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Trade No

1
1
Total

Date Executed
5-Nov-10
5-Nov-10

Day Closed Days Open Description No Options Opening DtM


9-Nov-10
4
S&P
65
14/365
9-Nov-10
4
S&P
400
14/365

2
2
2
Total

5-Nov-10
5-Nov-10
5-Nov-10

9-Nov-10
9-Nov-10
9-Nov-10

4
4
4

Citigroup
Citigroup
Citigroup

100
100
200

14/365
14/365
14/365

3
3
Total

5-Nov-2-10
5-Nov-2-10

11-Nov-10
11-Nov-10

6
6

Toyota
Toyota

100
250

74/365
74/365

4
4
Total

12-Nov-10
12-Nov-10

15-Nov-10
15-Nov-10

3
3

Amgen
Amgen

100
30

70/365
70/365

5
5
5
Total

12-Nov-10
12-Nov-10
12-Nov-10

15-Nov-10
15-Nov-10
15-Nov-10

3
3
3

Pepsi
Pepsi
Pepsi

400
683
0

34/365
34/365
34/365

Long/Short
Long
Short-sold calls

Strike No Shares
1225
1275

0
0

Multiplier Price
$ Value
100
8.00 (52,000.00)
100
0.85
34,000.00
(18,000.00) Gross Initial Investment in Position

Long
Long
Short-sold calls

3.5
4.5
4

0
0
0

100
100
100

Long
Short-sold calls

75
80

0
0

100
100

1.75
0.48

(17,500.00)
12,000.00
(5,500.00) Gross Initial Investment in Position

Long
Short

50
50

0
0

100
100

7.55
0.7

(75,500.00)
(2,100.00)
(77,600.00) Gross Initial Investment in Position

65
67.5
N/A

0
0
8001

100
100
1

Long
Short-calls sold
Short

0.77
0.06
0.28

0.91
0.23
64.85

(7,700.00)
(600.00)
(5,600.00)
(13,900.00) Gross Initial Investment in Position

(36,400.00)
(15,709.00)
518,864.85
466,755.85 Gross Initial Investment in Position

ment in Position

ment in Position

ment in Position

ment in Position

ment in Position

S&P
Long
Short - sold calls
Total

Purchase Price Sale Price Gain/Loss Quantity Multiplier


8.00
1.00
(7.00)
65.00
100.00
0.85
0.08
0.77
400.00
100.00

Citigroup
Long
Long
Short
Total

Purchase Price Sale Price Gain/Loss Quantity Multiplier


0.77
0.86
0.09
100
100.00
0.06
0.04
(0.02)
100
100.00
0.28
0.32
(0.04)
200
100.00

Toyota
Long
Short - sold calls
Total

Purchase Price Sale Price Gain/Loss Quantity Multiplier


1.27
2.96
1.69
100.00
100.00
0.22
1.02
0.22
250.00
100.00

Amgen
Long
Short
Total

Purchase Price Sale Price Gain/Loss Quantity Multiplier


7.55
5.60
(1.95)
100.00
100.00
0.7
1.30
0.60
30.00
100.00

Pepsi
Long
Short-calls sold
Short
Total

Purchase Price Sale Price Gain/Loss Quantity Multiplier


0.92
0.89
(0.03)
400.00
100.00
0.24
0.21
0.03
683.00
100.00
64.68
64.69
(0.01) 8,001.00
1.00

Total

$ Value
(45,500.00)
30,800.00
(14,700.00)
$ Value
900.00
(200.00)
(800.00)
(100.00)
$ Value
16,900.00
5,500.00
22,400.00
$ Value
(19,500.00)
1,800.00
(17,700.00)
$ Value
(1,200.00)
2,049.00
(80.01)
768.99

(9,331.01)

