M21\165.0 0 0 42.050170.00 C .IBM\12A21\170.0 6,690 0 2.160

P .IBM\12M21\170.0 95 1 46.500175.00 C .IBM\12A21\175.0 288 0 1.640

P .IBM\12M21\175.0 0 0 50.800180.00 C .IBM\12A21\180.0 925 0 1.210

P .IBM\12M21\180.0 141 0 55.350185.00 C .IBM\12A21\185.0 60 0 0.900

P .IBM\12M21\185.0 11 0 60.050190.00 C .IBM\12A21\190.0 338 0 0.670

P .IBM\12M21\190.0 433 0 64.750195.00 C .IBM\12A21\195.0 125 0 0.490

P .IBM\12M21\195.0 0 0 69.550200.00 C .IBM\12A21\200.0 497 0 0.360

P .IBM\12M21\200.0 439 0 74.350

19-Jan-13 100.00 C .IBM\13A19\100.0 0 0 0.000P .IBM\13M19\100.0 0 0 0.000

105.00 C .IBM\13A19\105.0 0 0 0.000P .IBM\13M19\105.0 0 0 0.000

110.00 C .IBM\13A19\110.0 0 0 0.000P .IBM\13M19\110.0 0 0 0.000

115.00 C .IBM\13A19\115.0 0 0 0.000P .IBM\13M19\115.0 0 0 0.000

120.00 C .IBM\13A19\120.0 0 0 0.000P .IBM\13M19\120.0 0 0 0.000

125.00 C .IBM\13A19\125.0 0 0 0.000P .IBM\13M19\125.0 0 0 0.000

130.00 C .IBM\13A19\130.0 0 0 0.000P .IBM\13M19\130.0 0 0 0.000

135.00 C .IBM\13A19\135.0 0 0 0.000P .IBM\13M19\135.0 0 0 0.000

140.00 C .IBM\13A19\140.0 0 0 0.000P .IBM\13M19\140.0 0 0 0.000

145.00 C .IBM\13A19\145.0 0 0 0.000P .IBM\13M19\145.0 0 0 0.000

150.00 C .IBM\13A19\150.0 0 0 0.000P .IBM\13M19\150.0 0 0 0.000

Note: six sort options are available

Ask Last53.400 52.070

0.020 0.02048.400 0.000

0.020 0.01043.400 0.000

0.020 0.01038.350 38.350

0.020 0.02033.250 31.900

0.020 0.01028.150 27.600

0.020 0.03023.100 21.700

0.040 0.02018.150 16.600

0.050 0.04013.150 13.050

0.060 0.0508.200 8.0000.090 0.0803.350 3.3000.290 0.3000.390 0.3602.380 2.3700.040 0.0307.050 6.9000.010 0.010

12.050 11.7700.020 0.010

18.150 15.2000.020 0.010

23.100 23.0500.020 0.010

Download option chain file generator example

Note on Eurex symbols

Notes for Interactive Brokers

Importing chains from a file

Notes for each info provider

Note on applying filters

http://www.hoadley.net/options/develtoolsOCFileGen.htm?src=Add-in

28.100 0.0000.020 0.000

33.100 0.000

68.500 0.0000.030 0.030

63.400 0.0000.020 0.020

58.400 60.0000.020 0.030

53.400 0.0000.030 0.040

48.300 47.8000.040 0.050

43.350 0.0000.050 0.100

38.300 38.7500.070 0.100

33.300 31.0000.090 0.090

28.300 28.1000.130 0.130

23.400 21.8000.190 0.190

18.400 18.2000.290 0.270

13.550 12.6200.480 0.4609.000 9.0000.900 0.9005.000 4.9001.910 1.9102.050 2.0304.050 3.9900.610 0.6007.600 7.4500.150 0.150

12.300 14.1500.040 0.040

17.050 18.3500.030 0.030

23.550 23.9600.030 0.030

28.500 30.8500.020 0.020

33.500 32.4000.020 0.080

38.500 35.9500.020 0.020

43.500 44.0500.020 0.080

48.500 48.6500.020 0.060

53.500 0.000

0.020 0.00058.500 0.000

108.450 104.0500.020 0.050

105.950 0.0000.030 0.030

103.450 0.0000.020 0.050

98.450 0.0000.050 0.010

93.450 92.4000.050 0.040

88.450 83.7000.080 0.060

83.450 83.5000.090 0.090

78.500 78.2000.090 0.150

73.550 72.8000.100 0.150

68.450 67.5000.130 0.160

63.400 66.5000.170 0.260

58.450 61.2200.230 0.240

53.500 0.0000.300 0.330

48.550 51.5000.400 0.420

43.650 46.7500.520 0.520

38.700 37.0000.690 0.680

33.850 35.4400.910 0.920

29.000 27.7501.210 1.190

24.450 24.2001.650 1.620

19.900 19.7502.260 2.230

15.700 14.5003.100 3.100

11.850 11.8604.300 4.4008.450 8.5005.950 5.8305.600 5.5308.150 8.0003.450 3.400

11.050 10.8001.950 1.900

14.550 14.5501.020 0.980

18.700 21.9500.490 0.500

23.150 25.7300.220 0.220

28.200 30.0000.110 0.100

33.100 37.6500.070 0.100

39.350 36.3500.050 0.060

42.700 44.2000.040 0.070

49.250 50.4500.040 0.080

54.300 0.0000.030 0.150

59.300 0.0000.030 0.100

64.300 0.0000.030 0.020

69.300 73.5500.030 0.000

74.300 71.500

63.450 0.0000.330 0.490

58.450 0.0000.440 0.670

53.500 0.0000.580 0.880

48.550 0.0000.760 0.850

43.750 0.0000.990 0.960

38.950 0.0001.310 1.350

34.150 0.0001.710 1.730

29.550 28.0502.250 2.620

25.150 25.1002.940 2.980

21.000 19.4503.850 3.800

17.100 16.0505.050 4.900

13.550 13.5006.500 6.990

10.400 10.3008.350 8.3507.650 7.600

10.700 12.800

5.400 5.30013.500 13.300

3.650 3.60016.750 19.100

2.330 2.28020.450 0.000

1.430 1.40024.600 26.460

0.830 0.80029.050 31.900

0.460 0.43034.050 0.000

0.260 0.36038.900 0.000

0.140 0.20043.800 0.000

0.080 0.00048.750 0.000

0.050 0.00054.850 0.000

63.550 63.5001.460 1.470

58.700 53.6201.850 1.870

54.000 57.4302.330 2.430

49.350 46.7002.910 3.050

44.900 48.0903.600 3.650

40.400 38.4504.450 4.880

36.350 38.0005.400 5.850

32.250 30.8706.550 7.090

28.500 27.3507.900 8.540

25.000 24.4409.400 9.650

21.650 19.20011.150 11.20018.600 17.30013.150 13.60015.850 15.90015.350 15.70013.300 13.10017.850 17.85011.050 10.80020.700 20.750

9.100 8.65023.750 25.000

7.400 7.150

27.100 24.5605.900 5.500

30.600 34.9104.700 4.500

34.350 36.3003.750 3.600

38.350 40.2702.880 2.800

42.450 0.0002.230 2.220

46.900 46.8501.730 1.500

52.800 0.0001.300 1.390

57.400 53.9500.970 1.120

62.100 58.0500.740 0.780

66.850 66.1500.550 0.670

71.550 0.0000.420 0.450

76.450 73.900

0.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.0000.000 0.000

MSNCBOECBOE/MASXLIFFEEUREXeSignalStockwatchMarketfeedOptionsXpressTDAmeritradeInteractiveBrokersBullSignalNSEFile

Option Chain Class - Futures Option ChainsA component for retrieving option chains for specified underlying assets.This example shows how options on futures contracts for US and someinternational markets can be handled by the option chain class.

ExampleInputs

Example 1:Ticker ES #F

Information provider eSignalNote: six sort options are available

ResultsError status: OK

Option OpenExpiry Strike Type Symbol Interest Volume Bid Ask19-Feb-10 375.00 C ES G0C375 0 0 0.000 0.000

