Synthetic Long (Buy ATM Call; Sell ATM Put)

Trade type Opening

Ticker BP
Underlying Price 45.11 ADS
Date 2011-03-18
Currency USD
Call strike 45
Settlement 2012-01-20
Call premium 4.4628
No Calls bot 50
Put strike 45
Settlement 2012-01-20
Put premium 5.0128
No Puts sold 50

CALCULATIONS
Days to expiry 308
Spread 0.55 Cr
Notional Value $ 225,000
Call value (22,314)
Put value 25,064
Gross spread 2,750
Costs (474)
Net Position 2,276

PAYOFF
Max profit Unlimited
Max Loss Unlimited
Breakeven 44.54

STOCK NOTES
Calendar DPS
Q4 11e 2012-01-31 0.07
Q3 11e 2011-10-25 0.07
Q2 11e 2011-07-26 0.07
Q1 11e 2011-04-27 0.07
Q4 10a 2011-02-01 0.07
Q3 10a 2010-11-02
Q2 10a 2010-07-27
Q1 10a 2010-04-27

VALUATION
GBP price 4.62
No of shares 18,808 mil
Mkt Cap - GBP 86,893 mil
Mkt Cap - $ 139,898 mil
NAV - $ 94,987 mil
P/BV 1.5 x

Peer Comps P/BV No. shares Price NAV Mkt Cap

XOM 2.8 x 4,958 83.62 146,839 414,588
RDS.A 1.5 x 3,077 72.7 148,013 223,702
CVX 2.0 x 2,007 106.78 105,081 214,350
Total S.A. 1.7 x 2,234 59.93 80,057 133,884
ConocoPhillips 1.7 x 1,430 80.24 68,562 114,711
Repsol 1.3 x 1,221 34.23 31,989 41,788
BP 1.5 x 18,808 4.62 58,634 86,893