Day 1
Date
9-Nov-10
9-Nov-10

Position
SPX
SPX

9-Nov-10
9-Nov-10
9-Nov-10

9-Nov-10
9-Nov-10

Number
65
400

Purchase Price
8.00
0.85

Option Close Price


8.40
1.25

Citigroup
Citigroup
Citigroup

100
100
200

0.77
0.06
0.28

1.03
0.30
0.11

Toyota
Toyota

100
250

1.75
0.48

1.74
0.52

Long/Short
Long
Short-calls sold

Long
Long
Short

Long
Short-calls sold

Day One Total P&L


Day 2
Date
9-Nov-10
9-Nov-10

Position
SPX
SPX

Number

9-Nov-10
9-Nov-10
9-Nov-10

Citigroup
Citigroup
Citigroup

100
100
200

9-Nov-10
9-Nov-10

Toyota
Toyota

100
250

65
400

Option Open Price Option Close Price


8.40
6.10
1.25
0.15

1.03
0.30
0.11

1.74
0.52

Long/Short
Long
Short-calls sold

0.95
0.19
0.15

Long
Long
Short

1.27
0.22

Long
Short-calls sold

Day Two Total P&L


Day 3
Date
10-Nov-10
10-Nov-10

Position
SPX
SPX

Number

10-Nov-10
10-Nov-10
10-Nov-10

Citigroup
Citigroup
Citigroup

100
100
200

0.95
0.19
0.15

0.86
0.04
0.32

Long
Long
Short

10-Nov-10
10-Nov-10

Toyota
Toyota

100
250

1.27
0.22

1.45
0.25

Long
Short-calls sold

65
400

Option Open Price Option Close Price


6.10
1.00
0.15
0.08

Long/Short
Long
Short-calls sold

Day Three Total P&L


Day 4
Date

Position

Number

Option Open Price Option Close Price

Long/Short

11-Nov-10
11-Nov-10

Toyota
Toyota

100
250

1.27
0.25

2.96
1.02

Long
Short-calls sold

11-Nov-10
11-Nov-10

Amgen
Amgen

100
30

7.55
0.7

5.6
1.22

Long
Short

Day Four Total P&L


Day 5
Date

Position

12-Nov-10
12-Nov-10

Amgen
Amgen

12-Nov-10
12-Nov-10
12-Nov-10

Pepsi
Pepsi
Pepsi

Number

Option Open Price Option Close Price


100
30

400
683
8001 - shares

5.6
1.22
0.92
0.24
N/A

Long/Short

5.68
1.27

Long
Short

0.91
0.23

Long
Short-calls sold
Short

N/A

Day Five Total P&L


Day 6
Date

Position

15-Nov-10
15-Nov-10

Amgen
Amgen

15-Nov-10
15-Nov-10
15-Nov-10

Pepsi
Pepsi
Pepsi

Day Six Total P&L

Number

Option Open Price Option Close Price

Long/Short

100
30

5.68
1.27

5.6
1.3

Long
Short

400
683
8001 - shares

0.91
0.23

0.89
0.21
N/A

Long
Short-calls sold
Short

N/A

Strike Underlying Opening


1225
1221
1275
1221

Underlying Closing
1225
1225

Initial (Cost)/Revenue Unrealised Poition P&L


(52,000.00)
2,600.00
34,000.00
16,000.00

3.5
4.5
4

4.14
4.14
4.14

4.49
4.49
4.49

(7,700.00)
(600.00)
5,600.00

2,600.00
2,400.00
(3,400.00)

75
80

72.73
72.73

72.64
72.64

(17,500.00)
12,000.00

(100.00)
1,000.00

Strike Underlying Opening


1225
1225
1275
1225

Underlying Closing
1223
1223

Initial (Cost)/Revenue Unrealised Poition P&L


(54,600.00)
(14,950.00)
50,000.00
(44,000.00)

3.5
4.5
4

4.49
4.49
4.49

4.44
4.44
4.44

(10,300.00)
(3,000.00)
2,200.00

(800.00)
(1,100.00)
800.00

75
80

72.64
72.64

73.74
73.74

(17,400.00)
13,000.00

(4,700.00)
(7,500.00)

Strike Underlying Opening


1225
1223
1275
1223

Underlying Closing
1214
1214

Initial (Cost)/Revenue Unrealised Poition P&L


(39,650.00)
(33,150.00)
6,000.00
(2,800.00)

3.5
4.5
4

4.44
4.44
4.44

4.32
4.32
4.32

(9,500.00)
(1,900.00)
3,000.00

(900.00)
(1,500.00)
3,400.00

75
80

73.74
73.74

74.11
74.11

(12,700.00)
5,500.00

1,800.00
750.00

Strike Underlying Opening

Underlying Closing

Initial (Cost)/Revenue

Unrealised Poition P&L

75
80

73.74
73.74

75.25
75.25

(12,700.00)
6,250.00

16,900.00
19,250.00

50
50

54.4
54.4

54.62
54.62

(75,500.00)
2,100.00

(19,500.00)
1,560.00

Strike Underlying Opening

Underlying Closing

Initial (Cost)/Revenue

50
50

54.62
54.62

54.55
54.55

(56,000.00)
3,660.00

65
67.5
N/A

64.68
64.68
64.68

64.85
64.85
64.85

(36,800.00)
(16,392.00)
517,504.68

Strike Underlying Opening

Underlying Closing

Initial (Cost)/Revenue

Unrealised Poition P&L


800.00
150.00
(400.00)
(683.00)
136,017.00

Unrealised Poition P&L

50
50

54.55
54.55

54.56
54.56

(56,800.00)
(3,810.00)

