Financial Engineering 6

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Assignment6.xlsx
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Student Information

You must insert your 10 digit student ID before starting the assignment. Fall 2020 expected semi-annual rate 0.01313 Base numbers for stock stock prices Stock prices Daily rate of return Summary Statistics Table
Name annual risk free rate 0.02626 Date Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E
10 digit student ID # 1220885757 notional amount 14420000 12/10/19 26.82 3.82 19.82 17.82 24.82 27.43 4.43 77.42 18.89 25.9 -0.54 -0.0196864747 -0.2031602709 -0.0081374322 -0.0269984119 -0.0158301158 Average Daily Rate Return 0.0012918452 0.0093339233 0.0000164435 0.0006103593 0.0005947625
Date 12/11/19 26.28 2.92 19.19 17.31 24.41 26.89 3.53 76.79 18.38 25.49 0.43 0.0159910747 0.0226628895 0.0076832921 0.0092491839 0.0223617105 Std. Dev. 0.0196999366 0.0538222808 0.0079301797 0.0258140518 0.0202804017
Class 12/12/19 26.71 3 19.78 17.48 24.98 27.32 3.61 77.38 18.55 26.06 -0.013909224 -0.0720221607 -0.0069785474 -0.0043126685 0 Variance 0.0003880875 0.0028968379 0.0000628878 0.0006663653 0.0004112947
By downloading this assignment you agree to not share this exam with anyone. You also agree to completing this assignment without the assistance or of anyone unless you have received written approval from the instructor. You agree to not collaborate with anyone with this assignment You agree to not use another student's assignment or materials to aid you with this assignment You understand that not following these rules, or any other rules identified in the ASU Academic Integrity Policy will result in a zero grade for this assignment a violation report to the Dean's office, and likely suspension from ASU. Please teach each other the Excel functions and financial engineering functions. However, do not provide answers or assist others with their answers. Engineers must learn how to solve problems! This assignment is the property of Daniel R. McCarville and Arizona State University. It is copyright protected. 12/13/19 26.33 2.74 19.24 17.4 24.98 26.94 3.35 76.84 18.47 26.06 -0.0178173719 0.0149253731 -0.0033836543 0.017866811 -0.013046815 Semi-annual Avg Return 0.1627724943 1.1760743367 0.0020718852 0.076905273 0.0749400763
17 12/16/19 25.85 2.79 18.98 17.73 24.64 26.46 3.4 76.58 18.8 25.72 0.074452003 0.0088235294 -0.0020893184 0.0579787234 0.0069984448 Semi-annual Std Dev 0.2211312403 0.604153604 0.0890160467 0.2897620126 0.2276469443
Instructions: 12/17/19 27.82 2.82 18.82 18.82 24.82 28.43 3.43 76.42 19.89 25.9 -0.0411537109 -0.084548105 -0.0035331065 -0.0341880342 -0.0378378378