P ES G0P375 0 0 0.000 1.000400.00 C ES G0C400 0 0 0.000 0.000

P ES G0P400 0 0 0.000 1.000425.00 C ES G0C425 0 0 0.000 0.000

P ES G0P425 0 0 0.000 1.000450.00 C ES G0C450 0 0 0.000 0.000

P ES G0P450 0 0 0.000 1.000475.00 C ES G0C475 0 0 0.000 0.000

P ES G0P475 0 0 0.000 0.000500.00 C ES G0C500 0 0 592.500 598.000

P ES G0P500 0 0 0.000 1.000525.00 C ES G0C525 0 0 567.500 573.000

P ES G0P525 0 0 0.000 1.000545.00 C ES G0C545 0 0 547.500 553.000

P ES G0P545 0 0 0.000 0.000550.00 C ES G0C550 0 0 542.500 548.000

P ES G0P550 0 0 0.000 1.000575.00 C ES G0C575 0 0 517.500 523.000

P ES G0P575 0 0 0.000 1.000600.00 C ES G0C600 0 0 492.500 498.000

P ES G0P600 1 0 0.000 0.000610.00 C ES G0C610 0 0 482.500 488.000

P ES G0P610 0 0 0.000 1.000620.00 C ES G0C620 0 0 472.500 478.000

P ES G0P620 110 0 0.000 0.000625.00 C ES G0C625 0 0 467.500 473.000

P ES G0P625 0 0 0.000 1.000630.00 C ES G0C630 0 0 462.500 468.000

P ES G0P630 10 0 0.000 0.000640.00 C ES G0C640 0 0 452.500 458.000

P ES G0P640 91 0 0.000 0.000650.00 C ES G0C650 0 0 442.500 448.000

IndexHelp Help - Futures Options

P ES G0P650 25 0 0.000 0.000660.00 C ES G0C660 0 0 432.500 438.000

P ES G0P660 0 0 0.000 0.000670.00 C ES G0C670 0 0 422.500 428.000

P ES G0P670 245 0 0.000 0.000675.00 C ES G0C675 0 0 417.500 423.000

P ES G0P675 188 20 0.000 0.000680.00 C ES G0C680 0 0 412.500 418.000

P ES G0P680 20 19 0.000 0.000690.00 C ES G0C690 0 0 402.500 408.000

P ES G0P690 2 1 0.000 0.000700.00 C ES G0C700 0 0 392.500 398.000

P ES G0P700 149 2 0.000 0.000710.00 C ES G0C710 0 0 382.500 388.000

P ES G0P710 22 20 0.000 0.000720.00 C ES G0C720 0 0 372.500 378.000

P ES G0P720 73 25 0.000 0.000725.00 C ES G0C725 0 0 367.500 373.000

P ES G0P725 135 0 0.000 0.000730.00 C ES G0C730 0 0 362.500 368.000

P ES G0P730 229 10 0.000 0.000735.00 C ES G0C735 0 0 357.500 363.000

P ES G0P735 10 10 0.000 0.000740.00 C ES G0C740 0 0 352.500 358.000

P ES G0P740 210 0 0.000 0.000750.00 C ES G0C750 0 0 342.500 348.000

P ES G0P750 391 5 0.000 0.000760.00 C ES G0C760 0 0 332.500 338.000

P ES G0P760 67 59 0.000 0.000770.00 C ES G0C770 0 0 322.500 328.000

P ES G0P770 287 146 0.000 0.000775.00 C ES G0C775 0 0 317.500 323.000

P ES G0P775 363 301 0.000 0.000780.00 C ES G0C780 0 0 312.500 318.000

P ES G0P780 412 63 0.000 0.000790.00 C ES G0C790 0 0 302.500 308.000

P ES G0P790 445 1 0.000 0.000800.00 C ES G0C800 0 0 292.500 298.000

P ES G0P800 1,908 5 0.000 0.000810.00 C ES G0C810 0 0 282.750 288.250

P ES G0P810 461 10 0.000 0.000820.00 C ES G0C820 0 0 272.750 278.250

P ES G0P820 694 10 0.000 0.000825.00 C ES G0C825 0 0 267.750 273.250

P ES G0P825 589 1 0.000 0.000830.00 C ES G0C830 0 0 262.750 268.250

P ES G0P830 223 1 0.000 0.000840.00 C ES G0C840 0 0 252.750 258.250

P ES G0P840 2,877 1 0.000 0.000850.00 C ES G0C850 0 0 242.750 248.250

P ES G0P850 2,446 4 0.000 0.550855.00 C ES G0C855 0 0 237.750 243.250

P ES G0P855 0 0 0.000 0.000860.00 C ES G0C860 0 0 232.750 238.250

P ES G0P860 493 8 0.000 0.000865.00 C ES G0C865 0 0 227.750 233.250

P ES G0P865 16 6 0.000 0.000870.00 C ES G0C870 0 0 222.750 228.250

P ES G0P870 4,368 5 0.000 0.000875.00 C ES G0C875 0 0 217.750 223.250

P ES G0P875 2,187 85 0.000 0.900880.00 C ES G0C880 0 0 212.750 218.250

P ES G0P880 720 2 0.000 0.000885.00 C ES G0C885 0 0 207.750 213.250

P ES G0P885 450 12 0.000 0.000890.00 C ES G0C890 0 0 202.750 208.250

P ES G0P890 5,149 41 0.000 0.000895.00 C ES G0C895 0 0 198.000 203.500

P ES G0P895 2,902 20 0.000 0.000900.00 C ES G0C900 1 2 0.000 0.000

P ES G0P900 15,876 891 0.000 1.000905.00 C ES G0C905 0 0 188.000 193.500

P ES G0P905 2,471 155 0.000 0.000910.00 C ES G0C910 0 0 183.000 188.500

P ES G0P910 1,252 102 0.000 0.000915.00 C ES G0C915 0 0 178.000 183.500

P ES G0P915 683 14 0.000 0.000920.00 C ES G0C920 0 0 173.000 178.500

P ES G0P920 795 3 0.000 0.000925.00 C ES G0C925 0 0 168.000 173.500

P ES G0P925 2,702 119 0.000 1.150930.00 C ES G0C930 1 0 0.000 0.000

P ES G0P930 6,968 92 0.000 0.000935.00 C ES G0C935 0 0 158.250 163.500

P ES G0P935 1,695 57 0.000 0.000940.00 C ES G0C940 0 0 153.250 158.750

P ES G0P940 1,172 87 0.000 0.000945.00 C ES G0C945 0 0 148.250 153.750

P ES G0P945 912 60 0.000 0.000950.00 C ES G0C950 2 4 0.000 0.000

P ES G0P950 9,946 436 0.200 1.400955.00 C ES G0C955 0 0 138.250 143.750

P ES G0P955 1,328 16 0.000 0.900960.00 C ES G0C960 0 0 133.500 139.000

P ES G0P960 5,091 329 0.000 0.000965.00 C ES G0C965 0 0 128.500 134.000

P ES G0P965 1,912 473 0.000 1.000970.00 C ES G0C970 0 0 123.500 129.000

P ES G0P970 2,096 111 0.000 4.000975.00 C ES G0C975 0 0 118.750 124.250

P ES G0P975 4,537 261 0.000 1.350980.00 C ES G0C980 1 0 0.000 0.000

P ES G0P980 2,772 114 0.500 1.900985.00 C ES G0C985 0 0 108.750 114.250

P ES G0P985 913 95 0.650 2.050990.00 C ES G0C990 0 0 104.000 109.500

P ES G0P990 4,492 387 0.000 2.150995.00 C ES G0C995 0 0 99.250 104.750

P ES G0P995 2,019 154 0.000 2.4501,000.00 C ES G0C1000 35 3 0.000 0.000

P ES G0P1000 11,055 748 0.000 2.6501,005.00 C ES G0C1005 3 3 0.000 0.000

P ES G0P1005 2,208 40 1.150 2.8001,010.00 C ES G0C1010 154 9 0.000 0.000

P ES G0P1010 5,417 598 1.350 3.0501,015.00 C ES G0C1015 77 2 0.000 0.000

P ES G0P1015 2,045 67 1.600 3.3001,020.00 C ES G0C1020 7 7 0.000 0.000

P ES G0P1020 4,344 99 1.900 3.7001,025.00 C ES G0C1025 45 4 0.000 0.000

P ES G0P1025 5,601 649 2.200 4.0501,030.00 C ES G0C1030 15 10 0.000 0.000

P ES G0P1030 4,158 1,375 2.600 4.2501,035.00 C ES G0C1035 182 2 0.000 0.000

P ES G0P1035 3,133 356 3.000 4.8501,040.00 C ES G0C1040 61 1 0.000 0.000

P ES G0P1040 8,238 350 3.500 5.2501,045.00 C ES G0C1045 22 1 0.000 0.000

P ES G0P1045 2,034 126 4.100 6.0001,050.00 C ES G0C1050 149 5 0.000 0.000

P ES G0P1050 8,631 1,411 4.750 6.5001,055.00 C ES G0C1055 20 6 0.000 0.000

P ES G0P1055 3,472 165 5.500 7.2501,060.00 C ES G0C1060 88 11 0.000 0.000

P ES G0P1060 4,540 538 6.250 8.2501,065.00 C ES G0C1065 66 4 0.000 0.000

P ES G0P1065 2,616 355 7.250 9.0001,070.00 C ES G0C1070 243 74 0.000 0.000

P ES G0P1070 4,046 779 8.500 10.0001,075.00 C ES G0C1075 694 66 10.000 0.000

P ES G0P1075 4,479 421 9.500 11.7501,080.00 C ES G0C1080 1,329 108 0.000 0.000

P ES G0P1080 9,813 2,847 11.500 13.0001,085.00 C ES G0C1085 1,056 67 21.250 24.000

P ES G0P1085 1,969 202 12.500 15.0001,090.00 C ES G0C1090 3,784 727 18.000 20.750

P ES G0P1090 5,278 3,018 14.500 16.7501,095.00 C ES G0C1095 2,054 916 15.500 17.750

P ES G0P1095 2,149 661 16.250 19.0001,100.00 C ES G0C1100 6,244 1,613 12.750 15.000

P ES G0P1100 11,109 1,221 18.750 21.2501,105.00 C ES G0C1105 3,515 441 10.500 12.500

P ES G0P1105 1,435 25 21.000 24.2501,110.00 C ES G0C1110 5,277 1,079 8.250 10.250

P ES G0P1110 3,062 90 0.000 0.0001,115.00 C ES G0C1115 3,485 411 6.750 8.250

P ES G0P1115 1,910 10 0.000 0.0001,120.00 C ES G0C1120 6,801 846 5.500 6.750

P ES G0P1120 6,244 45 0.000 0.0001,125.00 C ES G0C1125 6,748 1,383 3.550 5.250

P ES G0P1125 3,037 28 0.000 0.0001,130.00 C ES G0C1130 6,034 1,255 3.000 4.150

P ES G0P1130 3,547 18 0.000 0.0001,135.00 C ES G0C1135 5,217 2,286 1.600 3.300

P ES G0P1135 2,202 6 0.000 0.0001,140.00 C ES G0C1140 9,173 840 1.200 2.650

P ES G0P1140 3,451 7 0.000 0.0001,145.00 C ES G0C1145 4,926 797 0.000 2.150

P ES G0P1145 1,157 5 0.000 0.0001,150.00 C ES G0C1150 9,297 1,151 0.000 1.200

P ES G0P1150 804 4 0.000 54.0001,155.00 C ES G0C1155 2,701 609 0.200 1.400

P ES G0P1155 323 10 0.000 0.0001,160.00 C ES G0C1160 4,499 1,149 0.000 1.250

P ES G0P1160 40 1 0.000 0.0001,165.00 C ES G0C1165 4,243 133 0.000 1.100

P ES G0P1165 13 1 0.000 0.0001,170.00 C ES G0C1170 6,973 456 0.000 0.500

P ES G0P1170 20 5 0.000 0.0001,175.00 C ES G0C1175 4,695 117 0.000 0.950

P ES G0P1175 0 16 0.000 0.0001,180.00 C ES G0C1180 3,821 406 0.000 0.900

P ES G0P1180 21 1 0.000 0.0001,185.00 C ES G0C1185 2,590 65 0.000 0.850

P ES G0P1185 0 0 87.000 92.5001,190.00 C ES G0C1190 3,598 131 0.100 0.850

P ES G0P1190 33 1 0.000 0.0001,195.00 C ES G0C1195 2,753 171 0.100 0.800

P ES G0P1195 28 20 0.000 0.0001,200.00 C ES G0C1200 7,129 646 0.000 0.800

P ES G0P1200 4 4 0.000 0.0001,205.00 C ES G0C1205 1,681 41 0.050 0.000

P ES G0P1205 0 0 107.000 112.5001,210.00 C ES G0C1210 2,168 49 0.000 0.000

P ES G0P1210 0 0 112.000 117.5001,215.00 C ES G0C1215 705 33 0.000 0.750

P ES G0P1215 0 0 117.000 122.5001,220.00 C ES G0C1220 2,264 73 0.000 0.000

P ES G0P1220 0 0 122.000 127.5001,225.00 C ES G0C1225 3,613 64 0.000 0.750

P ES G0P1225 0 0 127.000 132.5001,230.00 C ES G0C1230 1,818 61 0.000 0.350

P ES G0P1230 0 0 132.000 137.5001,235.00 C ES G0C1235 626 20 0.000 0.000

P ES G0P1235 0 0 137.000 142.5001,240.00 C ES G0C1240 1,675 20 0.000 0.000

P ES G0P1240 0 0 142.000 147.5001,245.00 C ES G0C1245 1,410 15 0.000 0.000

P ES G0P1245 0 0 147.000 152.5001,250.00 C ES G0C1250 1,680 19 0.000 0.000

P ES G0P1250 0 0 152.000 157.5001,255.00 C ES G0C1255 277 6 0.000 0.000

P ES G0P1255 0 0 157.000 162.5001,260.00 C ES G0C1260 923 42 0.000 0.000

P ES G0P1260 0 0 161.750 167.2501,265.00 C ES G0C1265 225 2 0.000 0.000

P ES G0P1265 0 0 166.750 172.2501,270.00 C ES G0C1270 547 1 0.000 0.000

P ES G0P1270 0 0 171.750 177.2501,275.00 C ES G0C1275 36 2 0.000 0.000

P ES G0P1275 0 0 176.750 182.2501,280.00 C ES G0C1280 802 250 0.000 0.000

P ES G0P1280 0 0 181.750 187.2501,285.00 C ES G0C1285 0 0 0.000 0.000

P ES G0P1285 0 0 186.750 192.2501,290.00 C ES G0C1290 1,141 3 0.000 0.000

P ES G0P1290 0 0 191.750 197.2501,295.00 C ES G0C1295 0 0 0.000 0.000

P ES G0P1295 0 0 196.750 202.2501,300.00 C ES G0C1300 327 1 0.000 0.700

P ES G0P1300 0 0 201.750 207.2501,310.00 C ES G0C1310 417 300 0.000 0.000

P ES G0P1310 0 0 211.750 217.2501,320.00 C ES G0C1320 8 4 0.000 0.000

P ES G0P1320 0 0 221.750 227.2501,325.00 C ES G0C1325 18 3 0.000 0.000

P ES G0P1325 0 0 226.750 232.2501,330.00 C ES G0C1330 18 10 0.000 0.000

P ES G0P1330 0 0 0.000 0.0001,340.00 C ES G0C1340 18 4 0.000 0.000

P ES G0P1340 0 0 0.000 0.0001,350.00 C ES G0C1350 59 4 0.000 0.000

P ES G0P1350 0 0 251.750 257.2501,375.00 C ES G0C1375 0 0 0.000 0.100

P ES G0P1375 0 0 276.750 282.2501,400.00 C ES G0C1400 0 0 0.000 0.000

P ES G0P1400 0 0 0.000 0.0001,425.00 C ES G0C1425 0 0 0.000 0.100

P ES G0P1425 0 0 0.000 0.0001,450.00 C ES G0C1450 0 0 0.000 0.100

P ES G0P1450 0 0 0.000 0.0001,475.00 C ES G0C1475 0 0 0.000 0.100

P ES G0P1475 0 0 0.000 0.0001,500.00 C ES G0C1500 0 0 0.000 0.000

P ES G0P1500 0 4 0.000 0.0001,525.00 C ES G0C1525 0 0 0.000 1.650

P ES G0P1525 0 0 0.000 0.0001,550.00 C ES G0C1550 0 0 0.000 1.650

P ES G0P1550 0 0 0.000 0.0001,575.00 C ES G0C1575 0 0 0.000 1.650

P ES G0P1575 0 0 0.000 0.0001,600.00 C ES G0C1600 0 0 0.000 1.600

P ES G0P1600 0 0 0.000 0.0001,625.00 C ES G0C1625 0 0 0.000 1.600

P ES G0P1625 0 0 508.000 548.7501,650.00 C ES G0C1650 0 0 0.000 1.000

P ES G0P1650 0 0 0.000 0.0001,675.00 C ES G0C1675 0 0 0.000 1.600

P ES G0P1675 0 0 0.000 0.000

19-Mar-10 375.00 C ES H0C375 0 0 0.000 0.000P ES H0P375 621 0 0.000 0.000

400.00 C ES H0C400 6 6 0.000 0.000P ES H0P400 415 0 0.000 0.000

425.00 C ES H0C425 0 0 667.250 672.750P ES H0P425 524 0 0.000 0.000

450.00 C ES H0C450 0 0 642.250 647.750P ES H0P450 702 0 0.000 0.000

475.00 C ES H0C475 0 0 617.250 622.750P ES H0P475 209 0 0.000 0.000

500.00 C ES H0C500 0 0 592.250 597.750P ES H0P500 498 0 0.000 0.000

525.00 C ES H0C525 0 0 567.500 573.000P ES H0P525 194 0 0.000 0.000

545.00 C ES H0C545 0 0 547.500 553.000P ES H0P545 0 0 0.000 0.000

550.00 C ES H0C550 0 0 542.500 548.000P ES H0P550 370 0 0.000 0.000

575.00 C ES H0C575 0 0 517.500 523.000P ES H0P575 242 0 0.000 0.000

600.00 C ES H0C600 3 0 0.000 0.000P ES H0P600 274 2 0.000 0.000

610.00 C ES H0C610 0 0 482.500 488.000P ES H0P610 368 0 0.000 0.000

620.00 C ES H0C620 0 0 472.500 478.000P ES H0P620 382 0 0.000 0.000

625.00 C ES H0C625 0 0 467.500 473.000P ES H0P625 547 0 0.000 0.000

630.00 C ES H0C630 0 0 462.500 468.000P ES H0P630 233 0 0.000 0.000

640.00 C ES H0C640 0 0 452.500 458.000P ES H0P640 242 0 0.000 0.000

650.00 C ES H0C650 0 0 442.500 448.000P ES H0P650 314 20 0.000 0.000

660.00 C ES H0C660 0 0 432.500 438.000P ES H0P660 614 291 0.000 0.000

670.00 C ES H0C670 0 0 422.500 428.000P ES H0P670 147 0 0.000 0.000

675.00 C ES H0C675 0 0 417.500 423.000P ES H0P675 444 22 0.000 0.000

680.00 C ES H0C680 0 0 412.500 418.000P ES H0P680 364 0 0.000 0.000

690.00 C ES H0C690 0 0 402.500 408.000P ES H0P690 202 41 0.000 0.000

700.00 C ES H0C700 0 0 392.500 398.000P ES H0P700 769 17 0.000 0.000

710.00 C ES H0C710 0 0 0.000 0.000P ES H0P710 455 40 0.000 0.000

720.00 C ES H0C720 0 0 372.500 378.000P ES H0P720 150 20 0.000 0.000

725.00 C ES H0C725 0 0 367.500 373.000P ES H0P725 208 3 0.000 1.050

730.00 C ES H0C730 0 0 362.750 368.250P ES H0P730 436 20 0.000 0.000

735.00 C ES H0C735 0 0 357.750 363.250P ES H0P735 41 41 0.000 0.000

740.00 C ES H0C740 0 0 352.750 358.250P ES H0P740 335 20 0.000 0.000

750.00 C ES H0C750 0 0 0.000 0.000P ES H0P750 2,994 1 0.150 0.000

760.00 C ES H0C760 0 0 332.750 338.250P ES H0P760 590 102 0.000 0.000

770.00 C ES H0C770 0 0 322.750 328.250P ES H0P770 522 1 0.000 0.000

775.00 C ES H0C775 0 0 317.750 323.250P ES H0P775 702 2 0.000 1.150

780.00 C ES H0C780 0 0 312.750 318.250P ES H0P780 614 5 0.000 0.000

790.00 C ES H0C790 0 0 303.000 308.500P ES H0P790 973 1 0.000 0.000

800.00 C ES H0C800 51 0 0.000 0.000P ES H0P800 2,024 494 0.000 1.300

810.00 C ES H0C810 102 0 0.000 0.000P ES H0P810 757 3 0.000 0.000

820.00 C ES H0C820 0 0 0.000 0.000P ES H0P820 730 200 0.000 0.000

825.00 C ES H0C825 51 0 0.000 0.000P ES H0P825 1,872 2 0.500 0.000

830.00 C ES H0C830 3 0 0.000 0.000P ES H0P830 2,009 41 0.000 0.000

840.00 C ES H0C840 1 0 0.000 0.000P ES H0P840 751 10 0.000 0.000

850.00 C ES H0C850 6 3 0.000 0.000P ES H0P850 2,463 11 0.000 1.700

855.00 C ES H0C855 0 0 238.500 244.000P ES H0P855 0 0 0.600 1.500

860.00 C ES H0C860 87 0 0.000 0.000P ES H0P860 997 13 0.000 0.000

865.00 C ES H0C865 0 0 229.000 233.750P ES H0P865 275 22 0.000 0.000

870.00 C ES H0C870 3 0 0.000 0.000P ES H0P870 1,078 20 0.000 0.000

875.00 C ES H0C875 197 0 0.000 0.000P ES H0P875 2,190 27 0.250 2.050

880.00 C ES H0C880 80 1 0.000 0.000P ES H0P880 1,395 338 0.000 0.000

885.00 C ES H0C885 0 0 209.500 214.250P ES H0P885 293 144 0.000 0.000

890.00 C ES H0C890 91 0 0.000 0.000P ES H0P890 1,244 103 0.000 0.000

895.00 C ES H0C895 0 0 199.750 204.250P ES H0P895 257 40 0.000 0.000

900.00 C ES H0C900 360 0 0.000 0.000P ES H0P900 5,908 767 0.750 2.550

910.00 C ES H0C910 104 0 0.000 0.000P ES H0P910 1,209 158 0.000 0.000

915.00 C ES H0C915 0 0 180.250 185.000P ES H0P915 303 3 0.000 0.000

920.00 C ES H0C920 259 0 0.000 0.000P ES H0P920 1,021 89 0.000 0.000

925.00 C ES H0C925 381 0 0.000 0.000P ES H0P925 2,526 182 1.350 3.450

930.00 C ES H0C930 649 1 0.000 0.000P ES H0P930 1,650 327 0.000 4.750

935.00 C ES H0C935 0 0 161.000 165.500P ES H0P935 671 72 0.000 0.000

940.00 C ES H0C940 398 0 0.000 0.000P ES H0P940 1,517 140 0.000 0.000

945.00 C ES H0C945 0 0 151.250 156.000P ES H0P945 476 97 3.300 4.700

950.00 C ES H0C950 995 25 0.000 0.000P ES H0P950 5,478 1,217 2.450 4.000

955.00 C ES H0C955 0 0 141.750 146.500P ES H0P955 900 7 2.700 4.800

960.00 C ES H0C960 167 0 0.000 0.000P ES H0P960 4,926 103 3.000 5.000

965.00 C ES H0C965 0 0 132.500 137.250P ES H0P965 1,460 44 3.300 5.500

970.00 C ES H0C970 223 0 0.000 0.000P ES H0P970 1,572 486 3.650 5.750

975.00 C ES H0C975 113 0 0.000 0.000P ES H0P975 5,101 636 4.000 6.000

980.00 C ES H0C980 367 0 0.000 0.000P ES H0P980 2,139 599 0.000 6.000

985.00 C ES H0C985 0 0 114.000 118.500P ES H0P985 1,434 24 4.550 7.000

990.00 C ES H0C990 734 2 0.000 0.000P ES H0P990 1,663 259 5.250 7.500

995.00 C ES H0C995 0 0 104.750 109.500P ES H0P995 1,280 390 5.500 8.000

1,000.00 C ES H0C1000 1,957 1 0.000 0.000P ES H0P1000 13,995 315 6.750 8.500

1,005.00 C ES H0C1005 0 0 97.750 102.500P ES H0P1005 925 5 6.500 9.000

1,010.00 C ES H0C1010 372 0 0.000 0.000P ES H0P1010 1,313 205 7.250 9.500

1,015.00 C ES H0C1015 0 0 89.000 90.750P ES H0P1015 847 261 8.000 10.250

1,020.00 C ES H0C1020 349 2 0.000 0.000P ES H0P1020 1,683 798 8.500 10.750

1,025.00 C ES H0C1025 1,101 1 0.000 0.000P ES H0P1025 3,502 282 9.250 11.750

1,030.00 C ES H0C1030 371 5 0.000 0.000P ES H0P1030 3,042 1,247 10.000 12.500

1,035.00 C ES H0C1035 41 0 0.000 0.000P ES H0P1035 1,469 115 11.000 13.500

1,040.00 C ES H0C1040 153 1 0.000 0.000P ES H0P1040 1,721 344 12.000 14.250

1,045.00 C ES H0C1045 200 0 0.000 0.000P ES H0P1045 2,437 16 13.000 15.500

1,050.00 C ES H0C1050 1,013 1 61.750 0.000P ES H0P1050 7,397 2,459 14.000 16.500

1,055.00 C ES H0C1055 91 0 0.000 0.000P ES H0P1055 2,142 176 15.250 17.750