(800.00)
90.00

65
67.5
N/A

64.85
64.85
64.85

64.69
64.69
64.69

(36,400.00)
(15,709.00)
518,864.85

(800.00)
(1,366.00)
(128,016.00)

Total
(49,400.00)
50,000.00
600.00
(5,100.00)
1,800.00
2,200.00
(1,100.00)
(17,600.00)
13,000.00
(4,600.00)
(5,100.00)

Total
(69,550.00)
6,000.00
(63,550.00)
(11,100.00)
(4,100.00)
3,000.00
(12,200.00)
(22,100.00)
5,500.00
(16,600.00)
(92,350.00)

Total
(72,800.00) Intraday P&l after position being closed
3,200.00 Intraday P&l after position being closed
(69,600.00)
(10,400.00) Intraday P&l after position being closed
(3,400.00) Intraday P&l after position being closed
6,400.00 Intraday P&l after position being closed
(7,400.00)
(10,900.00)
6,250.00
(4,650.00)

(81,650.00)

Total
4,200.00 Position closed at end of business
25,500.00 Position closed at end of business
(95,000.00)
3,660.00
(61,640.00)

Total
(55,200.00)
3,810.00
(37,200.00)
(17,075.00)
653,521.68
547,856.68

Total
(57,600.00) Position closed during trading day at this price
(3,720.00) Position closed during trading day at this price
(37,200.00) Position closed during trading day at this price
(17,075.00) Position closed during trading day at this price
390,848.85 Position closed during trading day at this price
275,253.85

Price
The decrease of prices,all things being equal,will result in a decrease in option price (if long, increase if short)
When prices fluctuate by percentages shown then the portfolio will experience the following profit and loss:
Trade No Trade Day 1 - 5-Nov-2010 - Morning
1
2
3

Price - Exposure
Price - Exposure
Price - Exposure
Price Limit
% of Limit Used Day 1

Trade No Trade Day 2 - closing price


1
2
3

(7,191.00)
(8,872.00)
(3,631.00)
(50,000.00)
39%

Minus 1% Price Movement

Price - Exposure
Price - Exposure
Price - Exposure

(21,727.00)
(8,872.00)
(3,915.00)

Price Limit
% of Limit Used Day 2

(50,000.00)
69%

Trade No Trade Day 4 - closing price


4
5

Minus 1% Price Movement

Minus 1% Price Movement

Price - Exposure
Price - Exposure

(11,612.00)
5,238.65

Price Limit
% of Limit Used Day 4

(50,000.00)
13%

option price (if long, increase if short)


rience the following profit and loss:
Minus 5% Price Movement

Minus 25% Price Movement

(17,746.00)
(8,893.00)
(14,124.00)

(18,000.00)
(9,329.00)
(22,276.00)

(200,000.00)
20%

(500,000.00)
10%

Minus 5% Price Movement

Minus 25% Price Movement

(33,649.00)
(8,893.00)
(14,260.00)

(33,650.00)
(9,329.00)
(18,200.00)

(200,000.00)
28%

(500,000.00)
12%

Minus 5% Price Movement

Minus 25% Price Movement

(1,467.00)
11,530.24

3,005.00
(316,693.79)

(200,000.00)
-5%

(500,000.00)
63%

Volatility
The decrease in volatility,all things held equally will lead to a reduction in all option prices
When volatility moves by the below percentages then the vfollowing profit/loss is noted:
Trade No Trade Day 1 - 5/Nov/2010 - Morning
1
2
3

Volatility - Exposure
Volatility - Exposure
Volatility - Exposure
Price Limit
% of Limit Used Day 1

Trade No Trade Day 2 - closing price


1
2
3

Volatility - Exposure
Volatility - Exposure
Volatility - Exposure
Price Limit
% of Limit Used Day 2