1. You must enter the information requested above. MCCA 12/18/19 26.65 2.53 18.55 18.14 23.84 27.26 3.14 76.15 19.21 24.92 -0.01540719 -0.0031847134 0.0006565988 -0.0171785528 0.0044141252 Covariance Matrix
2. Include your entire 10 (ten) digit student ID number. Option Type Stock Price IV Strike Price Exp Vol Open Int 12/19/19 26.23 2.52 18.6 17.81 23.95 26.84 3.13 76.2 18.88 25.03 0.0078241431 0.0223642173 0.0085301837 -0.0084745763 0 Stock A Stock B Stock C Stock D Stock E
3. Do not change the questions as I have typed them. Call 29.59 0.3384 28 May, 2020 3051 40421 12/20/19 26.44 2.59 19.25 17.65 23.95 27.05 3.2 76.85 18.72 25.03 -0.0170055453 0.021875 -0.0046844502 -0.0048076923 -0.0043947263 Stock A 0.0003865413 0.0002784267 0.0000590039 0.0001520281 0.0001134585
4. Fill in all yellow boxes with the requested information and/or answer. Annual interest rate = 0.02626 Trading days per year = 252 12/23/19 25.98 2.66 18.89 17.56 23.84 26.59 3.27 76.49 18.63 24.92 -0.0120345995 -0.0152905199 0.0099359393 0.0268384326 -0.0208667737 Stock B 0.0002784267 0.0028852967 0.0001104527 0.0003505378 0.0003493957
5. To show your cash flow drawings, you must copy the drawings onto the Question Worksheet. 12/24/19 25.66 2.61 19.65 18.06 23.32 26.27 3.22 77.25 19.13 24.4 0.0060905976 0.0031055901 0.0028478964 0.0219550444 0.0049180328 Stock C 0.0000590039 0.0001104527 0.0000626372 0.0000444708 0.0000389037
6. Please show your Excel work in the same worksheet as the Question. ABCD 12/25/19 25.82 2.62 19.87 18.48 23.44 26.43 3.23 77.47 19.55 24.52 0 0.0061919505 0.0095520847 0.0081841432 0.0069331158 Stock D 0.0001520281 0.0003505378 0.0000444708 0.0006637104 0.0000858824
7. Data Analysis TookPak results such as Covariance Matrices or Regression Analysis can be inserted in a new worksheet. Option Type Stock Price IV Strike Price Exp Vol Open Int 12/26/19 25.82 2.64 20.61 18.64 23.61 26.43 3.25 78.21 19.71 24.69 -0.0079455165 0.0092307692 -0.0033243831 -0.0081177067 -0.0186310247 Stock E 0.0001134585 0.0003493957 0.0000389037 0.0000858824 0.0004096561
8. I do give some partial credit where enough detail is presented. 38.5 0.39038 37 May, 2020 4892 55057 12/27/19 25.61 2.67 20.35 18.48 23.15 26.22 3.28 77.95 19.55 24.23 0 0.0274390244 -0.0271969211 -0.0173913043 -0.0284770945
Annual interest rate 0.028886 Trading days per year 252 12/30/19 25.61 2.76 18.23 18.14 22.46 26.22 3.37 75.83 19.21 23.54 0.0061022121 -0.0148367953 -0.0076486879 0.0218636127 -0.002548853 Min Variance Markowitz' Equations
Question Points Actual 12/31/19 25.77 2.71 17.65 18.56 22.4 26.38 3.32 75.25 19.63 23.48 -0.0060652009 -0.0271084337 -0.003986711 0.0213958227 -0.0144804089 1 2 3 4 5 7 Y Matrix