1,060.00 C ES H0C1060 446 155 0.000 0.000P ES H0P1060 2,440 430 16.500 19.250

1,065.00 C ES H0C1065 144 1 0.000 0.000P ES H0P1065 1,387 66 17.750 20.500

1,070.00 C ES H0C1070 202 10 0.000 0.000P ES H0P1070 2,007 117 19.500 22.000

1,075.00 C ES H0C1075 702 1 0.000 0.000P ES H0P1075 4,427 271 21.000 23.750

1,080.00 C ES H0C1080 797 176 40.000 51.000P ES H0P1080 6,625 161 22.750 25.000

1,085.00 C ES H0C1085 730 37 33.500 36.500P ES H0P1085 1,582 144 24.500 27.250

1,090.00 C ES H0C1090 937 23 30.500 33.500P ES H0P1090 1,725 245 26.500 29.250

1,095.00 C ES H0C1095 996 118 27.500 30.500P ES H0P1095 1,655 795 28.500 31.250

1,100.00 C ES H0C1100 6,838 396 24.750 27.750P ES H0P1100 5,636 263 30.750 33.500

1,105.00 C ES H0C1105 965 1 22.000 25.000P ES H0P1105 853 6 33.250 36.250

1,110.00 C ES H0C1110 1,325 29 19.750 22.500P ES H0P1110 1,158 13 35.250 39.000

1,115.00 C ES H0C1115 915 47 17.250 20.000P ES H0P1115 1,327 13 37.750 41.750

1,120.00 C ES H0C1120 2,690 162 15.250 17.750P ES H0P1120 1,243 33 41.250 41.750

1,125.00 C ES H0C1125 3,489 390 13.250 15.750P ES H0P1125 1,135 12 0.000 0.000

1,130.00 C ES H0C1130 2,713 208 11.500 13.750P ES H0P1130 1,743 54 39.000 0.000

1,135.00 C ES H0C1135 1,436 15 9.750 12.250P ES H0P1135 742 51 0.000 0.000

1,140.00 C ES H0C1140 1,951 141 9.000 11.000P ES H0P1140 524 9 0.000 0.000

1,145.00 C ES H0C1145 1,718 11 7.000 9.500P ES H0P1145 553 1 0.000 0.000

1,150.00 C ES H0C1150 9,460 403 6.250 8.250P ES H0P1150 372 15 61.000 0.000

1,155.00 C ES H0C1155 1,670 488 4.800 7.250P ES H0P1155 11 1 0.000 0.000

1,160.00 C ES H0C1160 3,143 810 0.000 6.500P ES H0P1160 25 7 0.000 0.000

1,165.00 C ES H0C1165 2,261 273 3.050 5.500P ES H0P1165 0 0 71.500 76.250

1,170.00 C ES H0C1170 2,003 769 2.400 4.950P ES H0P1170 5 1 0.000 0.000

1,175.00 C ES H0C1175 5,198 734 1.750 4.300P ES H0P1175 3 2 0.000 0.000

1,180.00 C ES H0C1180 2,427 182 2.000 3.650P ES H0P1180 20 20 0.000 0.000

1,185.00 C ES H0C1185 1,707 138 0.000 3.150P ES H0P1185 65 65 0.000 0.000

1,190.00 C ES H0C1190 2,217 479 0.700 0.000P ES H0P1190 0 0 93.750 98.500

1,195.00 C ES H0C1195 1,001 411 0.450 2.550P ES H0P1195 0 0 98.250 103.000

1,200.00 C ES H0C1200 8,211 1,090 0.200 2.600P ES H0P1200 11 1 0.000 0.000

1,205.00 C ES H0C1205 959 303 0.000 0.000P ES H0P1205 0 0 108.000 112.750

1,210.00 C ES H0C1210 1,194 166 0.000 0.000P ES H0P1210 50 0 0.000 0.000

1,215.00 C ES H0C1215 607 38 0.000 0.000P ES H0P1215 0 0 117.500 122.250

1,220.00 C ES H0C1220 2,095 42 0.000 0.000P ES H0P1220 0 0 122.500 127.250

1,225.00 C ES H0C1225 3,119 366 0.000 1.350P ES H0P1225 1 1 0.000 0.000

1,230.00 C ES H0C1230 2,095 5 0.300 0.000P ES H0P1230 0 0 132.250 137.750

1,235.00 C ES H0C1235 431 2 0.000 0.000P ES H0P1235 0 0 137.250 142.750

1,240.00 C ES H0C1240 847 8 0.000 0.000P ES H0P1240 0 0 142.000 147.500

1,245.00 C ES H0C1245 656 3 0.000 0.000P ES H0P1245 0 0 147.000 152.500

1,250.00 C ES H0C1250 1,929 5 0.000 1.100P ES H0P1250 0 0 152.000 157.500

1,255.00 C ES H0C1255 434 1 0.000 0.000P ES H0P1255 0 0 157.000 162.500

1,260.00 C ES H0C1260 1,546 5 0.000 0.000P ES H0P1260 0 0 162.000 167.500

1,265.00 C ES H0C1265 380 3 0.000 0.000P ES H0P1265 0 0 167.000 172.500

1,270.00 C ES H0C1270 220 1 0.000 0.000P ES H0P1270 0 0 172.000 177.500

1,275.00 C ES H0C1275 1,597 20 0.050 1.000P ES H0P1275 0 0 176.750 182.250

1,280.00 C ES H0C1280 815 1 0.000 0.000P ES H0P1280 0 0 181.750 187.250

1,285.00 C ES H0C1285 102 102 0.000 0.000P ES H0P1285 0 0 186.750 192.250

1,290.00 C ES H0C1290 1,032 3 0.000 0.000P ES H0P1290 0 0 191.750 197.250

1,295.00 C ES H0C1295 0 0 0.000 0.000P ES H0P1295 0 0 196.750 202.250

1,300.00 C ES H0C1300 1,029 2 0.000 0.950P ES H0P1300 0 0 0.000 0.000

1,310.00 C ES H0C1310 402 100 0.000 0.000P ES H0P1310 0 0 211.750 217.250

1,320.00 C ES H0C1320 305 5 0.000 0.000P ES H0P1320 0 0 221.750 227.250

1,325.00 C ES H0C1325 1,012 25 0.000 0.900P ES H0P1325 0 0 226.750 232.250

1,330.00 C ES H0C1330 0 0 0.050 0.800P ES H0P1330 0 0 231.750 237.250

1,340.00 C ES H0C1340 0 0 0.050 0.800P ES H0P1340 0 0 241.750 247.250

1,350.00 C ES H0C1350 639 25 0.000 0.900P ES H0P1350 6 6 0.000 0.000

1,375.00 C ES H0C1375 19 0 0.000 0.900P ES H0P1375 0 0 276.750 282.250

1,400.00 C ES H0C1400 30 0 0.000 0.900P ES H0P1400 0 0 301.750 307.250

1,425.00 C ES H0C1425 0 0 0.000 0.000P ES H0P1425 0 0 326.750 332.250

1,450.00 C ES H0C1450 50 0 0.000 0.000P ES H0P1450 0 0 351.750 357.250

1,475.00 C ES H0C1475 0 0 0.000 1.350P ES H0P1475 0 0 376.750 382.250

1,500.00 C ES H0C1500 0 0 0.000 1.350P ES H0P1500 0 0 401.750 407.250

1,525.00 C ES H0C1525 0 0 0.000 1.350P ES H0P1525 0 0 0.000 0.000

1,550.00 C ES H0C1550 1,500 0 0.000 0.000P ES H0P1550 0 0 0.000 0.000

1,575.00 C ES H0C1575 0 0 0.000 0.850P ES H0P1575 0 0 0.000 0.000

1,600.00 C ES H0C1600 0 0 0.000 1.000P ES H0P1600 0 0 0.000 0.000

1,625.00 C ES H0C1625 0 0 0.000 1.000P ES H0P1625 0 0 0.000 0.000

1,650.00 C ES H0C1650 0 0 0.000 1.000P ES H0P1650 0 0 0.000 0.000

1,675.00 C ES H0C1675 0 0 0.000 1.600P ES H0P1675 0 0 578.750 588.500

16-Apr-10 425.00 C ES J0C425 0 0 0.000 0.000P ES J0P425 0 0 0.000 1.550

450.00 C ES J0C450 0 0 0.000 0.000P ES J0P450 0 0 0.000 1.550

475.00 C ES J0C475 0 0 0.000 0.000P ES J0P475 0 0 0.000 1.600

500.00 C ES J0C500 0 0 585.750 595.250P ES J0P500 0 0 0.000 1.550

525.00 C ES J0C525 0 0 561.000 570.500P ES J0P525 2 0 0.000 0.000

550.00 C ES J0C550 0 0 536.000 545.500P ES J0P550 36 0 0.000 0.000

575.00 C ES J0C575 0 0 511.000 520.500P ES J0P575 59 0 0.000 0.000

600.00 C ES J0C600 0 0 486.000 495.500P ES J0P600 242 0 0.000 0.000

625.00 C ES J0C625 0 0 461.000 470.500P ES J0P625 310 153 0.000 0.000

650.00 C ES J0C650 0 0 436.250 445.750P ES J0P650 77 153 0.000 0.000

675.00 C ES J0C675 0 0 411.250 420.750P ES J0P675 178 4 0.000 0.000

680.00 C ES J0C680 0 0 406.250 415.750

P ES J0P680 85 0 0.000 0.000690.00 C ES J0C690 0 0 396.500 406.000

P ES J0P690 109 109 0.000 0.000700.00 C ES J0C700 0 0 386.500 396.000

P ES J0P700 15 6 0.000 0.000710.00 C ES J0C710 0 0 376.500 386.000

P ES J0P710 107 5 0.000 0.000715.00 C ES J0C715 0 0 371.500 381.000

P ES J0P715 0 0 0.000 0.000720.00 C ES J0C720 0 0 366.500 376.000

P ES J0P720 0 0 0.300 1.400725.00 C ES J0C725 0 0 361.750 371.250

P ES J0P725 225 5 0.000 0.000730.00 C ES J0C730 0 0 356.750 366.250

P ES J0P730 122 2 0.000 0.000740.00 C ES J0C740 0 0 346.750 356.250

P ES J0P740 12 4 0.000 0.000750.00 C ES J0C750 0 0 336.750 346.250

P ES J0P750 57 20 0.000 0.000760.00 C ES J0C760 0 0 327.000 336.500

P ES J0P760 221 1 0.000 0.000770.00 C ES J0C770 0 0 317.000 326.500

P ES J0P770 114 5 0.000 0.000775.00 C ES J0C775 0 0 312.250 321.750

P ES J0P775 112 1 0.000 0.000780.00 C ES J0C780 0 0 307.250 316.750

P ES J0P780 219 1 0.000 0.000790.00 C ES J0C790 0 0 297.250 306.750

P ES J0P790 166 23 0.000 0.000800.00 C ES J0C800 0 0 287.500 297.000

P ES J0P800 264 91 0.350 2.750810.00 C ES J0C810 0 0 277.750 287.250

P ES J0P810 187 90 0.000 0.000820.00 C ES J0C820 0 0 268.000 277.500

P ES J0P820 142 16 0.000 0.000825.00 C ES J0C825 0 0 263.000 272.500

P ES J0P825 193 14 0.800 3.200830.00 C ES J0C830 0 0 258.000 267.500

P ES J0P830 445 8 0.000 0.000840.00 C ES J0C840 0 0 248.250 257.750

P ES J0P840 136 16 0.000 0.000850.00 C ES J0C850 0 0 238.750 248.250

P ES J0P850 563 62 1.500 3.900860.00 C ES J0C860 0 0 229.000 238.500

P ES J0P860 151 2 0.000 0.000870.00 C ES J0C870 0 0 219.250 228.750

P ES J0P870 321 2 0.000 0.000875.00 C ES J0C875 0 0 214.500 224.000

P ES J0P875 654 5 2.150 4.950880.00 C ES J0C880 0 0 209.750 219.250

P ES J0P880 17 5 0.000 0.000890.00 C ES J0C890 0 0 200.250 209.750

P ES J0P890 281 93 0.000 0.000900.00 C ES J0C900 0 0 0.000 0.000

P ES J0P900 1,853 436 3.300 6.000910.00 C ES J0C910 0 0 181.250 190.750

P ES J0P910 185 2 0.000 0.000920.00 C ES J0C920 0 0 172.000 181.250

P ES J0P920 264 1 0.000 0.000925.00 C ES J0C925 0 0 0.000 0.000

P ES J0P925 1,743 10 4.800 7.500930.00 C ES J0C930 0 0 162.500 172.000

P ES J0P930 232 49 0.000 0.000940.00 C ES J0C940 0 0 0.000 0.000

P ES J0P940 219 7 7.250 0.000950.00 C ES J0C950 0 0 0.000 0.000

P ES J0P950 1,016 4 0.000 10.750960.00 C ES J0C960 0 0 135.250 144.750

P ES J0P960 154 1 0.000 0.000965.00 C ES J0C965 0 0 130.750 140.250

P ES J0P965 108 108 0.000 0.000970.00 C ES J0C970 0 0 126.250 135.750

P ES J0P970 134 15 0.000 0.000975.00 C ES J0C975 0 0 0.000 0.000

P ES J0P975 346 12 9.500 12.250980.00 C ES J0C980 0 0 117.500 127.000

P ES J0P980 304 70 0.000 0.000985.00 C ES J0C985 0 0 113.250 122.500

P ES J0P985 0 0 0.000 0.000990.00 C ES J0C990 0 0 108.750 118.250

P ES J0P990 544 2 0.000 0.000995.00 C ES J0C995 0 0 104.500 114.000

P ES J0P995 50 50 0.000 0.0001,000.00 C ES J0C1000 0 0 104.000 106.500

P ES J0P1000 1,151 144 13.000 16.2501,005.00 C ES J0C1005 0 0 100.000 102.250

P ES J0P1005 2 2 0.000 0.0001,010.00 C ES J0C1010 1 0 0.000 0.000

P ES J0P1010 420 30 0.000 0.0001,015.00 C ES J0C1015 0 0 91.750 94.000

P ES J0P1015 0 0 0.000 0.0001,020.00 C ES J0C1020 1 0 0.000 0.000

P ES J0P1020 420 116 0.000 0.0001,025.00 C ES J0C1025 2 0 0.000 0.000

P ES J0P1025 649 31 17.750 21.0001,030.00 C ES J0C1030 0 0 0.000 0.000

P ES J0P1030 284 4 0.000 0.0001,035.00 C ES J0C1035 0 0 73.500 81.250

P ES J0P1035 465 30 0.000 0.0001,040.00 C ES J0C1040 0 0 69.750 77.500

P ES J0P1040 201 11 0.000 0.0001,045.00 C ES J0C1045 0 0 66.000 73.750

P ES J0P1045 91 1 0.000 0.0001,050.00 C ES J0C1050 0 0 62.500 70.000

P ES J0P1050 872 5 23.750 27.2501,055.00 C ES J0C1055 1 1 0.000 0.000

P ES J0P1055 282 150 0.000 0.0001,060.00 C ES J0C1060 69 3 0.000 0.000

P ES J0P1060 27 10 0.000 0.0001,065.00 C ES J0C1065 57 56 0.000 0.000

P ES J0P1065 56 6 28.250 32.2501,070.00 C ES J0C1070 152 41 0.000 0.000

P ES J0P1070 415 200 29.750 33.7501,075.00 C ES J0C1075 150 59 45.750 49.750

P ES J0P1075 419 2 31.750 35.7501,080.00 C ES J0C1080 330 130 42.500 46.500

P ES J0P1080 380 100 33.500 37.5001,085.00 C ES J0C1085 165 145 39.500 43.500

P ES J0P1085 128 10 35.500 39.5001,090.00 C ES J0C1090 269 6 36.500 40.500

P ES J0P1090 444 14 37.500 41.5001,095.00 C ES J0C1095 71 51 33.750 37.750

P ES J0P1095 285 10 39.750 43.7501,100.00 C ES J0C1100 631 22 31.000 35.000

P ES J0P1100 768 1 0.000 0.0001,105.00 C ES J0C1105 202 1 28.500 32.500

P ES J0P1105 173 13 0.000 0.0001,110.00 C ES J0C1110 187 19 26.000 30.000

P ES J0P1110 480 2 0.000 0.0001,115.00 C ES J0C1115 155 10 23.750 27.500

P ES J0P1115 350 200 0.000 0.0001,120.00 C ES J0C1120 539 10 21.500 25.250

P ES J0P1120 123 87 0.000 0.0001,125.00 C ES J0C1125 703 24 19.500 23.000

P ES J0P1125 254 2 0.000 0.0001,130.00 C ES J0C1130 531 2 17.500 20.750

P ES J0P1130 331 100 0.000 0.0001,135.00 C ES J0C1135 261 106 15.750 19.000

P ES J0P1135 147 101 0.000 0.0001,140.00 C ES J0C1140 571 8 14.000 17.250

P ES J0P1140 170 1 0.000 0.0001,145.00 C ES J0C1145 314 30 12.250 15.500

P ES J0P1145 12 12 0.000 0.0001,150.00 C ES J0C1150 1,161 296 10.750 14.000

P ES J0P1150 11 5 0.000 0.0001,155.00 C ES J0C1155 217 2 0.000 0.000

P ES J0P1155 15 2 0.000 0.0001,160.00 C ES J0C1160 469 2 0.000 0.000

P ES J0P1160 0 0 74.250 83.7501,165.00 C ES J0C1165 302 6 0.000 0.000

P ES J0P1165 0 0 78.000 87.5001,170.00 C ES J0C1170 355 34 0.000 0.000

P ES J0P1170 0 0 0.000 0.0001,175.00 C ES J0C1175 785 115 5.000 8.000

P ES J0P1175 3 3 0.000 0.0001,180.00 C ES J0C1180 441 80 0.000 0.000

P ES J0P1180 0 0 90.000 99.5001,185.00 C ES J0C1185 609 4 0.000 0.000

P ES J0P1185 0 0 0.000 0.0001,190.00 C ES J0C1190 495 92 0.000 0.000

P ES J0P1190 0 0 98.500 108.0001,195.00 C ES J0C1195 344 121 0.000 0.000

P ES J0P1195 0 0 103.000 112.5001,200.00 C ES J0C1200 1,128 176 1.600 4.400

P ES J0P1200 0 0 107.250 116.7501,205.00 C ES J0C1205 497 7 0.000 0.000

P ES J0P1205 0 0 111.750 121.2501,210.00 C ES J0C1210 401 26 0.000 0.000

P ES J0P1210 0 0 116.500 126.0001,215.00 C ES J0C1215 282 2 0.000 0.000

P ES J0P1215 0 0 121.000 130.5001,220.00 C ES J0C1220 259 15 0.000 0.000

P ES J0P1220 0 0 125.750 135.2501,225.00 C ES J0C1225 526 14 0.050 2.450

P ES J0P1225 0 0 130.500 140.0001,230.00 C ES J0C1230 147 81 0.000 0.000

P ES J0P1230 0 0 135.250 144.7501,235.00 C ES J0C1235 194 9 0.000 0.000

P ES J0P1235 0 0 140.000 149.5001,240.00 C ES J0C1240 256 37 0.000 0.000

P ES J0P1240 0 0 145.000 154.5001,245.00 C ES J0C1245 52 5 0.000 0.000

P ES J0P1245 0 0 149.750 159.2501,250.00 C ES J0C1250 475 2 0.000 1.750

P ES J0P1250 0 0 154.750 164.2501,260.00 C ES J0C1260 214 25 0.000 0.000

P ES J0P1260 0 0 164.500 174.0001,270.00 C ES J0C1270 177 6 0.000 0.000

P ES J0P1270 0 0 174.250 183.7501,275.00 C ES J0C1275 210 2 0.000 1.450

P ES J0P1275 0 0 179.250 188.7501,280.00 C ES J0C1280 39 1 0.000 0.000

P ES J0P1280 0 0 184.250 193.7501,290.00 C ES J0C1290 241 18 0.000 0.000

P ES J0P1290 0 0 194.250 203.7501,300.00 C ES J0C1300 22 1 0.100 1.300

P ES J0P1300 0 0 204.250 213.7501,310.00 C ES J0C1310 22 5 0.000 0.000

P ES J0P1310 0 0 214.000 223.5001,320.00 C ES J0C1320 20 4 0.000 0.000

P ES J0P1320 0 0 224.000 233.5001,325.00 C ES J0C1325 1 1 0.000 0.000

P ES J0P1325 0 0 229.000 238.5001,330.00 C ES J0C1330 0 0 0.000 0.000

P ES J0P1330 0 0 234.000 243.5001,340.00 C ES J0C1340 0 0 0.000 0.000

P ES J0P1340 0 0 244.000 253.5001,350.00 C ES J0C1350 0 0 0.000 0.000

P ES J0P1350 0 0 254.000 263.5001,375.00 C ES J0C1375 0 0 0.000 0.000

P ES J0P1375 0 0 279.000 288.5001,400.00 C ES J0C1400 10 10 0.000 0.000

P ES J0P1400 0 0 304.000 313.5001,425.00 C ES J0C1425 0 0 0.000 1.100

P ES J0P1425 0 0 329.000 338.5001,450.00 C ES J0C1450 0 0 0.000 1.100

P ES J0P1450 0 0 354.000 363.5001,475.00 C ES J0C1475 0 0 0.000 1.100

P ES J0P1475 0 0 379.000 388.5001,500.00 C ES J0C1500 0 0 0.000 1.100

P ES J0P1500 0 0 404.000 413.5001,525.00 C ES J0C1525 0 0 0.000 1.600

P ES J0P1525 0 0 0.000 0.0001,550.00 C ES J0C1550 2,000 0 0.000 0.000

P ES J0P1550 0 0 0.000 0.0001,575.00 C ES J0C1575 0 0 0.000 1.600

P ES J0P1575 0 0 0.000 0.0001,600.00 C ES J0C1600 0 0 0.000 1.600

P ES J0P1600 0 0 0.000 0.0001,625.00 C ES J0C1625 0 0 0.000 1.600

P ES J0P1625 0 0 0.000 0.0001,650.00 C ES J0C1650 0 0 0.000 1.600

P ES J0P1650 0 0 0.000 0.000

21-May-10 425.00 C ES K0C425 0 0 0.000 0.000450.00 C ES K0C450 0 0 0.000 0.000475.00 C ES K0C475 0 0 0.000 0.000

P ES K0P475 0 0 0.000 0.000500.00 C ES K0C500 0 0 0.000 0.000

P ES K0P500 0 0 0.000 0.000525.00 C ES K0C525 0 0 0.000 0.000

P ES K0P525 0 0 0.000 0.000550.00 C ES K0C550 0 0 0.000 0.000

P ES K0P550 0 0 0.000 0.000575.00 C ES K0C575 0 0 0.000 0.000600.00 C ES K0C600 0 0 0.000 0.000

P ES K0P600 0 0 0.000 0.000625.00 C ES K0C625 0 0 0.000 0.000

P ES K0P625 0 0 0.000 0.000650.00 C ES K0C650 0 0 0.000 0.000

P ES K0P650 2 2 0.000 0.000675.00 C ES K0C675 0 0 0.000 0.000

P ES K0P675 230 230 0.000 0.000680.00 C ES K0C680 0 0 0.000 0.000

P ES K0P680 2 2 0.000 0.000690.00 C ES K0C690 0 0 0.000 0.000

P ES K0P690 230 230 0.000 0.000700.00 C ES K0C700 0 0 0.000 0.000

P ES K0P700 45 30 0.000 0.000710.00 C ES K0C710 0 0 0.000 0.000715.00 P ES K0P715 0 0 0.550 3.050720.00 C ES K0C720 0 0 0.000 0.000725.00 C ES K0C725 0 0 0.000 0.000

P ES K0P725 230 230 0.000 0.000730.00 C ES K0C730 0 0 0.000 0.000

P ES K0P730 144 144 0.000 0.000740.00 C ES K0C740 0 0 0.000 0.000

P ES K0P740 144 144 0.000 0.000750.00 C ES K0C750 0 0 0.000 0.000

P ES K0P750 194 42 0.000 0.000

760.00 C ES K0C760 0 0 0.000 0.000P ES K0P760 142 42 0.000 0.000

770.00 C ES K0C770 0 0 0.000 0.000775.00 C ES K0C775 0 0 0.000 0.000


P ES K0P790 96 96 0.000 0.000800.00 C ES K0C800 0 0 0.000 0.000

P ES K0P800 268 3 0.000 0.000810.00 C ES K0C810 0 0 0.000 0.000


P ES K0P825 2 1 0.000 0.000830.00 C ES K0C830 0 0 0.000 0.000

P ES K0P830 100 100 0.000 0.000840.00 C ES K0C840 0 0 0.000 0.000

P ES K0P840 10 10 0.000 0.000850.00 C ES K0C850 0 0 0.000 0.000

P ES K0P850 258 10 0.000 0.000860.00 C ES K0C860 0 0 0.000 0.000

P ES K0P860 1 1 0.000 0.000870.00 C ES K0C870 0 0 0.000 0.000

P ES K0P870 130 1 0.000 0.000875.00 C ES K0C875 0 0 0.000 0.000

P ES K0P875 52 1 0.000 0.000880.00 C ES K0C880 0 0 0.000 0.000


P ES K0P900 62 20 0.000 0.000910.00 C ES K0C910 0 0 0.000 0.000

P ES K0P910 147 1 0.000 0.000920.00 C ES K0C920 0 0 0.000 0.000

P ES K0P920 7 1 0.000 0.000925.00 C ES K0C925 0 0 0.000 0.000

P ES K0P925 0 0 0.000 0.000930.00 C ES K0C930 0 0 0.000 0.000

P ES K0P930 332 46 0.000 0.000940.00 C ES K0C940 0 0 0.000 0.000

P ES K0P940 10 10 0.000 0.000950.00 C ES K0C950 0 0 0.000 0.000

P ES K0P950 135 6 12.750 15.500960.00 C ES K0C960 0 0 0.000 0.000965.00 P ES K0P965 0 0 13.750 17.500970.00 C ES K0C970 0 0 121.500 131.250