Trade No Trade Day 4 - closing price


4
5

Volatility - Exposure
Volatility - Exposure
Price Limit
% of Limit Used Day 2

1% Volatility Decrease
(2,302.00)
(110.00)
(3,077.50)
(20,000.00)
27%

1% Volatility Decrease
(985.00)
(14.00)
(290.00)
(20,000.00)
6%

1% Volatility Decrease
(500.00)
(255.00)
(20,000.00)
4%

n all option prices


ofit/loss is noted:
5% Volatility Decrease

10% Volatility Decrease

(10,525.00)
(322.00)
(14,000.00)

(20,240.00)
(516.00)
(23,538.00)

(75,000.00)
33%

(150,000.00)
30%

5% Volatility Decrease

10% Volatility Decrease

(4,361.00)
107.00
(1,759.50)

(7,870.00)
270.00
(3,552.50)

(75,000.00)
8%

(150,000.00)
7%

5% Volatility Decrease

10% Volatility Decrease

(2,200.00)
(800.00)

(4,400.00)
(1,590.00)

(75,000.00)
4%

(150,000.00)
4%

Time Decay
A decrease in time left to maturity,all things held equally,will lead to an increase in option price.
When time moves by the days outlined below the portfolio will incurr the following profit or loss:
Trade No
1
2
3

Trade Day 1 - 5/Nov/2010 - Morning

1 Day Movement

Time - Exposure
Time - Exposure
Time - Exposure

(4,040.00)
(45.00)
(68.00)

Price Limit
% of Limit Used Day 1

Trade No
1
2
3

Trade Day 2 - closing price

(25,000.00)
17%

1 Day Movement

Time - Exposure
Time - Exposure
Time - Exposure

411.00
(104.00)
(180.00)

Price Limit
% of Limit Used Day 2

Trade No
4
5

Trade Day 4 - closing price


Time - Exposure
Time - Exposure
Price Limit
% of Limit Used Day 2

25,000.00
1%

1 Day Movement
(400.00)
(280.00)
(25,000.00)
3%

crease in option price.

ollowing profit or loss:


10 Day Movement
(4,296.00)
(892.00)
(2,805.00)
(100,000.00)
8%

10 Day Movement
25,594.00
(717.00)
(200.00)
100,000.00
25%

10 Day Movement
(3,400.00)
(2,490.00)
(100,000.00)
6%

All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No Description No Options Long/Short
1
S&P
65 Long
1
S&P
400 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
8.00
0.1015
0
100
0.85
0.1395

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short
1
S&P
65 Long
1
S&P
400 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
8.00
0.1015
0
100
0.85
0.1395

Time Decay
Profit and Loss of holding minus one and ten days
Trade No Description No Options Long/Short
1
S&P
65 Long
1
S&P
400 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
8.00
0.1015
0
100
0.85
0.1395

Day 2-closing price


All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No Description No Options Long/Short
1
S&P
65 Long
1
S&P
400 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
6.10
0.0810
0
100
0.15
0.1120

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short
1
S&P
65 Long
1
S&P
400 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
6.10
0.0810
0
100
0.15
0.1120

Time Decay
Profit and Loss of holding minus one and ten days
Trade No Description No Options Long/Short

No Shares Multiplier Price

Volatility

1
1
Total

S&P
S&P

65 Long
400 Short-calls sold

0
0

100
100

6.10
0.15

Position closed at 15:32 at 1206 on 9/11/2010.See P&L tab for profit/loss on position

0.0810
0.1120

Day 1
Price

loss will be noted:


$ Value
Minus 1% Price Movement Minus 5% Price Movement Minus 25% Price Movement
52,000.00
(27,609.00)
(51,650.00)
(52,000.00)
(34,000.00)
20,418.00
33,904.00
34,000.00
18,000.00
(7,191.00)
(17,746.00)
(18,000.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
52,000.00
(702.00)
(2,925.00)
(6,240.00)
(34,000.00)
(1,600.00)
(7,600.00)
(14,000.00)
18,000.00
(2,302.00)
(10,525.00)
(20,240.00)

Time Decay
$ Value
1 Day Movement
10 Day Movement
52,000.00
1,560.00
29,380.00
(34,000.00)
(5,600.00)
(33,676.00)
18,000.00
(4,040.00)
(4,296.00)

Day 2-closing price


Price

loss will be noted:


