European Call Option Parameters

Initial Stock Price

Expiration
Implied Volatility
Risk-Free Rate
Strike
# of Options
# of Hedging Periods
"d_1"
Total BS Option Price
Total Hedging P&L

50
0.25
30.0%
2.00%

50
100,000
50
0.1083
$310,815
($104,401)

Period

Stock Price

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

50.00
47.64
49.45
49.37
49.95
47.82
44.88
47.06
45.96
47.56
47.33
46.03
45.26
46.09
47.44
46.53
45.97
47.41
48.83
48.49
48.78
47.54
49.68
48.74
45.88
45.24
45.53
45.09
45.52
46.32
47.01
45.79
43.76
42.88
41.82
44.19
43.01
43.46
45.09
44.29
43.43
44.32
45.16
44.77
43.46
43.64
42.18

47
48
49
50

41.42
42.65
43.14
43.00

S.F. Portfolio Value

"d1"

# Stocks held

Cash Account $ Position

$310,815
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0.1083
-0.2183
0.0308
0.0182
0.0966
-0.2106
-0.6655
-0.3355
-0.5143
-0.2709
-0.3122
-0.5292
-0.6667
-0.5373
-0.3203
-0.4824
-0.5892
-0.3487
-0.1112
-0.1743
-0.1288
-0.3595
0.0243
-0.1526
-0.7171
-0.8659
-0.8265
-0.9420
-0.8719
-0.7161
-0.5807
-0.8834
-1.4164
-1.6936
-2.0428
-1.4439
-1.8397
-1.7766
-1.3522
-1.6740
-2.0499
-1.8501
-1.6520
-1.9297
-2.6599
-2.8332
-3.9794

54,313
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-2,404,857
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SF strategy

3.108151
1.82429
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#NAME?
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$104,401

-5.0964
-5.2769
-6.9373

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F strategy

Avg Return (Annualized) Std Return (Annualized)

Log-Returns

-4.83%
3.73%
-0.16%
1.16%
-4.35%
-6.34%
4.73%
-2.37%
3.42%
-0.48%
-2.79%
-1.68%
1.82%
2.89%
-1.95%
-1.20%
3.07%
2.95%
-0.69%
0.59%
-2.58%
4.41%
-1.92%
-6.04%
-1.40%
0.63%
-0.96%
0.94%
1.75%
1.49%
-2.63%
-4.55%
-2.03%
-2.49%
5.50%
-2.71%
1.05%
3.68%
-1.81%
-1.94%
2.01%
1.89%
-0.89%
-2.96%
0.42%
-3.41%

-60.34%

40.14%

-1.81%
2.93%
1.15%
-0.34%

Period

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46

Stock Path # 1 Stock Path # 2 Stock Path # 3 Stock Path # 4

50.00
49.67
49.63
49.74
50.22
48.36
48.74
50.08
49.63
48.39
48.19
48.95
48.57
48.34
49.02
48.85
49.45
49.46
48.48
47.87
46.51
48.55
47.96
48.26
47.74
48.80
48.31
49.16
48.18
47.65
46.19
46.17
46.05
46.28
44.47
44.02
43.00
42.59
43.23
43.52
45.20
46.11
46.24
46.50
45.64
46.90
46.43

50.00
49.18
49.82
51.18
50.33
52.62
54.69
56.01
56.07
56.53
56.39
55.19
55.61
55.94
57.20
56.78
54.86
54.87
53.03
52.67
52.53
51.93
54.01
51.51
51.93
52.24
52.33
50.26
50.87
50.35
52.61
52.00
51.61
51.10
50.69
49.91
50.16
50.72
50.05
50.25
50.45
53.02
54.72
53.93
54.94
55.80
55.52

50.00
48.67
46.17
47.48
49.03
48.26
47.89
52.31
53.26
53.18
55.00
54.18
52.22
54.68
54.70
56.24
56.80
55.98
59.58
58.86
57.77
56.17
57.66
60.23
57.68
60.37
61.00
63.67
65.22
64.17
64.36
66.48
64.08
65.93
65.47
65.70
62.35
58.92
60.95
65.73
61.06
61.91
65.68
62.97
62.29
62.22
65.07