P ES K0P970 311 2 0.000 0.000975.00 C ES K0C975 0 0 117.500 127.250

P ES K0P975 192 15 0.000 0.000980.00 C ES K0C980 0 0 113.500 123.250

P ES K0P980 5 1 0.000 0.000985.00 P ES K0P985 1 1 0.000 0.000990.00 C ES K0C990 0 0 105.500 115.250

P ES K0P990 0 0 0.000 0.000995.00 C ES K0C995 0 0 105.500 107.750

P ES K0P995 0 0 0.000 0.0001,000.00 C ES K0C1000 0 0 100.500 111.750

P ES K0P1000 508 1 0.000 25.0001,005.00 C ES K0C1005 0 0 107.500 107.500

P ES K0P1005 3 2 0.000 0.0001,010.00 C ES K0C1010 0 0 103.000 105.250

P ES K0P1010 96 46 0.000 0.0001,015.00 C ES K0C1015 0 0 96.750 105.750

P ES K0P1015 110 110 0.000 0.0001,020.00 C ES K0C1020 0 0 93.000 101.750

P ES K0P1020 4 1 0.000 0.0001,025.00 C ES K0C1025 0 0 89.250 97.750

P ES K0P1025 0 0 25.000 30.5001,030.00 C ES K0C1030 0 0 85.500 94.000

P ES K0P1030 1 1 0.000 0.0001,035.00 C ES K0C1035 0 0 82.000 90.250

P ES K0P1035 50 50 0.000 0.0001,040.00 C ES K0C1040 0 0 78.500 86.500

P ES K0P1040 34 2 0.000 0.0001,045.00 C ES K0C1045 0 0 74.750 83.000

P ES K0P1045 0 0 0.000 0.0001,050.00 C ES K0C1050 0 0 71.500 79.250

P ES K0P1050 421 54 31.750 37.7501,055.00 C ES K0C1055 200 200 0.000 0.000

P ES K0P1055 50 50 33.250 39.2501,060.00 C ES K0C1060 10 10 0.000 0.000

P ES K0P1060 105 5 34.250 41.5001,065.00 C ES K0C1065 46 46 0.000 0.000

P ES K0P1065 100 100 36.000 43.2501,070.00 C ES K0C1070 1 1 56.750 64.000

P ES K0P1070 1 1 37.750 45.0001,075.00 C ES K0C1075 0 0 53.750 61.000

P ES K0P1075 176 176 39.750 47.0001,080.00 C ES K0C1080 101 101 50.750 57.750

P ES K0P1080 67 67 41.500 48.7501,085.00 C ES K0C1085 0 0 47.500 54.750

P ES K0P1085 1 1 43.500 50.7501,090.00 C ES K0C1090 0 0 44.750 52.000

P ES K0P1090 0 0 45.750 53.0001,095.00 C ES K0C1095 11 1 41.750 49.000

P ES K0P1095 0 0 47.750 55.0001,100.00 C ES K0C1100 44 1 39.000 46.250

P ES K0P1100 91 1 50.000 57.2501,105.00 C ES K0C1105 98 96 0.000 0.000

P ES K0P1105 94 94 0.000 0.0001,110.00 C ES K0C1110 10 10 0.000 0.000

P ES K0P1110 137 137 0.000 0.0001,115.00 C ES K0C1115 1 2 0.000 0.000

P ES K0P1115 108 108 0.000 0.0001,120.00 C ES K0C1120 0 0 0.000 0.000

P ES K0P1120 0 0 0.000 0.0001,125.00 C ES K0C1125 101 100 27.250 33.250

P ES K0P1125 0 0 0.000 0.0001,130.00 C ES K0C1130 75 5 0.000 0.000

P ES K0P1130 0 0 0.000 0.0001,135.00 C ES K0C1135 56 50 0.000 0.0001,140.00 C ES K0C1140 350 300 0.000 0.0001,145.00 C ES K0C1145 5 4 0.000 0.0001,150.00 C ES K0C1150 127 2 17.750 23.2501,155.00 C ES K0C1155 181 130 0.000 0.0001,160.00 C ES K0C1160 99 6 0.000 0.0001,165.00 C ES K0C1165 0 0 0.000 0.0001,170.00 C ES K0C1170 321 2 0.000 0.0001,175.00 C ES K0C1175 254 3 10.500 15.2501,180.00 C ES K0C1180 248 60 0.000 0.0001,185.00 C ES K0C1185 182 182 0.000 0.0001,190.00 C ES K0C1190 252 1 0.000 0.0001,195.00 C ES K0C1195 90 90 0.000 0.0001,200.00 C ES K0C1200 356 6 5.750 9.7501,205.00 C ES K0C1205 2 1 0.000 0.0001,210.00 C ES K0C1210 58 1 0.000 0.0001,215.00 C ES K0C1215 8 8 0.000 0.000