$ Value
Minus 1% Price Movement Minus 5% Price Movement Minus 25% Price Movement
39,650.00
(26,494.00)
(39,648.00)
(39,650.00)
6,000.00
4,767.00
5,999.00
6,000.00
45,650.00
(21,727.00)
(33,649.00)
(33,650.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
39,650.00
(585.00)
(2,405.00)
(4,550.00)
6,000.00
(400.00)
(1,956.00)
(3,320.00)
45,650.00
(985.00)
(4,361.00)
(7,870.00)

Time Decay
$ Value

1 Day Movement

10 Day Movement

39,650.00
(6,000.00)
33,650.00

2,275.00
(1,864.00)
411.00

31,590.00
(5,996.00)
25,594.00

All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No
2
2
2
Total

Description No Options Long/Short


No Shares Multiplier Price
Volatility
Citigroup
100 Long
0
100
0.77
0.80
Citigroup
100 Long
0
100
0.06
0.45
Citigroup
200 Short-sold calls
0
100
0.28
1.20

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No
2
2
2
Total

Description No Options Long/Short


No Shares Multiplier Price
Volatility
Citigroup
100 Long
0
100
0.77
0.80
Citigroup
100 Long
0
100
0.06
0.45
Citigroup
200 Short-sold calls
0
100
0.28
1.20

Time Decay
Profit and Loss of holding minus one and ten days
Trade No
2
2
2
Total

Description No Options Long/Short


No Shares Multiplier Price
Volatility
Citigroup
100 Long
0
100
0.77
0.80
Citigroup
100 Long
0
100
0.06
0.45
Citigroup
200 Short-sold calls
0
100
0.28
1.10

Day 2-closing price


All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No
2
2
2
Total

Description No Options Long/Short


No Shares Multiplier Price
Volatility
Citigroup
100 Long
0
100
0.95
0.39
Citigroup
100 Long
0
100
0.19
0.70
Citigroup
200 Short-sold calls
0
100
0.15
1.10

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No
2
2
2
Total

Description No Options Long/Short


No Shares Multiplier Price
Volatility
Citigroup
100 Long
0
100
0.95
0.39
Citigroup
100 Long
0
100
0.19
0.70
Citigroup
200 Short-sold calls
0
100
0.15
1.10

Time Decay
Profit and Loss of holding minus one and ten days
Trade No
2
2
2
Total

Description No Options Long/Short


No Shares Multiplier Price
Volatility
Citigroup
100 Long
0
100
0.95
0.39
Citigroup
100 Long
0
100
0.19
0.70
Citigroup
200 Short-sold calls
0
100
0.15
1.10

Position closed at 15:55 at 4.33 on 9/11/2010.See P&L tab for profit/loss on position

Day 1
Price

t/loss will be noted:


Delta

$ Value
0.38
0.98
(0.35)

7,700.00
600.00
(5,600.00)
2,700.00

Minus 1% Price Movement Minus 5% Price Movement


(347.00)
(1,816.00)
(127.00)
(411.00)
(4,220.00)
(2,207.00)
(4,694.00)
(4,434.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


Delta

$ Value
0.38
0.98
(0.35)

7,700.00
600.00
5,600.00
13,900.00

1% Volatility Decrease
5% Volatility Decrease
(14.00)
(54.00)
(35.00)
(83.00)
(61.00)
(185.00)
(110.00)
(322.00)

Time Decay
Delta

$ Value
0.38
0.98
(0.35)

1 Day Movement
7,700.00
600.00
(5,600.00)

10 Day Movement
45.00
44.00
(134.00)
(45.00)

317.00
475.00
(1,684.00)
(892.00)

Day 2-closing price


Price

t/loss will be noted:


$ Value
Minus 1% Price Movement Minus 5% Price Movement Minus 25% Price Movement
9,500.00
(533.00)
(2,307.00)
(9,187.00)
1,900.00
(221.00)
(902.00)
(1,890.00)
(3,000.00)
(8,118.00)
(5,684.00)
1,748.00
8,400.00
(8,872.00)
(8,893.00)
(9,329.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
9,500.00
(89.00)
(100.00)
(100.00)
1,900.00
(37.00)
(123.00)
(230.00)
(3,000.00)
112.00
330.00
600.00
8,400.00
(14.00)
107.00
270.00

Time Decay
$ Value
1 Day Movement
9,500.00
1,900.00
(3,000.00)
8,400.00

10 Day Movement
90.00
116.00
(310.00)
(104.00)

100.00
1,503.00
(2,320.00)
(717.00)