1a 4 0 1/1/20 25.61 2.62 17.35 18.98 22.06 26.22 3.23 74.95 20.05 23.14 -0.0022883295 0.0247678019 0.0010673783 0.0079800499 -0.0025929127 1 0.0003865413 0.0002784267 0.0000590039 0.0001520281 0.0001134585 -1 w1 0
1b 2 0 12/10/19 December 10 2019 1 January 1/2/20 25.55 2.7 17.43 19.14 22 26.16 3.31 75.03 20.21 23.08 0.0145259939 -0.0090634441 0.0045315207 0.0168233548 0.0047660312 2 0.0002784267 0.0028852967 0.0001104527 0.0003505378 0.0003493957 -1 w2 0
1c 2 0 11/25/20 November 25 2020 2 February 1/3/20 25.93 2.67 17.77 19.48 22.11 26.54 3.28 75.37 20.55 23.19 0.0610399397 -0.0274390244 0.0025208969 -0.0530413625 0.0349288486 3 0.0000590039 0.0001104527 0.0000626372 0.0000444708 0.0000389037 -1 w3 0
1d 3 0 3 March 1/6/20 27.55 2.58 17.96 18.39 22.92 28.16 3.19 75.56 19.46 24 0.0248579545 0.0282131661 -0.0062202223 0.0256937307 0.005 4 0.0001520281 0.0003505378 0.0000444708 0.0006637104 0.0000858824 -1 w4 0
2a 4 0 4 April 1/7/20 28.25 2.67 17.49 18.89 23.04 28.86 3.28 75.09 19.96 24.12 0.0128205128 0.006097561 0.0017312558 -0.004008016 0.0045605307 5 0.0001134585 0.0003493957 0.0000389037 0.0000858824 0.0004096561 -1 w5 0
2b 4 0 5 May 1/8/20 28.62 2.69 17.62 18.81 23.15 29.23 3.3 75.22 19.88 24.23 -0.0017105713 0.0606060606 0.0041212443 0.0085513078 -0.0094923648 7 1 1 1 1 1 0 λ2 1
3a 2 0 6 June 1/9/20 28.57 2.89 17.93 18.98 22.92 29.18 3.5 75.53 20.05 24 -0.0185058259 0.0085714286 0.003839534 0.0039900249 -0.0145833333
3b 2 0 7 July 1/10/20 28.03 2.92 18.22 19.06 22.57 28.64 3.53 75.82 20.13 23.65 0.0132681564 0.0991501416 -0.0046161963 0.0208643815 0.0198731501 Inverse of Markowitz' Equations Matrix
3c 2 0 8 August 1/13/20 28.41 3.27 17.87 19.48 23.04 29.02 3.88 75.47 20.55 24.12 -0.027911785 -0.0489690722 -0.0025175566 -0.0121654501 -0.0265339967 3363.7533266 -116.5092958 -2251.0458038 -487.5949805 -508.6032466 -0.0031364
3d 2 0 9 September 1/14/20 27.6 3.08 17.68 19.23 22.4 28.21 3.69 75.28 20.3 23.48 0.036157391 0.0054200542 0.0045164718 0.0162561576 0.0195911414 -116.5092958 407.5148647 58.6576177 -121.4616046 -228.2015820 -0.0275314
3e 2 0 10 October 1/15/20 28.62 3.1 18.02 19.56 22.86 29.23 3.71 75.62 20.63 23.94 -0.0174478276 0 -0.0021158424 -0.0203587009 -0.0238095238 -2251.0458038 58.6576177 5154.5394012 -999.3411899 -1962.8100252 0.9242778
4a 4 0 11 November 1/16/20 28.11 3.1 17.86 19.14 22.29 28.72 3.71 75.46 20.21 23.37 -0.0194986072 -0.0215633423 -0.00490326 -0.0039584364 0.0098416774 -487.5949805 -121.4616046 -999.3411899 1713.9113388 -105.5135639 0.0326675
4b 7 0 12 December 1/17/20 27.55 3.02 17.49 19.06 22.52 28.16 3.63 75.09 20.13 23.6 -0.01171875 -0.0495867769 -0.0074577174 0.0457029309 -0.0050847458 -508.6032466 -228.2015820 -1962.8100252 -105.5135639 2805.1284177 0.0737224