P ES K0P1215 0 0 0.000 0.0001,220.00 C ES K0C1220 27 12 0.000 0.000

P ES K0P1220 0 0 0.000 0.0001,225.00 C ES K0C1225 138 5 2.250 6.250

P ES K0P1225 0 0 0.000 0.0001,230.00 C ES K0C1230 42 1 0.000 0.000

P ES K0P1230 0 0 0.000 0.0001,235.00 C ES K0C1235 107 2 0.000 0.000

P ES K0P1235 0 0 0.000 0.0001,240.00 C ES K0C1240 24 1 0.000 0.000

P ES K0P1240 0 0 0.000 0.0001,245.00 C ES K0C1245 1 1 0.000 0.000

P ES K0P1245 0 0 0.000 0.0001,250.00 C ES K0C1250 332 3 0.600 3.800

P ES K0P1250 0 0 0.000 0.0001,260.00 C ES K0C1260 20 20 0.000 0.000

P ES K0P1260 0 0 0.000 0.0001,270.00 C ES K0C1270 23 23 0.000 0.000

P ES K0P1270 0 0 0.000 0.0001,275.00 C ES K0C1275 54 4 0.000 2.750

P ES K0P1275 0 0 0.000 0.0001,280.00 C ES K0C1280 3 3 0.000 0.000

P ES K0P1280 0 0 0.000 0.0001,290.00 C ES K0C1290 5 1 0.000 0.000

P ES K0P1290 0 0 0.000 0.0001,300.00 C ES K0C1300 3 3 0.000 0.000

P ES K0P1300 0 0 0.000 0.0001,310.00 C ES K0C1310 0 0 0.150 2.000

P ES K0P1310 0 0 0.000 0.0001,320.00 C ES K0C1320 0 0 0.050 9.750

P ES K0P1320 0 0 0.000 0.0001,325.00 C ES K0C1325 0 0 0.000 0.000

P ES K0P1325 0 0 0.000 0.0001,330.00 C ES K0C1330 0 0 0.050 9.750

P ES K0P1330 0 0 0.000 0.0001,340.00 C ES K0C1340 0 0 0.050 9.750

P ES K0P1340 0 0 0.000 0.0001,350.00 C ES K0C1350 0 0 0.000 0.000

P ES K0P1350 0 0 0.000 0.0001,375.00 C ES K0C1375 0 0 0.000 0.000

P ES K0P1375 0 0 0.000 0.0001,400.00 C ES K0C1400 0 0 0.000 0.000

P ES K0P1400 0 0 0.000 0.0001,425.00 C ES K0C1425 0 0 0.000 0.000

P ES K0P1425 0 0 0.000 0.0001,450.00 C ES K0C1450 0 0 0.000 0.000

P ES K0P1450 0 0 0.000 0.0001,475.00 C ES K0C1475 0 0 0.000 1.700

P ES K0P1475 0 0 0.000 0.0001,500.00 C ES K0C1500 0 0 0.000 1.700

P ES K0P1500 0 0 0.000 0.0001,525.00 C ES K0C1525 0 0 0.000 1.600

P ES K0P1525 0 0 0.000 0.0001,550.00 C ES K0C1550 0 0 0.000 1.600

P ES K0P1550 0 0 0.000 0.0001,575.00 C ES K0C1575 0 0 0.000 1.600

P ES K0P1575 0 0 0.000 0.0001,600.00 C ES K0C1600 0 0 0.000 1.600

P ES K0P1600 0 0 0.000 0.0001,625.00 C ES K0C1625 0 0 0.000 1.600

P ES K0P1625 0 0 0.000 0.0001,650.00 C ES K0C1650 0 0 0.000 1.600

18-Jun-10 425.00 C ES M0C425 0 0 0.000 0.000P ES K0P425 0 0 0.050 1.550P ES M0P425 600 0 0.000 0.000

450.00 C ES M0C450 0 0 0.000 0.000P ES K0P450 0 0 0.050 0.950P ES M0P450 306 0 0.000 0.000

475.00 C ES M0C475 0 0 0.000 0.000P ES M0P475 102 0 0.000 0.000

500.00 C ES M0C500 0 0 0.000 0.000P ES M0P500 1,231 500 0.000 0.000

525.00 C ES M0C525 0 0 0.000 0.000P ES M0P525 227 127 0.000 0.000

550.00 C ES M0C550 0 0 0.000 0.000P ES M0P550 444 5 0.000 0.000


600.00 C ES M0C600 0 0 0.000 0.000P ES M0P600 1,828 13 0.000 0.000

625.00 C ES M0C625 0 0 0.000 0.000P ES M0P625 246 6 0.000 0.000

650.00 C ES M0C650 0 0 0.000 0.000P ES M0P650 967 7 0.000 0.000

675.00 C ES M0C675 0 0 0.000 0.000P ES M0P675 451 9 0.000 0.000

680.00 C ES M0C680 0 0 0.000 0.000P ES M0P680 509 0 0.000 0.000

690.00 C ES M0C690 0 0 0.000 0.000P ES M0P690 427 226 0.000 0.000

700.00 C ES M0C700 0 0 0.000 0.000P ES M0P700 617 30 0.000 0.000


715.00 P ES M0P715 0 0 1.850 2.750720.00 C ES M0C720 0 0 0.000 0.000

P ES K0P720 0 0 0.600 2.550P ES M0P720 89 68 0.000 0.000

725.00 C ES M0C725 0 0 0.000 0.000P ES M0P725 151 5 0.000 0.000

730.00 C ES M0C730 0 0 0.000 0.000P ES M0P730 210 0 0.000 0.000

740.00 C ES M0C740 0 0 0.000 0.000P ES M0P740 420 1 0.000 0.000

750.00 C ES M0C750 0 0 0.000 0.000P ES M0P750 992 1 0.000 0.000

760.00 C ES M0C760 0 0 0.000 0.000P ES M0P760 456 109 0.000 0.000


775.00 C ES M0C775 0 0 0.000 0.000P ES M0P775 579 153 0.000 0.000


790.00 C ES M0C790 0 0 0.000 0.000P ES M0P790 447 171 0.000 0.000

800.00 C ES M0C800 1 0 0.000 0.000P ES M0P800 1,700 2 0.000 0.000

810.00 C ES M0C810 0 0 0.000 0.000P ES M0P810 507 4 0.000 0.000


825.00 C ES M0C825 0 0 0.000 0.000P ES M0P825 540 268 0.000 0.000

830.00 C ES M0C830 0 0 0.000 0.000P ES M0P830 901 2 0.000 0.000

840.00 C ES M0C840 0 0 0.000 0.000P ES M0P840 569 3 0.000 0.000

850.00 C ES M0C850 1 0 0.000 0.000P ES M0P850 488 2 0.000 0.000

860.00 C ES M0C860 0 0 0.000 0.000P ES M0P860 125 3 0.000 0.000

870.00 C ES M0C870 0 0 0.000 0.000P ES M0P870 282 2 0.000 0.000

875.00 C ES M0C875 0 0 0.000 0.000P ES M0P875 754 1 0.000 0.000

880.00 C ES M0C880 1 0 0.000 0.000P ES M0P880 368 10 0.000 0.000


900.00 C ES M0C900 23 1 0.000 0.000P ES M0P900 2,308 13 0.000 0.000

910.00 C ES M0C910 0 0 0.000 0.000P ES M0P910 266 9 0.000 0.000

920.00 C ES M0C920 0 0 0.000 0.000P ES M0P920 363 1 0.000 0.000

925.00 C ES M0C925 0 0 0.000 0.000P ES M0P925 519 100 0.000 0.000

930.00 C ES M0C930 3 0 0.000 0.000P ES M0P930 451 1 0.000 0.000

940.00 C ES M0C940 1 0 0.000 0.000P ES M0P940 753 104 0.000 0.000

950.00 C ES M0C950 228 0 0.000 0.000P ES M0P950 2,062 11 16.500 20.000


965.00 P ES M0P965 0 0 17.750 22.250970.00 C ES M0C970 191 0 0.000 0.000

P ES M0P970 489 1 0.000 0.000975.00 C ES M0C975 202 1 0.000 0.000

P ES M0P975 466 3 20.500 24.500980.00 C ES M0C980 3 0 0.000 0.000

P ES M0P980 316 4 0.000 0.000985.00 C ES M0C985 0 0 118.250 120.750

P ES M0P985 100 100 0.000 0.000990.00 C ES M0C990 0 0 0.000 0.000

P ES M0P990 316 6 0.000 0.000995.00 C ES M0C995 0 0 118.000 120.500

P ES M0P995 195 50 0.000 0.0001,000.00 C ES M0C1000 446 3 0.000 0.000

P ES M0P1000 5,168 1 25.500 29.5001,005.00 C ES M0C1005 0 0 109.500 119.000

P ES M0P1005 71 25 0.000 0.0001,010.00 C ES M0C1010 0 0 105.750 115.000

P ES M0P1010 389 100 0.000 0.0001,015.00 C ES M0C1015 0 0 102.000 111.250

P ES M0P1015 55 4 0.000 0.0001,020.00 C ES M0C1020 144 0 0.000 0.000

P ES M0P1020 209 1 0.000 0.0001,025.00 C ES M0C1025 132 1 0.000 0.000

P ES M0P1025 623 7 31.250 35.7501,030.00 C ES M0C1030 134 10 0.000 0.000

P ES M0P1030 843 1 0.000 0.0001,035.00 C ES M0C1035 0 0 87.500 96.250

P ES M0P1035 51 1 0.000 0.0001,040.00 C ES M0C1040 58 1 0.000 0.000

P ES M0P1040 472 3 0.000 0.0001,045.00 C ES M0C1045 0 0 80.500 89.000

P ES M0P1045 104 7 0.000 0.0001,050.00 C ES M0C1050 388 1 0.000 0.000

P ES M0P1050 2,137 7 38.500 43.0001,055.00 C ES M0C1055 0 0 73.750 82.000

P ES M0P1055 488 86 0.000 0.0001,060.00 C ES M0C1060 176 0 0.000 0.000

P ES M0P1060 354 1 0.000 0.0001,065.00 C ES M0C1065 168 168 0.000 0.000

P ES M0P1065 212 1 0.000 0.0001,070.00 C ES M0C1070 251 25 64.250 69.000

P ES M0P1070 242 1 0.000 0.0001,075.00 C ES M0C1075 323 102 61.250 66.000

P ES M0P1075 419 2 47.250 52.0001,080.00 C ES M0C1080 107 20 58.000 63.000

P ES M0P1080 1,059 7 49.000 53.7501,085.00 C ES M0C1085 3 2 55.000 60.000

P ES M0P1085 28 2 51.000 55.7501,090.00 C ES M0C1090 50 20 52.250 57.000

P ES M0P1090 161 20 53.250 58.0001,095.00 C ES M0C1095 0 0 49.250 54.000

P ES M0P1095 106 20 55.250 60.0001,100.00 C ES M0C1100 1,272 128 46.500 51.250

P ES M0P1100 952 15 57.500 62.2501,105.00 C ES M0C1105 0 0 43.750 48.750

P ES M0P1105 102 120 0.000 0.0001,110.00 C ES M0C1110 250 12 41.250 46.000

P ES M0P1110 205 4 0.000 0.0001,115.00 C ES M0C1115 0 0 0.000 0.000

P ES M0P1115 76 1 0.000 0.0001,120.00 C ES M0C1120 195 30 0.000 0.000

P ES M0P1120 220 1 0.000 0.0001,125.00 C ES M0C1125 396 75 34.250 38.500

P ES M0P1125 1,183 1 0.000 0.0001,130.00 C ES M0C1130 267 150 0.000 0.000

P ES M0P1130 9 1 0.000 0.0001,135.00 C ES M0C1135 105 1 0.000 0.000

P ES K0P1135 0 0 65.750 75.000P ES M0P1135 3 3 0.000 0.000

1,140.00 C ES M0C1140 273 1 0.000 0.000P ES K0P1140 0 0 74.250 77.000P ES M0P1140 6 1 0.000 0.000


1,150.00 C ES M0C1150 2,090 33 24.000 28.000P ES K0P1150 0 0 86.000 95.750P ES M0P1150 27 6 0.000 0.000



1,165.00 C ES M0C1165 232 1 0.000 0.000

P ES K0P1165 0 0 96.750 106.500P ES M0P1165 0 0 101.500 111.250










1,215.00 C ES M0C1215 20 20 0.000 0.000P ES M0P1215 0 0 135.250 145.000

1,220.00 C ES M0C1220 270 10 0.000 0.000P ES M0P1220 0 0 139.500 149.250

1,225.00 C ES M0C1225 1,257 6 5.500 8.750P ES M0P1225 0 0 0.000 0.000

1,230.00 C ES M0C1230 64 2 0.000 0.000P ES M0P1230 0 0 0.000 0.000

1,235.00 C ES M0C1235 41 6 0.000 0.000P ES M0P1235 0 0 0.000 0.000

1,240.00 C ES M0C1240 73 3 0.000 0.000P ES M0P1240 0 0 0.000 0.000

1,245.00 C ES M0C1245 1 1 0.000 0.000P ES M0P1245 0 0 160.500 170.250

1,250.00 C ES M0C1250 694 8 2.550 5.750P ES M0P1250 0 0 0.000 0.000

1,260.00 C ES M0C1260 376 27 0.000 0.000P ES M0P1260 0 0 0.000 0.000

1,270.00 C ES M0C1270 447 12 0.000 0.000P ES M0P1270 0 0 0.000 0.000

1,275.00 C ES M0C1275 350 1 0.000 0.000P ES M0P1275 0 0 0.000 0.000

1,280.00 C ES M0C1280 98 2 0.000 0.000P ES M0P1280 0 0 0.000 0.000

1,290.00 C ES M0C1290 268 1 0.000 0.000

P ES M0P1290 0 0 0.000 0.0001,300.00 C ES M0C1300 982 11 0.000 0.000

P ES M0P1300 0 0 0.000 0.0001,310.00 C ES M0C1310 5,001 5,003 0.000 0.000

P ES M0P1310 0 0 0.000 0.0001,320.00 C ES M0C1320 2 1 0.000 0.000

P ES M0P1320 0 0 0.000 0.0001,325.00 C ES M0C1325 678 1 0.000 0.000

P ES M0P1325 0 0 0.000 0.0001,330.00 C ES M0C1330 3 2 0.000 0.000

P ES M0P1330 0 0 0.000 0.0001,340.00 C ES M0C1340 300 150 0.000 0.000

P ES M0P1340 0 0 0.000 0.0001,350.00 C ES M0C1350 659 5 0.000 0.000

P ES M0P1350 0 0 0.000 0.0001,375.00 C ES M0C1375 1,155 338 0.000 0.000

P ES M0P1375 0 0 0.000 0.0001,400.00 C ES M0C1400 1,277 10 0.000 0.000

P ES M0P1400 0 0 0.000 0.0001,425.00 C ES M0C1425 1,045 10 0.000 0.000

P ES M0P1425 0 0 0.000 0.0001,450.00 C ES M0C1450 23 7 0.000 0.000

P ES M0P1450 0 0 0.000 0.0001,475.00 C ES M0C1475 0 0 0.000 0.000

P ES M0P1475 0 0 0.000 0.0001,500.00 C ES M0C1500 2,500 2,500 0.000 0.000

P ES M0P1500 0 0 0.000 0.0001,525.00 C ES M0C1525 0 0 0.000 1.700

P ES M0P1525 0 0 0.000 0.0001,550.00 C ES M0C1550 0 0 0.000 1.700

P ES M0P1550 0 0 0.000 0.0001,575.00 C ES M0C1575 0 0 0.000 1.700

P ES M0P1575 0 0 0.000 0.0001,600.00 C ES M0C1600 0 0 0.000 0.400

P ES M0P1600 0 0 0.000 0.0001,625.00 C ES M0C1625 0 0 0.000 1.600

P ES M0P1625 0 0 0.000 0.0001,650.00 C ES M0C1650 0 0 0.000 1.600

P ES K0P1650 0 0 558.750 568.500P ES M0P1650 0 0 0.000 0.000

17-Sep-10 500.00 C ES U0C500 0 0 0.000 0.000P ES U0P500 877 159 0.000 0.000

525.00 C ES U0C525 0 0 0.000 0.000P ES U0P525 814 1 0.000 0.000

550.00 C ES U0C550 0 0 0.000 0.000P ES U0P550 197 1 0.000 0.000

575.00 C ES U0C575 0 0 0.000 0.000P ES U0P575 606 1 0.000 0.000

600.00 C ES U0C600 0 0 0.000 0.000P ES U0P600 949 10 0.000 0.000

625.00 C ES U0C625 0 0 0.000 0.000P ES U0P625 201 10 0.000 0.000

650.00 C ES U0C650 0 0 0.000 0.000

P ES U0P650 371 2 0.000 0.000675.00 C ES U0C675 0 0 0.000 0.000

P ES U0P675 383 136 0.000 0.000700.00 C ES U0C700 0 0 0.000 0.000

P ES U0P700 516 93 0.000 0.000725.00 C ES U0C725 0 0 0.000 0.000

P ES U0P725 457 2 0.000 0.000750.00 C ES U0C750 0 0 0.000 0.000

P ES U0P750 475 2 0.000 0.000775.00 C ES U0C775 0 0 0.000 0.000

P ES U0P775 588 2 0.000 0.000800.00 C ES U0C800 0 0 0.000 0.000

P ES U0P800 749 2 0.000 0.000810.00 C ES U0C810 0 0 0.000 0.000

P ES U0P810 678 1 0.000 0.000820.00 C ES U0C820 0 0 0.000 0.000

P ES U0P820 52 100 0.000 0.000825.00 C ES U0C825 0 0 0.000 0.000

P ES U0P825 589 4 0.000 0.000830.00 C ES U0C830 0 0 0.000 0.000

P ES U0P830 256 102 0.000 0.000840.00 C ES U0C840 0 0 0.000 0.000

P ES U0P840 328 68 0.000 0.000850.00 C ES U0C850 0 0 0.000 0.000

P ES U0P850 332 2 0.000 0.000860.00 C ES U0C860 0 0 0.000 0.000

P ES U0P860 189 111 0.000 0.000870.00 C ES U0C870 0 0 0.000 0.000

P ES U0P870 350 100 0.000 0.000875.00 C ES U0C875 0 0 0.000 0.000

P ES U0P875 132 4 0.000 0.000880.00 C ES U0C880 0 0 0.000 0.000

P ES U0P880 402 1 0.000 0.000890.00 C ES U0C890 0 0 0.000 0.000

P ES U0P890 299 15 0.000 0.000900.00 C ES U0C900 0 0 0.000 0.000

P ES U0P900 1,202 369 0.000 0.000910.00 C ES U0C910 0 0 183.750 193.500

P ES U0P910 58 0 0.000 0.000920.00 C ES U0C920 0 0 175.500 185.250

P ES U0P920 30 0 0.000 0.000925.00 C ES U0C925 0 0 171.500 181.250

P ES U0P925 506 400 0.000 0.000930.00 C ES U0C930 0 0 167.500 177.250

P ES U0P930 10 2 0.000 0.000940.00 C ES U0C940 0 0 159.500 169.250

P ES U0P940 0 0 0.000 0.000950.00 C ES U0C950 3 0 0.000 0.000

P ES U0P950 194 1 0.000 0.000960.00 C ES U0C960 0 0 147.750 150.500

P ES U0P960 46 46 0.000 0.000970.00 C ES U0C970 0 0 140.750 150.250

P ES U0P970 72 72 0.000 0.000975.00 C ES U0C975 0 0 144.000 146.500

P ES U0P975 21 10 0.000 0.000980.00 C ES U0C980 50 0 0.000 0.000

P ES U0P980 2 0 0.000 0.000990.00 C ES U0C990 0 0 131.500 141.500

P ES U0P990 0 0 35.250 45.0001,000.00 C ES U0C1000 380 200 0.000 0.000

P ES U0P1000 202 15 0.000 0.0001,010.00 C ES U0C1010 100 0 0.000 0.000

P ES U0P1010 3 0 0.000 0.0001,020.00 C ES U0C1020 63 0 0.000 0.000

P ES U0P1020 6 0 0.000 0.0001,025.00 C ES U0C1025 249 0 0.000 0.000

P ES U0P1025 60 5 0.000 0.0001,030.00 C ES U0C1030 690 0 0.000 0.000

P ES U0P1030 24 2 0.000 0.0001,040.00 C ES U0C1040 89 0 0.000 0.000

P ES U0P1040 19 4 0.000 0.0001,050.00 C ES U0C1050 78 0 0.000 0.000

P ES U0P1050 764 15 56.000 0.0001,060.00 C ES U0C1060 303 1 0.000 0.000

P ES U0P1060 54 40 0.000 0.0001,070.00 C ES U0C1070 321 0 0.000 0.000

P ES U0P1070 133 80 0.000 0.0001,075.00 C ES U0C1075 800 1 0.000 0.000

P ES U0P1075 182 91 0.000 0.0001,080.00 C ES U0C1080 479 1 0.000 0.000

P ES U0P1080 100 1 0.000 0.0001,090.00 C ES U0C1090 218 0 0.000 0.000

P ES U0P1090 57 17 0.000 0.0001,100.00 C ES U0C1100 573 1 0.000 0.000

P ES U0P1100 1,025 1 0.000 0.0001,110.00 C ES U0C1110 184 2 0.000 0.000

P ES U0P1110 63 3 0.000 0.0001,120.00 C ES U0C1120 197 2 0.000 0.000

P ES U0P1120 0 0 83.250 93.0001,125.00 C ES U0C1125 243 0 0.000 0.000

P ES U0P1125 58 58 0.000 0.0001,130.00 C ES U0C1130 4 2 0.000 0.000

P ES U0P1130 68 68 0.000 0.0001,140.00 C ES U0C1140 46 2 0.000 0.000

P ES U0P1140 23 0 0.000 0.0001,150.00 C ES U0C1150 225 21 0.000 0.000

P ES U0P1150 0 0 0.000 0.0001,160.00 C ES U0C1160 115 40 0.000 0.000

P ES U0P1160 0 0 104.750 116.0001,170.00 C ES U0C1170 467 10 0.000 0.000

P ES U0P1170 0 0 122.500 132.2501,175.00 C ES U0C1175 70 1 0.000 0.000

P ES U0P1175 22 0 0.000 0.0001,180.00 C ES U0C1180 61 0 0.000 0.000

P ES U0P1180 0 0 129.500 139.2501,190.00 C ES U0C1190 204 91 0.000 0.000

P ES U0P1190 0 0 136.500 146.2501,200.00 C ES U0C1200 262 100 0.000 0.000

P ES U0P1200 0 0 155.000 164.7501,210.00 C ES U0C1210 268 0 0.000 0.000

P ES U0P1210 0 0 162.750 172.5001,220.00 C ES U0C1220 101 3 0.000 0.000

P ES U0P1220 0 0 170.500 180.2501,225.00 C ES U0C1225 234 1 0.000 0.000

P ES U0P1225 0 0 157.500 169.0001,230.00 C ES U0C1230 148 0 0.000 0.000

P ES U0P1230 0 0 161.250 172.7501,240.00 C ES U0C1240 364 0 0.000 0.000

P ES U0P1240 0 0 169.000 180.5001,250.00 C ES U0C1250 438 3 0.000 0.000

P ES U0P1250 0 0 0.000 0.0001,260.00 C ES U0C1260 108 3 0.000 0.000

P ES U0P1260 0 0 0.000 0.0001,270.00 C ES U0C1270 417 1 0.000 0.000

P ES U0P1270 0 0 0.000 0.0001,275.00 C ES U0C1275 7 1 0.000 0.000

P ES U0P1275 0 0 0.000 0.0001,280.00 C ES U0C1280 545 0 0.000 0.000

P ES U0P1280 0 0 0.000 0.0001,290.00 C ES U0C1290 216 0 0.000 0.000

P ES U0P1290 0 0 0.000 0.0001,300.00 C ES U0C1300 565 27 0.000 0.000

P ES U0P1300 0 0 0.000 0.0001,310.00 C ES U0C1310 2 1 0.000 0.000

P ES U0P1310 0 0 0.000 0.0001,320.00 C ES U0C1320 1 1 0.000 0.000

P ES U0P1320 0 0 0.000 0.0001,325.00 C ES U0C1325 11 1 0.000 0.000

P ES U0P1325 0 0 0.000 0.0001,330.00 C ES U0C1330 1 1 0.000 0.000

P ES U0P1330 0 0 0.000 0.0001,340.00 C ES U0C1340 0 0 1.050 9.750

P ES U0P1340 0 0 0.000 0.0001,350.00 C ES U0C1350 111 3 0.000 0.000

P ES U0P1350 0 0 0.000 0.0001,375.00 C ES U0C1375 12 1 0.000 0.000

P ES U0P1375 0 0 0.000 0.0001,400.00 C ES U0C1400 159 1 0.000 0.000

P ES U0P1400 0 0 0.000 0.0001,425.00 C ES U0C1425 89 4 0.000 0.000

P ES U0P1425 0 0 0.000 0.0001,450.00 C ES U0C1450 9 9 0.000 0.000

P ES U0P1450 0 0 0.000 0.0001,475.00 C ES U0C1475 718 418 0.000 0.000

P ES U0P1475 0 0 0.000 0.0001,500.00 C ES U0C1500 363 10 0.000 0.000

P ES U0P1500 0 0 0.000 0.0001,525.00 C ES U0C1525 456 0 0.000 0.000

P ES U0P1525 0 0 0.000 0.0001,550.00 C ES U0C1550 50 0 0.000 0.000

P ES U0P1550 0 0 0.000 0.0001,575.00 C ES U0C1575 2 0 0.000 0.000

P ES U0P1575 0 0 0.000 0.0001,600.00 C ES U0C1600 0 0 0.050 1.200

P ES U0P1600 0 0 0.000 0.0001,625.00 C ES U0C1625 0 0 0.000 2.050

P ES U0P1625 0 0 0.000 0.0001,650.00 C ES U0C1650 0 0 0.000 14.250

P ES U0P1650 0 0 0.000 0.000

17-Dec-10 550.00 P ES Z0P550 107 2 0.000 0.000575.00 C ES Z0C575 0 0 0.000 0.000

P ES Z0P575 515 195 0.000 0.000600.00 C ES Z0C600 0 0 0.000 0.000

P ES Z0P600 339 51 0.000 0.000625.00 C ES Z0C625 0 0 0.000 0.000

P ES Z0P625 296 1 0.000 0.000650.00 C ES Z0C650 0 0 0.000 0.000

P ES Z0P650 164 23 0.000 0.000675.00 C ES Z0C675 0 0 0.000 0.000

P ES Z0P675 65 15 0.000 0.000700.00 C ES Z0C700 0 0 0.000 0.000

P ES Z0P700 5,073 116 0.000 0.000725.00 C ES Z0C725 0 0 0.000 0.000

P ES Z0P725 745 4 0.000 0.000750.00 C ES Z0C750 0 0 0.000 0.000

P ES Z0P750 293 1 0.000 0.000775.00 C ES Z0C775 0 0 0.000 0.000

P ES Z0P775 364 144 0.000 0.000800.00 C ES Z0C800 0 0 0.000 0.000

P ES Z0P800 293 1 0.000 0.000825.00 C ES Z0C825 0 0 0.000 0.000

P ES Z0P825 13 3 0.000 0.000850.00 C ES Z0C850 0 0 0.000 0.000

P ES Z0P850 42 1 0.000 0.000860.00 P ES Z0P860 0 0 23.250 28.500870.00 P ES Z0P870 0 0 24.750 30.250875.00 C ES Z0C875 0 0 0.000 0.000

P ES Z0P875 15 2 0.000 0.000880.00 C ES Z0C880 0 0 0.000 0.000

P ES Z0P880 6 1 0.000 0.000890.00 C ES Z0C890 0 0 0.000 0.000

P ES Z0P890 0 0 26.000 35.750900.00 C ES Z0C900 0 0 0.000 0.000

P ES Z0P900 385 101 0.000 0.000910.00 C ES Z0C910 0 0 190.250 200.000

P ES Z0P910 8 2 0.000 0.000920.00 C ES Z0C920 0 0 182.750 192.500

P ES Z0P920 0 0 31.750 41.500925.00 C ES Z0C925 0 0 178.750 188.500

P ES Z0P925 105 2 0.000 0.000930.00 C ES Z0C930 0 0 174.750 184.500

P ES Z0P930 0 0 33.750 43.500940.00 C ES Z0C940 0 0 170.750 173.750

P ES Z0P940 0 0 36.000 45.750950.00 C ES Z0C950 0 0 0.000 0.000

P ES Z0P950 174 3 0.000 0.000960.00 C ES Z0C960 0 0 0.000 0.000

P ES Z0P960 99 99 0.000 0.000970.00 C ES Z0C970 0 0 154.250 165.500

P ES Z0P970 20 20 0.000 0.000975.00 C ES Z0C975 0 0 0.000 0.000

P ES Z0P975 510 510 0.000 0.000980.00 C ES Z0C980 0 0 147.000 158.250

P ES Z0P980 0 0 46.000 55.750990.00 C ES Z0C990 0 0 140.000 151.000

P ES Z0P990 106 43 0.000 0.0001,000.00 C ES Z0C1000 200 200 0.000 0.000

P ES Z0P1000 135 20 0.000 0.0001,010.00 C ES Z0C1010 0 0 126.000 137.000

P ES Z0P1010 0 0 54.750 64.5001,020.00 C ES Z0C1020 0 0 0.000 0.000

P ES Z0P1020 0 0 0.000 0.0001,025.00 C ES Z0C1025 0 0 0.000 0.000

P ES Z0P1025 2 2 0.000 0.0001,030.00 C ES Z0C1030 0 0 112.750 123.500

P ES Z0P1030 0 0 61.750 71.0001,040.00 C ES Z0C1040 0 0 106.500 117.000

P ES Z0P1040 0 0 65.250 74.5001,050.00 C ES Z0C1050 1 1 0.000 0.000

P ES Z0P1050 112 10 0.000 0.0001,060.00 C ES Z0C1060 0 0 94.000 104.250

P ES Z0P1060 0 0 73.000 83.0001,070.00 C ES Z0C1070 8 6 0.000 0.000

P ES Z0P1070 0 0 0.000 0.0001,075.00 C ES Z0C1075 0 0 0.000 0.000

P ES Z0P1075 5 5 0.000 0.0001,080.00 C ES Z0C1080 1 1 0.000 0.000

P ES Z0P1080 96 1 0.000 0.0001,090.00 C ES Z0C1090 4 4 0.000 0.000

P ES Z0P1090 1 1 0.000 0.0001,100.00 C ES Z0C1100 207 2 0.000 0.000

P ES Z0P1100 113 10 0.000 0.0001,110.00 C ES Z0C1110 2 1 0.000 0.000

P ES Z0P1110 3 1 0.000 0.0001,120.00 C ES Z0C1120 1 1 0.000 0.000

P ES Z0P1120 1 1 0.000 0.0001,125.00 C ES Z0C1125 98 20 0.000 0.000

P ES Z0P1125 98 20 0.000 0.0001,130.00 C ES Z0C1130 0 0 57.000 66.500

P ES Z0P1130 0 0 103.750 115.2501,140.00 C ES Z0C1140 0 0 0.000 0.000

P ES Z0P1140 96 25 0.000 0.0001,150.00 C ES Z0C1150 54 20 0.000 0.000

P ES Z0P1150 0 0 114.500 126.5001,160.00 C ES Z0C1160 1 1 0.000 0.000

P ES Z0P1160 0 0 120.250 132.5001,170.00 C ES Z0C1170 0 0 39.750 49.500

P ES Z0P1170 0 0 126.000 138.5001,175.00 C ES Z0C1175 2 1 0.000 0.000

P ES Z0P1175 101 0 0.000 0.0001,180.00 C ES Z0C1180 176 76 0.000 0.000

P ES Z0P1180 0 0 144.250 154.0001,190.00 C ES Z0C1190 77 77 0.000 0.000

P ES Z0P1190 0 0 151.000 160.7501,200.00 C ES Z0C1200 270 1 0.000 0.000

P ES Z0P1200 8 5 0.000 0.0001,210.00 C ES Z0C1210 12 12 0.000 0.000

P ES Z0P1210 0 0 165.000 174.7501,220.00 C ES Z0C1220 10 12 0.000 0.000

P ES Z0P1220 0 0 172.000 181.7501,225.00 C ES Z0C1225 117 76 0.000 0.000

P ES Z0P1225 0 0 175.750 185.5001,230.00 C ES Z0C1230 0 0 20.250 30.000

P ES Z0P1230 0 0 179.500 189.2501,240.00 C ES Z0C1240 1 1 0.000 0.000

P ES Z0P1240 0 0 181.500 194.5001,250.00 C ES Z0C1250 212 2 0.000 0.000

P ES Z0P1250 0 0 189.000 202.0001,260.00 C ES Z0C1260 249 2 0.000 0.000

P ES Z0P1260 0 0 0.000 0.0001,270.00 C ES Z0C1270 0 0 11.250 21.000

P ES Z0P1270 0 0 0.000 0.0001,275.00 C ES Z0C1275 97 50 0.000 0.000

P ES Z0P1275 0 0 0.000 0.0001,280.00 C ES Z0C1280 145 30 0.000 0.000

P ES Z0P1280 0 0 0.000 0.0001,290.00 C ES Z0C1290 0 0 0.000 0.000

P ES Z0P1290 0 0 0.000 0.0001,300.00 C ES Z0C1300 51 1 0.000 0.000

P ES Z0P1300 0 0 0.000 0.0001,310.00 C ES Z0C1310 0 0 5.000 14.750

P ES Z0P1310 0 0 0.000 0.0001,320.00 C ES Z0C1320 0 0 3.750 13.500

P ES Z0P1320 0 0 0.000 0.0001,325.00 C ES Z0C1325 374 4 0.000 0.000

P ES Z0P1325 0 0 0.000 0.0001,330.00 C ES Z0C1330 0 0 2.700 12.500

P ES Z0P1330 0 0 0.000 0.0001,340.00 C ES Z0C1340 0 0 1.700 11.500

P ES Z0P1340 0 0 0.000 0.0001,350.00 C ES Z0C1350 591 1 0.000 0.000

P ES Z0P1350 0 0 0.000 0.0001,375.00 C ES Z0C1375 100 34 0.000 0.000

P ES Z0P1375 0 0 0.000 0.0001,400.00 C ES Z0C1400 175 1 0.000 0.000

P ES Z0P1400 0 0 0.000 0.0001,425.00 C ES Z0C1425 11 1 0.000 0.000

P ES Z0P1425 0 0 0.000 0.0001,450.00 C ES Z0C1450 1,036 2 0.000 0.000

P ES Z0P1450 0 0 0.000 0.0001,475.00 C ES Z0C1475 99 33 0.000 0.000

P ES Z0P1475 0 0 0.000 0.0001,500.00 C ES Z0C1500 2 1 0.000 0.000

P ES Z0P1500 0 0 0.000 0.0001,525.00 C ES Z0C1525 0 0 0.200 9.750

P ES Z0P1525 0 0 0.000 0.0001,550.00 C ES Z0C1550 0 0 0.050 9.750

P ES Z0P1550 0 0 0.000 0.0001,575.00 C ES Z0C1575 0 0 0.050 9.750

P ES Z0P1575 0 0 0.000 0.0001,600.00 C ES Z0C1600 0 0 0.050 9.750

P ES Z0P1600 0 0 0.000 0.0001,625.00 C ES Z0C1625 0 0 0.000 14.250

P ES Z0P1625 0 0 0.000 0.0001,650.00 C ES Z0C1650 0 0 0.000 14.250

P ES Z0P1650 0 0 0.000 0.000

Real-time futures option chain providers

U/L Futures U/L FuturesLast Contract Futures Option Description Price

0.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00

642.500 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00











492.500 ES H0 CME E-mini S&P 500 futures option 1,094.00

eSignal

Help - Futures Options



























0.100 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.100 ES H0 CME E-mini S&P 500 futures option 1,094.00













