Minus 25% Price Movement


(6,834.00)
(599.00)
4,141.00
(3,292.00)

10% Volatility Decrease


(104.00)
(42.00)
(370.00)
(516.00)

All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
1.75
0.204
0
100
0.48
0.195

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
1.75
0.204
0
100
0.48
0.195

Time Decay
Profit and Loss of holding minus one and ten days
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
1.75
0.204
0
100
0.48
0.195

Day 2-closing price


All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
1.27
0.136
0
100
0.22
0.140

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
1.27
0.136
0
100
0.22
0.140

Time Decay
Profit and Loss of holding minus one and ten days
Trade No Description No Options Long/Short
3
Toyota
100 Long

No Shares Multiplier Price


Volatility
0
100
1.27
0.136

3
Total

Toyota

250 Short-calls sold

100

0.22

0.140

Day 4-closing price


All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
2.96
0.211
0
100
1.02
0.201

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
2.96
0.211
0
100
1.02
0.201

Time Decay
Profit and Loss of holding minus one and ten days
Trade No Description No Options Long/Short
3
Toyota
100 Long
3
Toyota
250 Short-calls sold
Total

No Shares Multiplier Price


Volatility
0
100
2.96
0.211
0
100
1.02
0.201

Position closed at 10:20 at 75.25 on 11/11/2010.See P&L tab for profit/loss on position

Day 1
Price

/loss will be noted:


Delta
0.39
0.15

$ Value
Minus 1% Price Movement Minus 5% Price Movement
17,500.00
(2,656.00)
(10,635.00)
(12,000.00)
(975.00)
(3,489.00)
5,500.00
(3,631.00)
(14,124.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


Delta
0.39
0.15

$ Value
1% Volatility Decrease
5% Volatility Decrease
17,500.00
(1,240.00)
(6,150.00)
(12,000.00)
(1,837.50)
(7,850.00)
5,500.00
(3,077.50)
(14,000.00)

Time Decay
Delta
0.39
0.15

$ Value
1 Day Movement
17,500.00
(12,000.00)
5,500.00

10 Day Movement
182
(250.00)
(68.00)

1,870.00
(4,675.00)
(2,805.00)

Day 2-closing price


Price

/loss will be noted:


$ Value
Minus 1% Price Movement
Minus 5% Price Movement Minus 25% Price Movement
12,700.00
(2,273.00)
(9,469.00)
(12,700.00)
(5,500.00)
(1,642.00)
(4,791.00)
(5,500.00)
7,200.00
(3,915.00)
(14,260.00)
(18,200.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
12,700.00
(115.00)
(802.00)
(1,700.00)
(5,500.00)
(175.00)
(957.50)
(1,852.50)
7,200.00
(290.00)
(1,759.50)
(3,552.50)

Time Decay
$ Value
1 Day Movement 10 Day Movement
12,700.00
70
1,300.00

(5,500.00)
7,200.00

(250.00)
(180.00)

(1,500.00)
(200.00)

Day 4-closing price


Price

/loss will be noted:


$ Value
Minus 1% Price Movement
Minus 5% Price Movement Minus 25% Price Movement
29,600.00
(3,838.00)
(16,203.00)
(29,581.00)
(25,500.00)
(4,667.00)
(17,206.00)
(25,499.00)
4,100.00
(8,505.00)
(33,409.00)
(55,080.00)

Volatility

ve the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
29,600.00
(300.00)
(1,300.00)
(2,700.00)
(25,500.00)
(300.00)
(1,000.00)
(2,200.00)
4,100.00
(600.00)
(2,300.00)
(4,900.00)

Time Decay
$ Value
1 Day Movement 10 Day Movement
29,600.00
(200.00)
(2,100.00)
(25,500.00)
(200.00)
(1,600.00)
4,100.00
(400.00)
(3,700.00)

Minus 25% Price Movement


(17,496.00)
(4,780.00)
(22,276.00)

10% Volatility Decrease


(11,938.00)
(11,600.00)
(23,538.00)

Day 1 (9/11/2010 - morning)

Should the % movements take place the following proft/loss will be noted:
Where call and puts present, stock price movement will have contrating impact on values. To assess impact on profits
Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.20
0.212
4
Amgen
30 Short
0
100 0.55
0.300
Total

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.20
0.212
4
Amgen
30 Short
0
100 0.55
0.300
Total