5a 4 0 1/20/20 27.22 2.84 16.93 19.98 22.4 27.83 3.45 74.53 21.05 23.48 0.0050305426 -0.0086956522 0.0064403596 -0.0080760095 -0.0046848382 0.0031364 0.0275314 -0.9242778 -0.0326675 -0.0737224 0.0000590
5b 6 0 Assume today is November 25, 2020. One year ago, on December 10, 2019, you created a 1/21/20 27.36 2.81 17.41 19.81 22.29 27.97 3.42 75.01 20.88 23.37 0.0114408295 -0.0058479532 0.0031995734 0.0038314176 0.0072742833
Total 50 0 minimum variance portfolio based from the five stocks shown to the right. 1/22/20 27.68 2.79 17.65 19.89 22.46 28.29 3.4 75.25 20.96 23.54 0.0084835631 0.1058823529 0.0038538206 -0.0085877863 -0.0038232795 Solution = Matrix Multiplication of Inverse Markowitz' Euqation Matrix and the single column of Y Matrix
The total value of the portfolio when you satrted on December 10, 2019, was 1/23/20 27.92 3.15 17.94 19.71 22.37 28.53 3.76 75.54 20.78 23.45 0.0115667718 0.0425531915 0.0037066455 -0.0052935515 0.0038379531 Weight Original Zero Neg Balanced
Comments: November 25, 2020, the last day. 1/24/20 28.25 3.31 18.22 19.6 22.46 28.86 3.92 75.82 20.67 23.54 -0.0384615385 0.1862244898 0.0126615669 0.0062893082 0.0352591334 w1 -0.0031363679 0.257166651 0.257166651
1/27/20 27.14 4.04 19.18 19.73 23.29 27.75 4.65 76.78 20.8 24.37 -0.0183783784 0.0365591398 0.006772597 0.0038461538 -0.0139515798 w2 -0.027531382 0.0553136665 0.0553136665
1/28/20 26.63 4.21 19.7 19.81 22.95 27.24 4.82 77.3 20.88 24.03 0.0040381791 -0.0248962656 0.0235446313 0.0057471264 0.0024968789 w3 0.9242778135 0.0517399004 0.0517399004
Today Year 2020 1/29/20 26.74 4.09 21.52 19.93 23.01 27.35 4.7 79.12 21 24.09 0.0058500914 -0.0382978723 -0.0017694641 -0.0333333333 0.0058115401 w4 0.0326675018 0.2021376246 0.2021376246
Expiration 5/15/20 6 Friday verification = 6 1/30/20 26.9 3.91 21.38 19.23 23.15 27.51 4.52 78.98 20.3 24.23 0.0087241003 0.064159292 0.0029121297 -0.045320197 0.0119686339 w5 0.0737224346 0.3311896863 0.3311896863
Today 4/20/20 April 20 2020 1/31/20 27.14 4.2 21.61 18.31 23.44 27.75 4.81 79.21 19.38 24.52 -0.0046846847 -0.0228690229 0.0017674536 0.0902992776 0.0199836868 λ2 0.000058989
Workdays 20 2/3/20 27.01 4.09 21.75 20.06 23.93 27.62 4.7 79.35 21.13 25.01 -0.0115858074 -0.0276595745 0.0012602394 -0.0037860861 0.0103958417
Assume today is April 20, 2020, before the market has opened. 2/4/20 26.69 3.96 21.85 19.98 24.19 27.3 4.57 79.45 21.05 25.27 -0.0051282051 0.0065645514 -0.0016362492 0.0175771971 0.0134546894 w1 -0.0031363679
Good Friday 2/5/20 26.55 3.99 21.72 20.35 24.53 27.16 4.6 79.32 21.42 25.61 -0.015832106 -0.0065217391 -0.0020171457 -0.0233426704 0.0089808668 w2 -0.027531382