9.800 ES H0 CME E-mini S&P 500 futures option 1,094.0027.500 ES H0 CME E-mini S&P 500 futures option 1,094.0011.000 ES H0 CME E-mini S&P 500 futures option 1,094.0024.000 ES H0 CME E-mini S&P 500 futures option 1,094.0012.500 ES H0 CME E-mini S&P 500 futures option 1,094.0020.700 ES H0 CME E-mini S&P 500 futures option 1,094.0014.000 ES H0 CME E-mini S&P 500 futures option 1,094.0018.000 ES H0 CME E-mini S&P 500 futures option 1,094.0016.200 ES H0 CME E-mini S&P 500 futures option 1,094.0015.250 ES H0 CME E-mini S&P 500 futures option 1,094.0018.750 ES H0 CME E-mini S&P 500 futures option 1,094.0012.300 ES H0 CME E-mini S&P 500 futures option 1,094.0020.900 ES H0 CME E-mini S&P 500 futures option 1,094.0010.750 ES H0 CME E-mini S&P 500 futures option 1,094.0023.700 ES H0 CME E-mini S&P 500 futures option 1,094.00



































138.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00










303.600 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00

403.600 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00

482.500 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00











































































81.400 ES H0 CME E-mini S&P 500 futures option 1,094.0010.100 ES H0 CME E-mini S&P 500 futures option 1,094.0077.200 ES H0 CME E-mini S&P 500 futures option 1,094.0010.900 ES H0 CME E-mini S&P 500 futures option 1,094.0073.100 ES H0 CME E-mini S&P 500 futures option 1,094.0011.500 ES H0 CME E-mini S&P 500 futures option 1,094.0069.100 ES H0 CME E-mini S&P 500 futures option 1,094.0013.000 ES H0 CME E-mini S&P 500 futures option 1,094.0065.100 ES H0 CME E-mini S&P 500 futures option 1,094.0013.800 ES H0 CME E-mini S&P 500 futures option 1,094.0061.200 ES H0 CME E-mini S&P 500 futures option 1,094.0014.900 ES H0 CME E-mini S&P 500 futures option 1,094.00

57.400 ES H0 CME E-mini S&P 500 futures option 1,094.0016.000 ES H0 CME E-mini S&P 500 futures option 1,094.0053.700 ES H0 CME E-mini S&P 500 futures option 1,094.0017.300 ES H0 CME E-mini S&P 500 futures option 1,094.0050.000 ES H0 CME E-mini S&P 500 futures option 1,094.0018.600 ES H0 CME E-mini S&P 500 futures option 1,094.0046.500 ES H0 CME E-mini S&P 500 futures option 1,094.0020.100 ES H0 CME E-mini S&P 500 futures option 1,094.0043.000 ES H0 CME E-mini S&P 500 futures option 1,094.0021.600 ES H0 CME E-mini S&P 500 futures option 1,094.0040.000 ES H0 CME E-mini S&P 500 futures option 1,094.0024.000 ES H0 CME E-mini S&P 500 futures option 1,094.0036.400 ES H0 CME E-mini S&P 500 futures option 1,094.0025.000 ES H0 CME E-mini S&P 500 futures option 1,094.0033.200 ES H0 CME E-mini S&P 500 futures option 1,094.0026.800 ES H0 CME E-mini S&P 500 futures option 1,094.0030.250 ES H0 CME E-mini S&P 500 futures option 1,094.0028.500 ES H0 CME E-mini S&P 500 futures option 1,094.0027.300 ES H0 CME E-mini S&P 500 futures option 1,094.0030.900 ES H0 CME E-mini S&P 500 futures option 1,094.0024.600 ES H0 CME E-mini S&P 500 futures option 1,094.0033.200 ES H0 CME E-mini S&P 500 futures option 1,094.0022.100 ES H0 CME E-mini S&P 500 futures option 1,094.0035.700 ES H0 CME E-mini S&P 500 futures option 1,094.0019.700 ES H0 CME E-mini S&P 500 futures option 1,094.0038.300 ES H0 CME E-mini S&P 500 futures option 1,094.0017.500 ES H0 CME E-mini S&P 500 futures option 1,094.0041.250 ES H0 CME E-mini S&P 500 futures option 1,094.0015.400 ES H0 CME E-mini S&P 500 futures option 1,094.0044.000 ES H0 CME E-mini S&P 500 futures option 1,094.0013.500 ES H0 CME E-mini S&P 500 futures option 1,094.0047.100 ES H0 CME E-mini S&P 500 futures option 1,094.0011.800 ES H0 CME E-mini S&P 500 futures option 1,094.0050.400 ES H0 CME E-mini S&P 500 futures option 1,094.0010.200 ES H0 CME E-mini S&P 500 futures option 1,094.0053.800 ES H0 CME E-mini S&P 500 futures option 1,094.00





























0.100 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.050 ES H0 CME E-mini S&P 500 futures option 1,094.00















0.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.000.000 ES H0 CME E-mini S&P 500 futures option 1,094.00

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50

637.750 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50








458.000 ES M0 CME E-mini S&P 500 futures option 1,088.50




0.450 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.500 ES M0 CME E-mini S&P 500 futures option 1,088.50







































0.000 ES M0 CME E-mini S&P 500 futures option 1,088.5014.900 ES M0 CME E-mini S&P 500 futures option 1,088.5097.200 ES M0 CME E-mini S&P 500 futures option 1,088.5015.700 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.5016.600 ES M0 CME E-mini S&P 500 futures option 1,088.5089.100 ES M0 CME E-mini S&P 500 futures option 1,088.5017.600 ES M0 CME E-mini S&P 500 futures option 1,088.5085.100 ES M0 CME E-mini S&P 500 futures option 1,088.5018.600 ES M0 CME E-mini S&P 500 futures option 1,088.5081.200 ES M0 CME E-mini S&P 500 futures option 1,088.5019.700 ES M0 CME E-mini S&P 500 futures option 1,088.50




105.500 ES M0 CME E-mini S&P 500 futures option 1,088.5024.600 ES M0 CME E-mini S&P 500 futures option 1,088.5062.600 ES M0 CME E-mini S&P 500 futures option 1,088.5026.100 ES M0 CME E-mini S&P 500 futures option 1,088.5059.100 ES M0 CME E-mini S&P 500 futures option 1,088.50

27.600 ES M0 CME E-mini S&P 500 futures option 1,088.5055.700 ES M0 CME E-mini S&P 500 futures option 1,088.5029.100 ES M0 CME E-mini S&P 500 futures option 1,088.5052.400 ES M0 CME E-mini S&P 500 futures option 1,088.5030.800 ES M0 CME E-mini S&P 500 futures option 1,088.5049.100 ES M0 CME E-mini S&P 500 futures option 1,088.5032.500 ES M0 CME E-mini S&P 500 futures option 1,088.5045.900 ES M0 CME E-mini S&P 500 futures option 1,088.5034.300 ES M0 CME E-mini S&P 500 futures option 1,088.5042.800 ES M0 CME E-mini S&P 500 futures option 1,088.5036.200 ES M0 CME E-mini S&P 500 futures option 1,088.5039.800 ES M0 CME E-mini S&P 500 futures option 1,088.5038.200 ES M0 CME E-mini S&P 500 futures option 1,088.5036.900 ES M0 CME E-mini S&P 500 futures option 1,088.5040.300 ES M0 CME E-mini S&P 500 futures option 1,088.5034.200 ES M0 CME E-mini S&P 500 futures option 1,088.5042.600 ES M0 CME E-mini S&P 500 futures option 1,088.5031.500 ES M0 CME E-mini S&P 500 futures option 1,088.5044.900 ES M0 CME E-mini S&P 500 futures option 1,088.5029.000 ES M0 CME E-mini S&P 500 futures option 1,088.5047.400 ES M0 CME E-mini S&P 500 futures option 1,088.5026.600 ES M0 CME E-mini S&P 500 futures option 1,088.5050.000 ES M0 CME E-mini S&P 500 futures option 1,088.5024.300 ES M0 CME E-mini S&P 500 futures option 1,088.5052.600 ES M0 CME E-mini S&P 500 futures option 1,088.5022.100 ES M0 CME E-mini S&P 500 futures option 1,088.5055.400 ES M0 CME E-mini S&P 500 futures option 1,088.5020.100 ES M0 CME E-mini S&P 500 futures option 1,088.5058.400 ES M0 CME E-mini S&P 500 futures option 1,088.5018.200 ES M0 CME E-mini S&P 500 futures option 1,088.5061.500 ES M0 CME E-mini S&P 500 futures option 1,088.5016.400 ES M0 CME E-mini S&P 500 futures option 1,088.5064.700 ES M0 CME E-mini S&P 500 futures option 1,088.5014.700 ES M0 CME E-mini S&P 500 futures option 1,088.5068.000 ES M0 CME E-mini S&P 500 futures option 1,088.5013.100 ES M0 CME E-mini S&P 500 futures option 1,088.5071.400 ES M0 CME E-mini S&P 500 futures option 1,088.5011.700 ES M0 CME E-mini S&P 500 futures option 1,088.5075.000 ES M0 CME E-mini S&P 500 futures option 1,088.5010.300 ES M0 CME E-mini S&P 500 futures option 1,088.5054.000 ES M0 CME E-mini S&P 500 futures option 1,088.50

































362.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.050 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.050 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.100 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.150 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.200 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.400 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.550 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.750 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.950 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.100 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.250 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.600 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.700 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.850 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.050 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.300 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.650 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.050 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.350 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.700 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.250 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.900 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.505.400 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.505.900 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.506.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.506.800 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.507.200 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.508.600 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.509.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50






















33.900 ES M0 CME E-mini S&P 500 futures option 1,088.5072.000 ES M0 CME E-mini S&P 500 futures option 1,088.5035.500 ES M0 CME E-mini S&P 500 futures option 1,088.5068.600 ES M0 CME E-mini S&P 500 futures option 1,088.5037.100 ES M0 CME E-mini S&P 500 futures option 1,088.5065.200 ES M0 CME E-mini S&P 500 futures option 1,088.5038.700 ES M0 CME E-mini S&P 500 futures option 1,088.5062.000 ES M0 CME E-mini S&P 500 futures option 1,088.5040.500 ES M0 CME E-mini S&P 500 futures option 1,088.5058.900 ES M0 CME E-mini S&P 500 futures option 1,088.5042.300 ES M0 CME E-mini S&P 500 futures option 1,088.5055.700 ES M0 CME E-mini S&P 500 futures option 1,088.5044.100 ES M0 CME E-mini S&P 500 futures option 1,088.5052.600 ES M0 CME E-mini S&P 500 futures option 1,088.5046.000 ES M0 CME E-mini S&P 500 futures option 1,088.5049.600 ES M0 CME E-mini S&P 500 futures option 1,088.5048.000 ES M0 CME E-mini S&P 500 futures option 1,088.5046.700 ES M0 CME E-mini S&P 500 futures option 1,088.5050.100 ES M0 CME E-mini S&P 500 futures option 1,088.5043.900 ES M0 CME E-mini S&P 500 futures option 1,088.5052.300 ES M0 CME E-mini S&P 500 futures option 1,088.5041.200 ES M0 CME E-mini S&P 500 futures option 1,088.5054.600 ES M0 CME E-mini S&P 500 futures option 1,088.5038.600 ES M0 CME E-mini S&P 500 futures option 1,088.5057.000 ES M0 CME E-mini S&P 500 futures option 1,088.5036.100 ES M0 CME E-mini S&P 500 futures option 1,088.5059.400 ES M0 CME E-mini S&P 500 futures option 1,088.5033.700 ES M0 CME E-mini S&P 500 futures option 1,088.5062.000 ES M0 CME E-mini S&P 500 futures option 1,088.5031.400 ES M0 CME E-mini S&P 500 futures option 1,088.50

64.700 ES M0 CME E-mini S&P 500 futures option 1,088.5029.200 ES M0 CME E-mini S&P 500 futures option 1,088.5067.500 ES M0 CME E-mini S&P 500 futures option 1,088.5027.200 ES M0 CME E-mini S&P 500 futures option 1,088.5025.200 ES M0 CME E-mini S&P 500 futures option 1,088.5023.200 ES M0 CME E-mini S&P 500 futures option 1,088.5021.400 ES M0 CME E-mini S&P 500 futures option 1,088.5019.700 ES M0 CME E-mini S&P 500 futures option 1,088.5018.100 ES M0 CME E-mini S&P 500 futures option 1,088.5016.500 ES M0 CME E-mini S&P 500 futures option 1,088.5015.000 ES M0 CME E-mini S&P 500 futures option 1,088.5013.600 ES M0 CME E-mini S&P 500 futures option 1,088.5012.400 ES M0 CME E-mini S&P 500 futures option 1,088.5011.300 ES M0 CME E-mini S&P 500 futures option 1,088.5010.200 ES M0 CME E-mini S&P 500 futures option 1,088.50

9.200 ES M0 CME E-mini S&P 500 futures option 1,088.508.300 ES M0 CME E-mini S&P 500 futures option 1,088.507.400 ES M0 CME E-mini S&P 500 futures option 1,088.506.600 ES M0 CME E-mini S&P 500 futures option 1,088.505.900 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.505.200 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.600 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.100 ES M0 CME E-mini S&P 500 futures option 1,088.50


146.700 ES M0 CME E-mini S&P 500 futures option 1,088.503.150 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.800 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.450 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.850 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.350 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.150 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.700 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.250 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.150 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.100 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.050 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.050 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.100 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.150 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.200 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.300 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.400 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.550 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.750 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.950 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.200 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.550 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.650 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.501.800 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.200 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.400 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.650 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.502.900 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.150 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.450 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.750 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.503.900 ES M0 CME E-mini S&P 500 futures option 1,088.50


295.700 ES M0 CME E-mini S&P 500 futures option 1,088.504.900 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.505.300 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.505.800 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.506.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.506.300 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.506.900 ES M0 CME E-mini S&P 500 futures option 1,088.50




























114.500 ES M0 CME E-mini S&P 500 futures option 1,088.5041.500 ES M0 CME E-mini S&P 500 futures option 1,088.5074.600 ES M0 CME E-mini S&P 500 futures option 1,088.5043.100 ES M0 CME E-mini S&P 500 futures option 1,088.5071.400 ES M0 CME E-mini S&P 500 futures option 1,088.5044.900 ES M0 CME E-mini S&P 500 futures option 1,088.5068.200 ES M0 CME E-mini S&P 500 futures option 1,088.5046.700 ES M0 CME E-mini S&P 500 futures option 1,088.5065.000 ES M0 CME E-mini S&P 500 futures option 1,088.5048.500 ES M0 CME E-mini S&P 500 futures option 1,088.5062.000 ES M0 CME E-mini S&P 500 futures option 1,088.5050.400 ES M0 CME E-mini S&P 500 futures option 1,088.5058.900 ES M0 CME E-mini S&P 500 futures option 1,088.5052.300 ES M0 CME E-mini S&P 500 futures option 1,088.5055.900 ES M0 CME E-mini S&P 500 futures option 1,088.5054.300 ES M0 CME E-mini S&P 500 futures option 1,088.5053.000 ES M0 CME E-mini S&P 500 futures option 1,088.5056.400 ES M0 CME E-mini S&P 500 futures option 1,088.5050.200 ES M0 CME E-mini S&P 500 futures option 1,088.5058.600 ES M0 CME E-mini S&P 500 futures option 1,088.5047.500 ES M0 CME E-mini S&P 500 futures option 1,088.5060.900 ES M0 CME E-mini S&P 500 futures option 1,088.5044.900 ES M0 CME E-mini S&P 500 futures option 1,088.5063.200 ES M0 CME E-mini S&P 500 futures option 1,088.5042.400 ES M0 CME E-mini S&P 500 futures option 1,088.5065.700 ES M0 CME E-mini S&P 500 futures option 1,088.5039.900 ES M0 CME E-mini S&P 500 futures option 1,088.5068.200 ES M0 CME E-mini S&P 500 futures option 1,088.5037.600 ES M0 CME E-mini S&P 500 futures option 1,088.5070.900 ES M0 CME E-mini S&P 500 futures option 1,088.5035.300 ES M0 CME E-mini S&P 500 futures option 1,088.5073.600 ES M0 CME E-mini S&P 500 futures option 1,088.5033.100 ES M0 CME E-mini S&P 500 futures option 1,088.50






















6.800 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.506.100 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.505.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.950 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.504.400 ES M0 CME E-mini S&P 500 futures option 1,088.50




209.300 ES M0 CME E-mini S&P 500 futures option 1,088.500.950 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.700 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.600 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.500 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.350 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.250 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.100 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.050 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.500.000 ES M0 CME E-mini S&P 500 futures option 1,088.50

0.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.900 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.701.100 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.701.400 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.701.800 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.702.300 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.702.900 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.70

3.600 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.704.450 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.705.400 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.706.500 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.707.900 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.709.400 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.70

11.200 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.70





























54.700 ES U0 CME E-mini S&P 500 futures option 1,086.7094.600 ES U0 CME E-mini S&P 500 futures option 1,086.7058.100 ES U0 CME E-mini S&P 500 futures option 1,086.7088.300 ES U0 CME E-mini S&P 500 futures option 1,086.7061.700 ES U0 CME E-mini S&P 500 futures option 1,086.7082.100 ES U0 CME E-mini S&P 500 futures option 1,086.7065.500 ES U0 CME E-mini S&P 500 futures option 1,086.7079.100 ES U0 CME E-mini S&P 500 futures option 1,086.7067.500 ES U0 CME E-mini S&P 500 futures option 1,086.7076.300 ES U0 CME E-mini S&P 500 futures option 1,086.7069.600 ES U0 CME E-mini S&P 500 futures option 1,086.7070.500 ES U0 CME E-mini S&P 500 futures option 1,086.7073.800 ES U0 CME E-mini S&P 500 futures option 1,086.7065.000 ES U0 CME E-mini S&P 500 futures option 1,086.7078.200 ES U0 CME E-mini S&P 500 futures option 1,086.7059.800 ES U0 CME E-mini S&P 500 futures option 1,086.7083.000 ES U0 CME E-mini S&P 500 futures option 1,086.7054.800 ES U0 CME E-mini S&P 500 futures option 1,086.7071.000 ES U0 CME E-mini S&P 500 futures option 1,086.7052.500 ES U0 CME E-mini S&P 500 futures option 1,086.7090.600 ES U0 CME E-mini S&P 500 futures option 1,086.7050.200 ES U0 CME E-mini S&P 500 futures option 1,086.7093.300 ES U0 CME E-mini S&P 500 futures option 1,086.7045.700 ES U0 CME E-mini S&P 500 futures option 1,086.7098.700 ES U0 CME E-mini S&P 500 futures option 1,086.7041.400 ES U0 CME E-mini S&P 500 futures option 1,086.70

104.400 ES U0 CME E-mini S&P 500 futures option 1,086.7037.400 ES U0 CME E-mini S&P 500 futures option 1,086.7089.000 ES U0 CME E-mini S&P 500 futures option 1,086.7033.600 ES U0 CME E-mini S&P 500 futures option 1,086.7094.250 ES U0 CME E-mini S&P 500 futures option 1,086.7031.800 ES U0 CME E-mini S&P 500 futures option 1,086.70