50.00
47.64
49.45
49.37
49.95
47.82
44.88
47.06
45.96
47.56
47.33
46.03
45.26
46.09
47.44
46.53
45.97
47.41
48.83
48.49
48.78
47.54
49.68
48.74
45.88
45.24
45.53
45.09
45.52
46.32
47.01
45.79
43.76
42.88
41.82
44.19
43.01
43.46
45.09
44.29
43.43
44.32
45.16
44.77
43.46
43.64
42.18

Log returns (SP1)

47
48
49
50

46.67
46.91
47.64
48.21

55.90
55.88
55.86
54.56

62.87
64.95
65.83
64.04

41.42
42.65
43.14
43.00

Log returns (SP1)

Log returns (SP2)
Log returns (SP3)
Log returns (SP4)

-0.66%
-0.09%
0.24%
0.94%
-3.77%
0.79%
2.70%
-0.89%
-2.53%
-0.41%
1.57%
-0.78%
-0.48%
1.40%
-0.35%
1.22%
0.02%
-2.01%
-1.26%
-2.89%
4.30%
-1.23%
0.62%
-1.08%
2.21%
-1.01%
1.74%
-2.00%
-1.12%
-3.10%
-0.05%
-0.26%
0.51%
-3.99%
-1.02%
-2.35%
-0.96%
1.49%
0.68%
3.79%
1.99%
0.28%
0.56%
-1.87%
2.73%
-1.01%

-1.66%
1.29%
2.70%
-1.67%
4.44%
3.85%
2.39%
0.11%
0.81%
-0.24%
-2.15%
0.77%
0.59%
2.22%
-0.73%
-3.44%
0.02%
-3.41%
-0.69%
-0.27%
-1.14%
3.93%
-4.74%
0.80%
0.60%
0.16%
-4.02%
1.20%
-1.04%
4.40%
-1.18%
-0.75%
-0.99%
-0.81%
-1.54%
0.49%
1.11%
-1.32%
0.39%
0.40%
4.98%
3.14%
-1.44%
1.85%
1.55%
-0.51%

-2.70%
-5.27%
2.80%
3.22%
-1.58%
-0.77%
8.82%
1.79%
-0.14%
3.37%
-1.51%
-3.68%
4.60%
0.04%
2.78%
0.98%
-1.46%
6.24%
-1.22%
-1.87%
-2.80%
2.61%
4.36%
-4.32%
4.56%
1.04%
4.29%
2.41%
-1.63%
0.29%
3.24%
-3.67%
2.84%
-0.69%
0.34%
-5.23%
-5.65%
3.40%
7.55%
-7.37%
1.37%
5.91%
-4.21%
-1.09%
-0.12%
4.48%

-4.83%
3.73%
-0.16%
1.16%
-4.35%
-6.34%
4.73%
-2.37%
3.42%
-0.48%
-2.79%
-1.68%
1.82%
2.89%
-1.95%
-1.20%
3.07%
2.95%
-0.69%
0.59%
-2.58%
4.41%
-1.92%
-6.04%
-1.40%
0.63%
-0.96%
0.94%
1.75%
1.49%
-2.63%
-4.55%
-2.03%
-2.49%
5.50%
-2.71%
1.05%
3.68%
-1.81%
-1.94%
2.01%
1.89%
-0.89%
-2.96%
0.42%
-3.41%

Av.return.annual(SP1)

-14.59%
St.dev.annual(SP
25.42%

0.53%
0.51%
1.53%
1.19%

0.69%
-0.05%
-0.02%
-2.37%

-3.43%
3.26%
1.34%
-2.76%

-1.81%
2.93%
1.15%
-0.34%

Av.return.annual(SP2)Av.return.annual(SP3)
Av.return.annual(SP4)

34.88%

98.97%

-60.34%

St.dev.annual(SP2St.dev.annual(SP3St.dev.annual(SP4)
30.36%

51.57%

40.14%