4/19/19 2/6/20 26.12 3.96 21.56 19.85 24.76 26.73 4.57 79.16 20.92 25.84 0.0250654695 0.1641137856 0.0104850935 0.0038240918 0 w3 0.9242778135
4/10/20 2/7/20 26.79 4.71 22.39 19.93 24.76 27.4 5.32 79.99 21 25.84 -0.0167883212 -0.0206766917 0.0055006876 -0.0571428571 -0.0208978328 w4 0.0326675018
4/2/21 2/10/20 26.33 4.6 22.83 18.73 24.22 26.94 5.21 80.43 19.8 25.3 -0.0018559762 -0.0287907869 0.0094492105 -0.0085858586 0.0067193676 w5 0.0737224346
4/15/22 2/11/20 26.28 4.45 23.59 18.56 24.39 26.89 5.06 81.19 19.63 25.47 0.0081814801 0.0158102767 0.0088680872 -0.0168110036 -0.0157047507
4/7/23 2/12/20 26.5 4.53 24.31 18.23 23.99 27.11 5.14 81.91 19.3 25.07 0.0125414976 0.0097276265 0.0010987669 -0.0067357513 0.0055843638 Total Value 1000000
3/29/24 2/13/20 26.84 4.58 24.4 18.1 24.13 27.45 5.19 82 19.17 25.21 -0.0615664845 -0.0269749518 -0.0117073171 -0.0041731873 -0.0138833796
4/18/25 2/14/20 25.15 4.44 23.44 18.02 23.78 25.76 5.05 81.04 19.09 24.86 -0.012810559 -0.0396039604 -0.0024679171 -0.032477737 -0.0092518101
4/3/26 2/17/20 24.82 4.24 23.24 17.4 23.55 25.43 4.85 80.84 18.47 24.63 -0.008257963 -0.0082474227 0.0032162296 -0.0048727666 -0.0125862769
3/26/27 2/18/20 24.61 4.2 23.5 17.31 23.24 25.22 4.81 81.1 18.38 24.32 0.0329103886 -0.0145530146 -0.0014796547 0.0565832427 0.0189144737
4/14/28 2/19/20 25.44 4.13 23.38 18.35 23.7 26.05 4.74 80.98 19.42 24.78 -0.0414587332 -0.0189873418 -0.0113608298 0.0020597322 -0.0266343826
3/30/29 2/20/20 24.36 4.04 22.46 18.39 23.04 24.97 4.65 80.06 19.46 24.12 0.0608730477 0.1591397849 0.0254808893 0.0256937307 -0.0012437811
2/21/20 25.88 4.78 24.5 18.89 23.01 26.49 5.39 82.1 19.96 24.09 -0.0071725179 -0.0241187384 -0.0062119367 -0.0290581162 -0.0062266501
2/24/20 25.69 4.65 23.99 18.31 22.86 26.3 5.26 81.59 19.38 23.94 -0.0072243346 -0.0019011407 -0.0066184581 0.0366357069 0.0025062657
2/25/20 25.5 4.64 23.45 19.02 22.92 26.11 5.25 81.05 20.09 24 -0.0157027959 0.0171428571 -0.0059222702 -0.006470881 -0.0083333333
2/26/20 25.09 4.73 22.97 18.89 22.72 25.7 5.34 80.57 19.96 23.8 -0.0093385214 -0.0131086142 -0.00459228 -0.0145290581 -0.0159663866
2/27/20 24.85 4.66 22.6 18.6 22.34 25.46 5.27 80.2 19.67 23.42 -0.0086410055 0.0569259962 -0.0017456359 -0.0233858668 -0.0183603757
2/28/20 24.63 4.96 22.46 18.14 21.91 25.24 5.57 80.06 19.21 22.99 0.0289223455 0.0053859964 0.0089932551 0.0416449766 -0.0013049152
3/2/20 25.36 4.99 23.18 18.94 21.88 25.97 5.6 80.78 20.01 22.96 -0.007316134 0.0160714286 -0.0038375836 0.007996002 -0.0074041812
3/3/20 25.17 5.08 22.87 19.1 21.71 25.78 5.69 80.47 20.17 22.79 0.0128006206 0.0246045694 0.0024853983 0.0188398612 -0.0127248793