119.600 ES U0 CME E-mini S&P 500 futures option 1,086.7030.100 ES U0 CME E-mini S&P 500 futures option 1,086.7099.500 ES U0 CME E-mini S&P 500 futures option 1,086.7026.800 ES U0 CME E-mini S&P 500 futures option 1,086.70









0.000 ES U0 CME E-mini S&P 500 futures option 1,086.709.200 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.708.600 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.707.900 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.706.700 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.705.600 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.704.850 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.704.100 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.703.800 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.703.500 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.708.250 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.702.500 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.701.600 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.950 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.800 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.650 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.550 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.450 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.400 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.350 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.300 ES U0 CME E-mini S&P 500 futures option 1,086.70

0.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.700.000 ES U0 CME E-mini S&P 500 futures option 1,086.70

3.100 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.403.750 ES Z0 CME E-mini S&P 500 futures option 1,082.40

484.700 ES Z0 CME E-mini S&P 500 futures option 1,082.404.550 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.405.500 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.406.700 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.408.000 ES Z0 CME E-mini S&P 500 futures option 1,082.40


11.200 ES Z0 CME E-mini S&P 500 futures option 1,082.40343.500 ES Z0 CME E-mini S&P 500 futures option 1,082.40





24.500 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.40























64.750 ES Z0 CME E-mini S&P 500 futures option 1,082.4093.800 ES Z0 CME E-mini S&P 500 futures option 1,082.4081.500 ES Z0 CME E-mini S&P 500 futures option 1,082.4090.800 ES Z0 CME E-mini S&P 500 futures option 1,082.4083.500 ES Z0 CME E-mini S&P 500 futures option 1,082.4088.000 ES Z0 CME E-mini S&P 500 futures option 1,082.4085.600 ES Z0 CME E-mini S&P 500 futures option 1,082.4082.400 ES Z0 CME E-mini S&P 500 futures option 1,082.4089.900 ES Z0 CME E-mini S&P 500 futures option 1,082.4076.900 ES Z0 CME E-mini S&P 500 futures option 1,082.4094.400 ES Z0 CME E-mini S&P 500 futures option 1,082.4071.800 ES Z0 CME E-mini S&P 500 futures option 1,082.4099.200 ES Z0 CME E-mini S&P 500 futures option 1,082.4066.800 ES Z0 CME E-mini S&P 500 futures option 1,082.40

























15.500 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.406.200 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.404.350 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.403.050 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.402.150 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.401.450 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.401.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.650 ES Z0 CME E-mini S&P 500 futures option 1,082.40

0.000 ES Z0 CME E-mini S&P 500 futures option 1,082.401.400 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.401.050 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.800 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.550 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.400 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.400.300 ES Z0 CME E-mini S&P 500 futures option 1,082.400.000 ES Z0 CME E-mini S&P 500 futures option 1,082.40

eSignalFile

Price History Toolbar and WizardA toolbar and wizard to simplify the download of historical price datafrom Yahoo for multiple ticker symbols.The toolbar and Wizard are only operation in the full version fo the add-in.

ExampleClosing Price History

MSFT IBM ANZ.AX03-Jan-05 24.29 89.49 19.6104-Jan-05 24.38 88.53 19.6805-Jan-05 24.33 88.34 19.5206-Jan-05 24.30 88.07 19.4307-Jan-05 24.23 87.69 19.64 Note: Due to public holidays in different10-Jan-05 24.35 87.59 19.67 markets there are many days where there11-Jan-05 24.28 86.97 19.72 is not a complete set of data across all stocks.12-Jan-05 24.33 87.16 19.7613-Jan-05 23.87 86.47 19.51 This is a normal situation, but it must be 'handled'14-Jan-05 23.73 86.15 19.37 if the prices are to be used to calculate beta,17-Jan-05 19.37 r-squared, correlation matrices etc. 18-Jan-05 23.91 86.88 19.2919-Jan-05 23.60 85.23 19.33 You can use the wizard to impute missing data20-Jan-05 23.49 85.14 19.23 or to remove any row with missing data.21-Jan-05 23.30 84.57 19.2424-Jan-05 23.32 84.03 19.2125-Jan-05 23.64 84.40 19.2726-Jan-05 23.63 84.18 19.2727-Jan-05 23.72 84.21 19.6728-Jan-05 23.78 85.04 19.5731-Jan-05 23.88 85.52 19.6101-Feb-05 23.98 85.93 19.5302-Feb-05 24.04 86.33 19.7203-Feb-05 23.78 85.63 19.5304-Feb-05 23.91 86.52 19.7607-Feb-05 23.77 86.54 19.7708-Feb-05 23.84 86.34 19.6709-Feb-05 23.68 85.03 19.9310-Feb-05 23.68 85.08 20.7911-Feb-05 23.59 85.58 20.6214-Feb-05 23.63 85.83 20.1815-Feb-05 23.63 86.52 20.1916-Feb-05 23.50 86.79 20.3817-Feb-05 23.38 85.99 20.2118-Feb-05 23.22 85.55 20.2321-Feb-05 20.1422-Feb-05 22.99 84.68 20.5623-Feb-05 22.97 84.48 20.2924-Feb-05 23.12 84.97 20.1125-Feb-05 23.01 85.12 20.3728-Feb-05 22.93 84.92 20.3601-Mar-05 23.04 85.58 20.2902-Mar-05 23.02 85.23 20.37

IndexHelp

03-Mar-05 22.94 84.76 20.5404-Mar-05 22.94 84.72 20.7707-Mar-05 23.21 84.02 20.7208-Mar-05 23.15 84.50 20.7209-Mar-05 23.07 84.71 20.7310-Mar-05 23.17 84.76 20.5411-Mar-05 22.86 83.94 20.3714-Mar-05 22.88 84.29 20.4515-Mar-05 22.70 83.82 20.6516-Mar-05 22.45 83.15 20.7417-Mar-05 22.36 82.42 20.6218-Mar-05 22.15 81.89 20.3921-Mar-05 22.05 82.10 20.3122-Mar-05 21.86 82.09 20.1823-Mar-05 22.04 83.03 19.8924-Mar-05 22.13 83.19 19.8725-Mar-05 19.8728-Mar-05 22.05 83.50 19.8729-Mar-05 21.80 83.10 19.6130-Mar-05 22.02 83.17 19.7231-Mar-05 22.03 83.82 19.6401-Apr-05 21.98 82.95 19.7704-Apr-05 22.08 82.84 19.7305-Apr-05 22.30 82.16 19.8006-Apr-05 22.48 81.63 19.8607-Apr-05 22.87 81.12 19.9108-Apr-05 22.73 80.35 20.0111-Apr-05 22.76 79.07 19.9012-Apr-05 23.07 78.65 20.1213-Apr-05 22.82 77.57 20.2114-Apr-05 22.64 76.72 19.9615-Apr-05 22.29 70.35 19.7818-Apr-05 22.46 70.31 19.6619-Apr-05 22.45 69.23 19.7720-Apr-05 22.16 66.05 19.8121-Apr-05 23.04 67.90 19.8122-Apr-05 22.76 68.07 19.7025-Apr-05 22.77 68.43 19.7026-Apr-05 22.56 69.19 19.7627-Apr-05 22.77 70.67 20.2328-Apr-05 22.28 69.63 20.7729-Apr-05 23.06 70.06 20.55

Price History ClassA component for retrieving the price history of stocks and indicesfrom Yahoo.This function is only available in the full version of the add-in.

ExamplesInputs See the HoadleyPriceMatrix function (under utilities) for

converting a price matrix containing non-trading daysStart Date 01-Jul-05 and missing prices, to a form suitable for input toEnd Date 30-Sep-05 HoadleyBeta, HoadleyCorrel and other functions which

require as input a price matrix with no missing pricies.Frequency D

Include_all_dates 0Errors

Example 1: Single symbol Example 2: Multiple ticker symbol

Ticker symbol MSFT Ticker symbols

Results Results (Adjusted closing prices)Date Open High Low Close Adj Close Date01-Jul-05 24.85 24.99 24.67 24.71 24.21 01-Jul-0505-Jul-05 24.66 25.19 24.62 24.98 24.48 05-Jul-0506-Jul-05 24.97 25.08 24.69 24.70 24.20 06-Jul-0507-Jul-05 24.58 24.71 24.50 24.65 24.16 07-Jul-0508-Jul-05 24.64 25.12 24.63 25.09 24.59 08-Jul-0511-Jul-05 25.15 25.38 25.11 25.29 24.78 11-Jul-0512-Jul-05 25.24 25.62 25.20 25.61 25.10 12-Jul-0513-Jul-05 25.53 25.75 25.48 25.66 25.15 13-Jul-0514-Jul-05 25.79 26.10 25.79 25.97 25.45 14-Jul-0515-Jul-05 26.04 26.10 25.75 25.79 25.27 15-Jul-0518-Jul-05 25.71 25.79 25.55 25.55 25.04 18-Jul-0519-Jul-05 25.79 26.25 25.75 26.16 25.64 19-Jul-0520-Jul-05 26.00 26.23 25.88 26.19 25.66 20-Jul-0521-Jul-05 26.30 26.48 26.00 26.44 25.91 21-Jul-0522-Jul-05 25.99 26.34 25.63 25.68 25.17 22-Jul-0525-Jul-05 25.69 25.90 25.65 25.69 25.17 25-Jul-0526-Jul-05 25.72 25.74 25.53 25.54 25.03 26-Jul-0527-Jul-05 25.61 25.80 25.53 25.72 25.20 27-Jul-0528-Jul-05 25.75 25.85 25.66 25.75 25.23 28-Jul-0529-Jul-05 25.78 26.00 25.59 25.61 25.10 29-Jul-0501-Aug-05 25.81 26.05 25.76 25.92 25.40 01-Aug-0502-Aug-05 25.90 26.90 25.87 26.81 26.27 02-Aug-0503-Aug-05 26.76 27.43 26.73 27.25 26.70 03-Aug-0504-Aug-05 27.16 27.50 27.05 27.32 26.77 04-Aug-0505-Aug-05 27.29 27.94 27.25 27.76 27.20 05-Aug-0508-Aug-05 27.80 27.84 27.08 27.13 26.59 08-Aug-05

IndexHelp

09-Aug-05 27.22 27.51 27.01 27.35 26.80 09-Aug-0510-Aug-05 27.41 27.50 26.85 26.95 26.41 10-Aug-0511-Aug-05 26.98 27.30 26.89 27.27 26.72 11-Aug-0512-Aug-05 27.08 27.14 26.90 27.05 26.51 12-Aug-0515-Aug-05 26.98 27.30 26.69 27.13 26.66 15-Aug-0516-Aug-05 27.03 27.14 26.70 26.74 26.28 16-Aug-0517-Aug-05 26.82 27.15 26.66 26.95 26.49 17-Aug-0518-Aug-05 26.89 27.08 26.80 26.82 26.36 18-Aug-0519-Aug-05 26.85 26.91 26.70 26.72 26.26 19-Aug-0522-Aug-05 26.79 27.17 26.77 26.91 26.45 22-Aug-0523-Aug-05 26.84 27.07 26.74 26.87 26.41 23-Aug-0524-Aug-05 26.84 27.16 26.78 26.81 26.35 24-Aug-0525-Aug-05 26.90 27.09 26.85 27.03 26.57 25-Aug-0526-Aug-05 27.06 27.08 26.87 26.97 26.51 26-Aug-0529-Aug-05 26.81 27.23 26.81 27.15 26.68 29-Aug-0530-Aug-05 27.06 27.23 26.96 27.18 26.71 30-Aug-0531-Aug-05 27.17 27.44 27.04 27.38 26.91 31-Aug-0501-Sep-05 27.38 27.39 27.15 27.20 26.73 01-Sep-0502-Sep-05 27.21 27.27 26.97 27.02 26.56 02-Sep-0506-Sep-05 27.06 27.29 26.98 27.00 26.54 06-Sep-0507-Sep-05 26.94 27.11 26.82 26.85 26.39 07-Sep-0508-Sep-05 26.80 26.88 26.52 26.61 26.15 08-Sep-0509-Sep-05 26.62 26.82 26.53 26.58 26.12 09-Sep-0512-Sep-05 26.62 26.75 26.52 26.61 26.15 12-Sep-0513-Sep-05 26.54 26.76 26.37 26.48 26.03 13-Sep-0514-Sep-05 26.52 26.64 26.30 26.31 25.86 14-Sep-0515-Sep-05 26.37 26.43 26.22 26.27 25.82 15-Sep-0516-Sep-05 26.34 26.40 25.97 26.07 25.62 16-Sep-0519-Sep-05 26.09 26.27 25.86 26.00 25.55 19-Sep-0520-Sep-05 26.07 26.22 25.69 25.84 25.40 20-Sep-0521-Sep-05 25.80 25.90 25.43 25.49 25.05 21-Sep-0522-Sep-05 25.49 25.60 25.15 25.34 24.91 22-Sep-0523-Sep-05 25.31 25.54 25.12 25.27 24.84 23-Sep-0526-Sep-05 25.40 25.49 25.21 25.27 24.84 26-Sep-0527-Sep-05 25.37 25.45 25.30 25.34 24.91 27-Sep-0528-Sep-05 25.39 25.87 25.38 25.67 25.23 28-Sep-0529-Sep-05 25.61 26.00 25.50 25.94 25.50 29-Sep-0530-Sep-05 25.91 25.95 25.61 25.73 25.29 30-Sep-05

See the HoadleyPriceMatrix function (under utilities) forconverting a price matrix containing non-trading daysand missing prices, to a form suitable for input toHoadleyBeta, HoadleyCorrel and other functions whichrequire as input a price matrix with no missing pricies.

OK

Example 2: Multiple ticker symbol

^GSPC XOM MSFT IBM

Results (Adjusted closing prices)^GSPC XOM MSFT IBM1194.44 56.63 24.21 73.331204.99 58.41 24.48 73.451194.94 57.41 24.20 74.451197.87 57.80 24.16 75.991211.86 57.69 24.59 77.871219.44 58.24 24.78 77.541222.21 58.16 25.10 78.601223.29 58.04 25.15 79.991226.50 56.90 25.45 80.941227.92 56.48 25.27 80.901221.13 56.47 25.04 80.341229.35 57.09 25.64 82.201235.20 57.30 25.66 83.081227.04 56.22 25.91 82.881233.68 57.78 25.17 82.921229.03 58.21 25.17 82.691231.16 57.88 25.03 82.611236.79 57.88 25.20 82.361243.72 58.27 25.23 82.291234.18 57.06 25.10 81.961235.35 57.52 25.40 81.931244.12 58.09 26.27 81.811245.04 57.30 26.70 82.551235.86 56.83 26.77 81.631226.42 56.42 27.20 81.861223.13 57.15 26.59 82.06

1231.38 57.75 26.80 82.201229.13 58.46 26.41 80.741237.81 59.48 26.72 81.371230.39 59.58 26.51 80.911233.87 58.97 26.66 81.211219.34 57.65 26.28 80.031220.24 56.78 26.49 80.031219.02 56.71 26.36 79.881219.71 57.40 26.26 81.471221.73 57.65 26.45 81.311217.59 57.58 26.41 80.751209.59 57.46 26.35 80.051212.37 57.76 26.57 79.831205.10 57.00 26.51 79.131212.28 57.01 26.68 80.071208.41 57.20 26.71 79.281220.33 58.46 26.91 79.361221.59 60.20 26.73 78.301218.02 59.22 26.56 78.221233.39 59.59 26.54 79.761236.36 59.98 26.39 79.721231.67 59.82 26.15 79.541241.48 61.68 26.12 80.171240.56 61.02 26.15 80.211231.20 60.38 26.03 79.491227.16 60.97 25.86 79.221227.73 60.96 25.82 78.761237.91 62.17 25.62 79.081231.02 63.07 25.55 78.191221.34 62.98 25.40 77.471210.20 63.41 25.05 76.351214.62 63.42 24.91 76.991215.29 62.29 24.84 76.781215.63 63.05 24.84 76.201215.66 63.06 24.91 76.771216.89 63.14 25.23 78.261227.68 63.24 25.50 79.111228.81 62.01 25.29 78.97

10

DWM

HoadleyRateConConverts a rate or yield from one compounding frequency to another. eg quarterly to continuously compounded.

ExampleInputsRate to be converted 10.000%source_frequ 4target_frequ 0

ResultsConverted rate: #MACRO?

Converted back to original rate: #MACRO?

Index


Help


HoadleyForwardRateReturns the forward rate applying between twotimes (as a continuously compounded return).

ExampleInputsT1: time (eg years) to start of period 3.0T2: time to end of period 5.0R1: zero rate to t1 3.0%R2: zero rate to t2 4.0%

ResultForward rate #MACRO?

Index


Help


HoadleyZeroRateGiven the zero rate to the start of T1 and the forwardrate between T1 and T2, this function returns the implied zero rate to the end of T2.

ExampleInputs Results

0 1 1.00% 1 ### ###1 2 1.00% 2 ### ###2 3 2.00% 3 ### ###3 4 3.50% 4 ### ###4 5 4.00% 5 ### ###5 6 4.00% 6 ### ###6 7 4.00% 7 ### ###

Index

T1: Period Start

T2: Period End

Estimated forward rate for period

Years from start

Implied zero

rates

Convert back to forward

rates


Help


HoadleyInterpolationReturns a single "Y" value for a required "X" value given a set ofknown "X" and "Y" values using cubic spline or linear interpolation.This function is only available in the full version of the add-in.

ExampleInputs

Known_Xs Known_Ys0.500 3.00%1.000 2.00%2.000 1.25%4.000 1.90%7.000 2.00%

Results Cubic Spline Linear

Required_X Interpolated Y Interpolated Y0.25 #MACRO?0.50 #MACRO? #MACRO?1.00 #MACRO? #MACRO?1.50 #MACRO? #MACRO?2.00 #MACRO? #MACRO?2.50 #MACRO? #MACRO?3.00 #MACRO? #MACRO?3.50 #MACRO? #MACRO?4.00 #MACRO? #MACRO?4.50 #MACRO? #MACRO?5.00 #MACRO? #MACRO?5.50 #MACRO? #MACRO?6.00 #MACRO? #MACRO?6.50 #MACRO? #MACRO?7.00 #MACRO? #MACRO?7.50 #MACRO?

Index


0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.000.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%Interpolation

Known

Cubic Sline

Linear

Help


0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.000.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%Interpolation

Known

Cubic Sline

Linear

HoadleyDivConConverts a schedule of discrete dividends to a continuously compounded dividend yieldThis function is only available in the full version of the add-in.

ExampleInputsDeal_date 15-Dec-06Expiry Date 13-Jun-07Spot 63.80Risk free rate 5.75%

Dividends Amt Ex-divDividend 1 1.50 01-Feb-07Dividend 2 2.00 01-May-07

ResultsEffective dividend yield #MACRO?

Assuming a strike of 60.00 and a volatility of 20%:Valuation of European call using discrete dividends #MACRO?Valuation of European call using dividend yield #MACRO?

Index


Help


HoadleyDivAdjustVolReturns a volatility which has been adjusted to reduce mispricing associated with

This function is only available in the full version of the add-in.

ExampleInputsSpot 100.00Volatility 30.0%Days 400Risk_free_rate 6%

Dividends Amt Ex DivDividend 1 1.50 5Dividend 2 2.00 200Dividend 3 2.00 390

Strike 100.00

Results Adj VolAdjusted volatility ###

European AmericanCalls Puts Calls Puts

Option value: No adjustment ### ### ### ###Option value: With volatility adjustment ### ### ### ###For more accurate American valuation, see theHoadleyDivAdjustVolTS function

the escrowed dividend model under certain conditions. The volatility can then be used in option pricing functions when pricing European options with discrete dividends.