Profit and Loss of holding minus one and ten days


Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.20
0.212
4
Amgen
30 Short
0
100 0.55
0.300
Total

Day 2 (11/11/2010 - morning)

Where call and puts present, stock price movement will have contrating impact on values. To assess impact on profits
Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.60
0.288
4
Amgen
30 Short
0
100 1.22
0.335
Total

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.60
0.288
4
Amgen
30 Short
0
100 1.22
0.335
Total

Profit and Loss of holding minus one and ten days


Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.60
0.288
4
Amgen
30 Short
0
100 1.22
0.335
Total

Day 1 (9/11/2010 - morning)


Price

ct on values. To assess impact on profits the worse case scenario is taken below
$ Value
Minus 1% Price Movement
Minus 5% Price Movement Minus 25% Price Movement
52,000.00
(1,256.00)
(20,253.00)
(51,956.00)
(1,650.00)
(17,645.00)
(23,658.00)
(56,344.00)
50,350.00
(18,901.00)
(43,911.00)
(108,300.00)

Volatility

ility give the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
52,000.00
(200.00)
(1,100.00)
(2,200.00)
(1,650.00)
(200.00)
(700.00)
(1,300.00)
50,350.00
(400.00)
(1,800.00)
(3,500.00)

Time Decay
$ Value
1 Day Movement
52,000.00
(1,650.00)
50,350.00

10 Day Movement
2,500.00
200.00
2,700.00

5,000.00
1,800.00
6,800.00

Day 2 (11/11/2010 - morning)

ct on values. To assess impact on profits the worse case scenario is taken below
$ Value
Minus 1% Price Movement
Minus 5% Price Movement Minus 25% Price Movement
56,000.00
(4,223.00)
(19,638.00)
(54,659.00)
(3,660.00)
(15,835.00)
(21,105.00)
(51,654.00)
52,340.00
(11,612.00)
(1,467.00)
3,005.00

Volatility

ility give the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
56,000.00
(200.00)
(1,000.00)
(2,000.00)
(3,660.00)
(300.00)
(1,200.00)
(2,400.00)
52,340.00
(500.00)
(2,200.00)
(4,400.00)

Time Decay
$ Value
1 Day Movement
56,000.00
(3,660.00)
52,340.00

10 Day Movement
(200.00)
(200.00)
(400.00)

(1,600.00)
(1,800.00)
(3,400.00)

Day 1 (11/11/2010 - morn

All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Where shares sold short,movement will have contrasting impact on value of long options.In calculating P&L worst ca
Trade No Description No Options Long/Short
No Shares Multiplier Price
Volatility
5
Pepsi
400 Long
0
100
0.91
0.118
5
Pepsi
683 Short-calls sold
0
100
0.23
0.126
5
Pepsi
0 Short
8001
1
64.85
Total

Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
Trade No
5
5
5
Total

Description No Options
Pepsi
400
Pepsi
683
Pepsi
0

Long/Short
Long
Short-calls sold
Short

No Shares Multiplier Price


Volatility
0
100
0.91
0.118
0
100
0.23
0.126
8001
1
64.85

Time Decay
Profit and Loss of holding minus one and ten days
Trade No
5
5
5
Total

Description No Options
Pepsi
400
Pepsi
683
Pepsi
0

Long/Short
Long
Short-calls sold
Short

No Shares Multiplier Price


Volatility
0
100
0.91
0.118
0
100
0.23
0.126
8001
1
64.85

Day 1 (11/11/2010 - morning)


Price

loss will be noted:


tions.In calculating P&L worst case scenario taken below:
$ Value
Minus 1% Price Movement Minus 5% Price Movement Minus 25% Price Movement
36,400.00
1,222.00
29,828.00
279,290.00
(15,709.00)
(1,184.00)
(44,221.00)
(725,680.00)
5,200.65
25,923.24
129,696.21
20,691.00
5,238.65
11,530.24
(316,693.79)

Volatility

e the corresponding increase/decrease in portfolio value:


$ Value
1% Volatility Decrease
5% Volatility Decrease
10% Volatility Decrease
36,400.00
(100.00)
(400.00)
(900.00)
(15,709.00)
(155.00)
(400.00)
(690.00)
20,691.00

(255.00)

(800.00)

Time Decay
$ Value
1 Day Movement
36,400.00
(15,709.00)
20,691.00

10 Day Movement
(100.00)
(180.00)

(1,500.00)
(990.00)

(280.00)

(2,490.00)

(1,590.00)