3/4/20 25.5 5.22 23.07 19.48 21.42 26.11 5.83 80.67 20.55 22.5 -0.0091918805 0.077186964 -0.0001239618 -0.0141119221 0.0048888889
3/5/20 25.26 5.67 23.06 19.19 21.53 25.87 6.28 80.66 20.26 22.61 -0.0328565906 0.1576433121 0.0028514753 -0.0227048371 -0.007518797
3/6/20 24.41 6.66 23.29 18.73 21.36 25.02 7.27 80.89 19.8 22.44 0.0075939249 0.0357634113 -0.0008653727 -0.0297979798 0.0129233512
3/9/20 24.6 6.92 23.22 18.14 21.65 25.21 7.53 80.82 19.21 22.73 0.0150733836 -0.0239043825 -0.002969562 -0.0041644977 0
3/10/20 24.98 6.74 22.98 18.06 21.65 25.59 7.35 80.58 19.13 22.73 0.0054708871 -0.0979591837 -0.0065773145 0.0198640878 -0.0140783106
3/11/20 25.12 6.02 22.45 18.44 21.33 25.73 6.63 80.05 19.51 22.41 0.0159347066 0.0558069382 0.0113678951 0.0020502307 0.0191878626
3/12/20 25.53 6.39 23.36 18.48 21.76 26.14 7 80.96 19.55 22.84 -0.0022953328 0.0042857143 -0.0011116601 0.0485933504 0.0166374781
3/13/20 25.47 6.42 23.27 19.43 22.14 26.08 7.03 80.87 20.5 23.22 0.0272239264 0.039829303 0.0028440707 -0.0019512195 0.0086132644
3/16/20 26.18 6.7 23.5 19.39 22.34 26.79 7.31 81.1 20.46 23.42 -0.0164240388 -0.049247606 0.0082614057 -0.0219941349 0.0064047822
3/17/20 25.74 6.34 24.17 18.94 22.49 26.35 6.95 81.77 20.01 23.57 -0.0102466793 0.0143884892 -0.0105173046 -0.0104947526 0
3/18/20 25.47 6.44 23.31 18.73 22.49 26.08 7.05 80.91 19.8 23.57 -0.0176380368 -0.0255319149 -0.0075392411 0 -0.0148493848
3/19/20 25.01 6.26 22.7 18.73 22.14 25.62 6.87 80.3 19.8 23.22 0.0023419204 0.0014556041 -0.002366127 0.0333333333 -0.003875969
3/20/20 25.07 6.27 22.51 19.39 22.05 25.68 6.88 80.11 20.46 23.13 0.0031152648 0.0174418605 0.0028710523 0.0244379277 0.0151318634
3/23/20 25.15 6.39 22.74 19.89 22.4 25.76 7 80.34 20.96 23.48 0.011257764 0.07 -0.000497884 0.010019084 -0.0085178876
3/24/20 25.44 6.88 22.7 20.1 22.2 26.05 7.49 80.3 21.17 23.28 0.0180422265 0.0040053405 0.000622665 0.0061407652 0.0025773196
3/25/20 25.91 6.91 22.75 20.23 22.26 26.52 7.52 80.35 21.3 23.34 0.0143288084 0.0039893617 0.0042314872 0.0328638498 -0.0137103685
3/26/20 26.29 6.94 23.09 20.93 21.94 26.9 7.55 80.69 22 23.02 -0.0074349442 -0.0450331126 -0.0050811749 -0.0113636364 -0.0112945265
3/27/20 26.09 6.6 22.68 20.68 21.68 26.7 7.21 80.28 21.75 22.76 0.0093632959 -0.0291262136 -0.0013702043 -0.0151724138 -0.0166959578
3/30/20 26.34 6.39 22.57 20.35 21.3 26.95 7 80.17 21.42 22.38 -0.0029684601 -0.0014285714 -0.0022452289 0.0079365079 0.0026809651
3/31/20 26.26 6.38 22.39 20.52 21.36 26.87 6.99 79.99 21.59 22.44 -0.0171194641 0.008583691 -0.0156269534 -0.0060213062 0
4/1/20 25.8 6.44 21.14 20.39 21.36 26.41 7.05 78.74 21.46 22.44 -0.0064369557 -0.0468085106 -0.0081280163 0.0661696179 0.0334224599