Help


HoadleyDivAdjustVolTSReturns a volatility term structure which has been adjusted to reduce mispricing associated

then be used in the HoadleyTrinomialTS function when pricing either European or American

Note that the HoadleyTrinomialTS function is only available under a commercial license.This function is only available in the full version of the add-in.

ExampleInputsSpot 100.00Volatility 30.0%Days 400Risk_free_rate 0 6%

Dividends Amt Ex DivDividend 1 4.00 5Dividend 2 5.00 200Dividend 3 6.00 300

Strike 100.00

Results Year Adj volVolatility adjustment term structure ### ###(used as input to the HoadleyTrinomialTS function) ### ###

### ###### ###### ###### ###### ###

Adjusted volatility using HoadleyDivAdjust ###

European AmericanCalls Puts Calls Puts

Option value: No adjustment ### ### ### ###With vol adjust using HoadleyDivAdjustVol ### ### ### ###With vol adjust using HoadleyDivAdjustVolTS ### ### ### ###

with the escrowed dividend model under certain conditions. The volatility term structure can

options with discrete dividends.

Help

qHoadleyPriceMatrixConverts a matrix of historical closing prices to a form requiredby HoadleyBeta, HoadleyCorrel and other functions which requirea complete data set (ie with no missing prices)This function is only available in the full version of the add-in.

Example

Inputs Results 1: Using the function on the worksheetDate ^GSPC XOM

Method: 2 ### #MACRO? #MACRO?### #MACRO? #MACRO?

Date ^GSPC XOM MSDT IBM ### #MACRO? #MACRO?01-Jul-05 1194.44 58.03 74.49 ### #MACRO? #MACRO?02-Jul-05 1193.46 57.05 24.70 74.50 ### #MACRO? #MACRO?03-Jul-05 ### #MACRO? #MACRO?04-Jul-05 ### #MACRO? #MACRO?05-Jul-05 1204.99 59.85 24.91 74.61 ### #MACRO? #MACRO?06-Jul-05 58.82 24.63 75.63 ### #MACRO? #MACRO?07-Jul-05 1197.87 24.58 77.19 ### #MACRO? #MACRO?08-Jul-05 1211.86 59.11 25.02 79.11 ### #MACRO? #MACRO?09-Jul-0510-Jul-05 Results 2: Calling function in a VBA module11-Jul-05 1219.44 59.68 25.22 78.7712-Jul-05 1222.21 59.60 79.8513-Jul-05 1223.29 59.47 25.58 81.2514-Jul-05 1226.50 25.89 82.2215-Jul-05 1227.92 25.71 82.18 Date ^GSPC XOM

01-Jul-05 1194.44 58.03= missing prices 02-Jul-05 1193.46 57.05

05-Jul-05 1204.99 59.8506-Jul-05 1204.99 58.8207-Jul-05 1197.87 58.8208-Jul-05 1211.86 59.1111-Jul-05 1219.44 59.6812-Jul-05 1222.21 59.6013-Jul-05 1223.29 59.4714-Jul-05 1226.50 59.4715-Jul-05 1227.92 59.47

IndexHelp

Results 1: Using the function on the worksheetMSDT IBM

#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?#MACRO? #MACRO?

Results 2: Calling function in a VBA module

MSDT IBM24.70 74.4924.70 74.5024.91 74.6124.63 75.6324.58 77.1925.02 79.1125.22 78.7725.22 79.8525.58 81.2525.89 82.2225.71 82.18

0123

HoadleyCheckPDChecks that a matrix (correlation, covariance) is positive definite.The VaR simulation component requires positive definite matrices in order togenerate correlated scenarios using the Cholesky decomposition.This function is only available in the full version of the add-in.

ExampleInputs and Results

Matrix

Positive definite 1.0 0.50.5 4.0 #MACRO?

Not positive definite 1.0 2.02.0 4.0 #MACRO?

Index

Positive definite


Help


HoadleyCorrelSimRuns a correlated simulation for two or more assets.This function is only available in the full version of the add-in.

ExamplesExample 1 - Simulation of daily prices: Inputs Example 2 - Simulation of call prices: Inputs

Asset 1 Asset 2 Asset 3Asset_prices 100.00 10.00 25.00 Asset_pricesDividend_yields 5.0% 3.0% 2.5% Dividend_yieldsVolatilities 25.0% 30.0% 15.0% VolatilitiesCorr_matrix Corr_matrix

Asset 1 1.0 0.5 0.3 Asset 1Asset 2 1.0 -0.2 Asset 2Asset 3 1.0 Asset 3

Risk_free_rate 5.50% Risk_free_rateDays 500 Days

Example 1: Verification of results: Strikes:500 days of simulated correlated prices are generated below. IterationsIf the simulation has worked correctly then the volatilities ofthe data measured by the HoadleyHistoricVolatility functionshould be close to the volatilities used in the simulation, and Example 2: Resultsthe correlation of the generated prices as measured by the Using the HoadleyCorrelSim function to simulate the value ofHoadleyCorrel function should be close to the correlation European calls proves that the prices generated are lognormallymatrix used in the simulation. distributed as they converge to the Black-Scholes prices

as the number of iterations increases.Asset 1 Asset 2 Asset 3

Volatilities of simulated prices: ### ### ###Simulated Euro call pricesBlack-Scholes prices

Correlation of simulated prices: Asset 1 Asset 2 Asset 3Asset 1 ### ### ###Asset 2 ### ### ### Example 3 - Simulation of a spread option: InputsAsset 3 ### ### ### Price_1

Price_2Example 1: Correlated daily prices: Strike

Asset 1 Asset 2 Asset 3 Days100.00 10.00 25.00 Volatility_1

99.61 10.11 25.14 Volatility_299.37 10.18 25.15 Risk_free_rate99.96 9.93 25.36 Div_yield_1

101.38 10.17 25.14 Div_yield_2103.44 10.27 25.49 Correlation104.41 10.25 25.59100.79 9.92 25.51 Iterations101.24 9.75 25.65

99.32 9.56 25.9499.54 9.54 26.42 Example 3: Results97.74 9.17 26.03 This example shows how the function can be used to simulate96.15 9.01 26.41 option values that depend on the correlation between two or

IndexHelp

96.33 9.14 26.09 more assets.97.00 8.97 26.1697.24 8.97 26.23 Simulated spread call option97.44 8.94 26.32 Value using the HoadleySpreadOption function99.52 9.03 26.24

100.14 9.19 26.29101.83 9.41 26.55103.53 9.42 26.66103.68 9.48 26.80105.64 9.64 26.76106.42 9.87 26.61105.28 9.78 26.58103.55 9.46 26.54103.30 9.33 26.69101.59 9.23 26.79100.39 9.04 27.15100.40 9.14 27.27100.69 9.12 27.26

98.52 9.11 27.24100.04 9.42 27.11

99.64 9.42 26.98100.19 9.22 27.09

99.57 9.06 27.0299.50 9.29 26.9999.21 9.25 26.9998.75 9.40 26.5096.79 9.53 26.2498.08 9.59 26.4996.87 9.39 26.4897.72 9.30 26.6798.21 9.25 26.88

100.17 9.57 26.9699.57 9.51 26.86

100.92 9.75 27.10101.95 9.77 27.17101.13 9.71 27.07100.92 9.92 26.86102.31 9.90 26.99103.53 9.96 27.17103.99 9.89 27.33106.57 10.04 27.59108.42 10.17 27.47106.21 10.09 27.50106.11 10.35 27.24105.74 10.21 27.36104.71 9.98 27.26107.23 10.29 27.22108.43 10.40 26.82106.76 10.08 26.90105.77 9.88 27.42106.00 10.07 27.31106.98 10.06 27.61105.61 10.03 27.51105.96 10.28 27.34

105.61 10.14 27.47102.67 9.79 26.90104.21 9.82 27.24102.41 9.91 26.80102.24 10.08 26.62102.88 10.04 26.81102.29 9.89 27.19102.46 9.87 27.33103.01 10.13 27.22102.48 10.14 27.10100.62 10.17 27.07102.50 10.29 26.88104.36 10.53 26.97104.67 10.60 27.05105.36 10.71 26.68106.45 10.87 26.67107.78 10.97 26.81110.18 11.26 27.00109.39 11.24 27.04109.53 11.05 27.30107.83 11.03 27.15108.36 10.85 27.35108.27 10.91 27.33107.65 10.76 27.25107.44 10.73 27.18107.34 10.73 27.32104.58 10.51 27.23103.98 10.44 27.15106.71 10.51 27.23107.03 10.70 27.08106.58 10.65 26.89106.71 10.73 26.98106.39 11.19 26.80107.66 11.24 26.85105.84 11.02 26.73105.46 11.00 26.62105.46 11.19 26.43106.79 11.12 26.59106.55 10.90 26.50105.43 10.92 26.72110.00 10.98 26.90110.94 11.11 26.93111.16 11.07 26.98111.82 11.11 26.92114.42 11.43 26.84113.30 11.45 26.68114.31 11.56 26.62114.34 11.61 26.52114.36 11.69 26.56114.24 11.84 26.65113.97 12.29 26.19114.35 12.49 26.50115.31 12.67 26.20114.31 12.28 26.29

114.76 11.94 26.88113.25 11.93 26.60113.22 11.70 26.58112.68 11.96 26.52113.33 11.85 26.67112.74 11.81 26.56111.26 11.60 26.59109.41 11.34 26.65110.99 11.42 27.01110.63 11.33 26.75109.75 11.08 26.83109.33 11.01 26.74109.65 11.17 26.69109.36 11.20 26.48109.07 11.23 26.68109.13 11.30 27.09110.70 11.66 27.13112.57 11.86 27.19114.69 11.99 27.15116.86 11.94 27.16115.94 11.95 27.01116.30 12.14 26.80117.26 11.97 26.88118.19 11.94 27.13120.07 12.27 26.87118.19 11.97 26.87119.76 12.08 26.80119.77 12.07 26.82116.84 11.83 26.81116.40 11.63 27.26117.28 11.50 27.16116.47 11.46 27.04116.00 11.29 27.14119.07 11.47 27.44116.55 11.10 27.85117.42 11.07 28.04119.49 11.20 27.60121.60 11.16 27.93123.76 11.30 27.92127.01 11.29 28.31126.84 11.18 28.44127.03 10.95 28.39124.86 10.81 28.45123.38 10.82 29.01123.98 10.89 28.82124.67 10.78 28.69127.01 10.59 28.89126.64 10.42 28.94126.33 10.46 29.29127.55 10.53 29.39126.02 10.47 28.97130.53 10.46 29.48129.82 10.48 29.42129.81 10.35 29.68

126.67 9.87 29.97127.41 9.96 30.00126.46 9.90 30.12124.53 9.81 29.83123.63 9.53 30.19126.39 9.76 29.92128.24 9.97 30.24127.62 9.96 30.21125.75 9.99 30.28126.32 9.90 30.53128.25 9.93 30.83130.06 10.19 30.65129.85 10.18 30.62127.78 9.96 30.13128.81 9.76 30.63131.80 9.87 30.83133.05 10.19 30.73133.45 10.16 30.80133.84 10.25 30.63133.38 10.16 30.36133.91 10.01 30.65136.73 10.05 30.53136.02 10.09 31.03131.01 9.90 30.56130.21 9.97 30.26129.82 9.80 30.44128.90 9.76 30.61129.81 9.66 30.68131.74 9.78 30.48131.63 9.54 30.94132.86 9.57 30.92135.07 9.82 31.20138.35 10.12 31.58138.46 10.06 31.71139.43 10.04 31.70142.28 10.18 31.91142.78 10.13 31.86142.25 10.01 31.55146.10 10.30 31.78145.09 10.14 31.91147.83 10.28 32.13149.20 10.38 32.16151.02 10.32 32.19149.19 10.51 31.80149.71 10.47 31.73154.01 10.61 32.04153.59 10.84 31.95152.67 10.69 31.95152.15 10.84 31.87153.44 10.80 32.08152.11 10.80 31.78151.51 10.75 31.77153.85 10.76 31.87153.50 10.97 31.97

153.15 11.03 31.69154.75 11.16 31.31151.17 10.94 31.18154.70 10.96 31.22154.82 10.68 31.42152.43 10.52 31.70151.96 10.69 31.49147.21 10.48 31.13148.10 10.76 30.94146.93 10.48 30.93147.31 10.65 30.94146.17 10.32 31.18148.63 10.40 31.13150.89 10.58 30.88153.14 10.60 30.76152.25 10.62 30.90151.27 10.45 30.58149.95 10.40 30.27154.06 10.51 30.18154.74 10.52 30.16152.81 10.17 30.25153.30 10.03 30.56152.53 10.00 30.13152.73 9.95 29.98154.37 9.79 30.08154.35 9.76 30.07155.80 9.81 29.99154.89 9.82 29.85153.68 9.81 29.48153.38 9.77 29.20155.70 9.81 29.15158.42 9.86 29.66154.85 9.73 29.10156.77 9.57 29.32157.64 9.68 29.19159.88 9.83 29.39158.03 9.96 29.24159.74 10.03 29.55161.42 9.95 29.59161.42 9.88 29.57161.61 9.73 29.64164.23 9.75 29.72162.69 9.58 29.74161.71 9.60 29.88159.60 9.49 29.54160.64 9.42 29.60160.06 9.37 29.57162.09 9.45 29.59161.48 9.34 29.59162.30 9.36 29.46167.08 9.58 29.20170.21 9.74 29.66169.87 9.61 29.79166.37 9.63 29.39

166.43 9.68 29.35165.24 9.75 29.04164.68 9.90 29.22164.17 9.91 29.27163.81 9.75 29.32161.57 9.62 28.86166.98 9.71 29.19168.53 9.82 29.52167.70 9.81 29.39167.47 9.83 29.43168.20 9.87 29.52168.49 9.89 29.82171.10 10.08 29.45169.95 10.10 29.27168.99 10.19 29.12171.85 10.22 29.25172.61 10.14 29.51175.24 10.24 29.27175.29 10.13 29.32180.90 10.27 29.68182.19 10.42 29.33184.82 10.63 29.46186.08 11.17 29.18189.10 11.40 28.90187.19 11.37 28.88188.45 11.52 28.92185.28 11.55 28.85188.63 11.67 29.11191.20 11.52 29.29188.71 11.34 29.14188.40 11.48 28.80187.22 11.64 28.74186.48 11.39 28.85186.88 11.26 28.98188.01 11.13 29.35187.64 11.10 29.63182.83 11.03 29.63181.39 10.92 29.89181.62 11.01 30.07182.18 11.20 29.95180.84 11.26 29.77178.53 11.06 29.93176.53 10.85 29.67178.46 10.77 29.33180.03 10.52 29.55180.08 10.77 29.15179.96 10.68 28.87178.60 10.57 28.72177.90 10.47 28.91177.95 10.44 28.80178.66 10.46 28.87181.43 10.51 29.02181.22 10.79 28.81181.05 10.78 28.95

182.14 10.64 29.07180.39 10.80 28.77179.64 10.79 28.80183.63 10.87 28.81184.40 10.85 29.74183.63 10.61 29.59181.65 10.25 30.00178.26 10.06 30.13177.03 9.98 30.18177.06 9.95 30.08177.59 9.88 30.06177.11 9.79 30.23175.13 9.81 30.32175.89 9.82 30.31177.96 9.94 30.33179.38 10.03 30.61177.34 9.96 30.26177.05 9.94 30.23175.64 9.88 30.24171.41 9.71 29.97172.31 9.70 30.14171.01 9.65 30.17171.51 9.66 29.96173.60 9.77 29.79176.57 9.92 30.01175.42 9.93 30.11176.64 9.91 29.83176.05 10.05 29.46172.36 9.72 29.93174.61 9.78 29.95173.56 9.45 29.90174.83 9.49 29.35178.19 9.55 29.79176.70 9.56 30.03176.77 9.76 29.94174.16 10.10 29.65172.03 10.13 29.39172.43 10.00 29.62172.34 10.01 29.32169.77 9.91 29.36169.80 9.83 29.38168.32 9.71 29.74170.08 9.90 29.70173.02 9.95 30.10175.04 10.04 30.38176.73 10.03 30.62177.37 10.11 30.55171.37 9.63 30.49173.07 9.48 30.48171.10 9.31 30.48169.98 9.08 30.80170.31 9.11 30.70171.77 9.16 30.89170.79 9.11 30.70

163.69 8.78 30.39165.13 8.66 30.71166.71 8.49 30.96164.27 8.52 30.56165.90 8.67 30.88168.90 8.81 31.24169.11 8.89 31.22169.18 9.03 31.21165.92 8.83 31.58167.55 8.93 31.56166.64 9.00 31.40165.29 8.99 31.14167.33 8.90 31.65168.64 9.13 31.87167.19 9.36 31.15166.26 9.30 31.52165.82 9.46 31.05164.64 9.28 30.86163.28 9.05 30.88160.17 9.14 30.45162.59 9.18 30.83164.33 9.20 31.02165.62 9.32 31.04168.35 9.45 30.87169.03 9.31 31.03169.97 9.37 31.00165.24 9.00 31.08166.55 9.37 30.63168.47 9.31 30.90164.46 9.17 30.71162.92 9.22 30.70165.16 9.33 30.72165.55 9.47 30.19166.94 9.47 30.06169.76 9.51 30.04172.11 9.77 30.02172.74 10.07 29.67173.44 10.05 29.71174.02 10.07 29.82171.44 10.08 30.17171.33 10.00 30.36171.28 9.84 30.60168.54 9.90 30.45167.16 9.98 30.42168.06 9.99 30.45171.18 9.95 30.93172.57 10.05 31.08171.07 10.30 30.74168.10 10.21 30.88170.53 10.27 30.83168.63 10.13 31.21165.72 10.03 31.27165.88 10.09 31.70160.54 10.09 31.34

158.57 10.34 31.02156.64 10.18 31.11153.16 10.23 30.71154.08 10.02 30.83156.06 9.96 30.77154.78 9.91 30.93157.58 10.05 30.85159.73 10.21 30.55159.11 10.18 30.42157.16 10.32 30.21156.69 10.31 30.03156.32 10.31 29.95156.68 10.45 29.87155.96 10.28 29.86156.30 10.40 30.05154.73 10.24 30.22153.58 10.31 29.76154.19 10.43 29.38156.01 10.64 29.15158.50 10.71 29.13156.73 10.72 28.89155.37 11.03 28.77152.52 11.03 28.42153.92 11.13 28.44153.51 11.24 28.20154.67 11.43 28.27152.96 11.59 27.83152.77 11.53 27.99150.00 11.54 27.76148.98 11.47 27.68144.82 11.12 27.91144.88 11.18 28.22141.91 10.93 28.17142.65 11.08 28.09145.23 11.30 28.20145.77 11.43 28.22141.93 11.30 27.79141.96 11.35 27.79138.84 11.36 27.73136.88 11.34 27.98136.08 11.31 28.35132.69 11.17 28.10131.42 11.03 28.07128.86 10.92 28.00128.57 10.76 27.69127.57 10.71 27.61124.65 10.54 27.71124.24 10.35 27.86122.66 10.01 27.91121.52 9.96 27.99120.16 9.85 28.13119.06 9.80 27.91121.52 9.85 28.09117.67 9.88 28.14

118.92 10.02 28.17119.73 10.41 27.69

Example 2 - Simulation of call prices: InputsAsset 1 Asset 2 Asset 3100.00 10.00 25.00

5.0% 3.0% 2.5%25.0% 30.0% 15.0%

1.0 0.5 0.31.0 -0.2

1.0

5.50%322

101.00 10.20 15.0550,000

Using the HoadleyCorrelSim function to simulate the value ofEuropean calls proves that the prices generated are lognormallydistributed as they converge to the Black-Scholes pricesas the number of iterations increases.

Asset 1 Asset 2 Asset 38.76 1.09 10.12### ### ###

Example 3 - Simulation of a spread option: Inputs103100

2325

20%30%

5%2%5%

1 0.431

50,000

This example shows how the function can be used to simulateoption values that depend on the correlation between two or

12.18Value using the HoadleySpreadOption function ###

Documents

Samples and Instructions