4/2/20 25.63 6.11 20.5 21.81 22.11 26.24 6.72 78.1 22.88 23.19 0.0137195122 0.0416666667 0.0032010243 0.0109265734 0.0176800345
4/3/20 25.99 6.39 20.75 22.06 22.52 26.6 7 78.35 23.13 23.6 0.0018796992 0.0328571429 -0.0035737077 -0.0306960657 -0.0025423729
4/6/20 26.04 6.62 20.47 21.35 22.46 26.65 7.23 78.07 22.42 23.54 -0.0232645403 -0.0414937759 -0.0065325989 -0.0298840321 -0.025913339
4/7/20 25.42 6.32 19.96 20.68 21.85 26.03 6.93 77.56 21.75 22.93 -0.003457549 -0.0533910534 -0.0058019598 0.0059770115 -0.0013083297
4/8/20 25.33 5.95 19.51 20.81 21.82 25.94 6.56 77.11 21.88 22.9 -0.0196607556 -0.1204268293 0.0010374789 -0.0324497258 -0.0288209607
4/9/20 24.82 5.16 19.59 20.1 21.16 25.43 5.77 77.19 21.17 22.24 -0.010617381 0.0086655113 -0.0141210001 -0.0198393954 -0.0224820144
4/10/20 24.55 5.21 18.5 19.68 20.66 25.16 5.82 76.1 20.75 21.74 0.0151033386 0.0463917526 0.0039421813 0.0322891566 0.0041398344
4/13/20 24.93 5.48 18.8 20.35 20.75 25.54 6.09 76.4 21.42 21.83 0.0274079875 0.0459770115 0.0048429319 0.0116713352 0.0174072377
4/14/20 25.63 5.76 19.17 20.6 21.13 26.24 6.37 76.77 21.67 22.21 0.019054878 0.0973312402 -0.0082063306 -0.0230733733 0.0090049527
4/15/20 26.13 6.38 18.54 20.1 21.33 26.74 6.99 76.14 21.17 22.41 -0.0052356021 -0.0271816881 0.0048594694 0.0099196977 -0.0272199911
4/16/20 25.99 6.19 18.91 20.31 20.72 26.6 6.8 76.51 21.38 21.8 -0.0022556391 -0.0161764706 -0.0074500065 -0.0177736202 0
4/17/20 25.93 6.08 18.34 19.93 20.72 26.54 6.69 75.94 21 21.8 0.0143180106 -0.0493273543 0.0036871214 0.0080952381 0.0201834862
4/20/20 26.31 5.75 18.62 20.1 21.16 26.92 6.36 76.22 21.17 22.24 -0.0352897474 -0.0487421384 -0.0041983731 -0.0292867265 0.0139388489
4/21/20 25.36 5.44 18.3 19.48 21.47 25.97 6.05 75.9 20.55 22.55 0.0261840585 0.0446280992 0.0096179183 0.003892944 0.0168514412
4/22/20 26.04 5.71 19.03 19.56 21.85 26.65 6.32 76.63 20.63 22.93 0.0574108818 0.1202531646 0.0026099439 0.0465341735 -0.0074138683
4/23/20 27.57 6.47 19.23 20.52 21.68 28.18 7.08 76.83 21.59 22.76 0.0021291696 -0.0197740113 0.0009111024 -0.0018527096 0.0241652021
4/24/20 27.63 6.33 19.3 20.48 22.23 28.24 6.94 76.9 21.55 23.31 0.0173512748 0.053314121 0.0058517555 -0.0041763341 0.0124410124
4/27/20 28.12 6.7 19.75 20.39 22.52 28.73 7.31 77.35 21.46 23.6 0.0104420466 -0.0123119015 -0.0020685197 0.0293569432 0.0021186441
4/28/20 28.42 6.61 19.59 21.02 22.57 29.03 7.22 77.19 22.09 23.65 -0.0124009645 -0.0761772853 -0.0067366239 -0.0226346763 0.0050739958
4/29/20 28.06 6.06 19.07 20.52 22.69 28.67 6.67 76.67 21.59 23.77 0.0087199163 0.1034482759 0.0108256163 0.0671607226 0.0025241902
4/30/20 28.31 6.75 19.9 21.97 22.75 28.92 7.36 77.5 23.04 23.83 -0.0048409405 -0.0176630435 -0.0108387097 0.0021701389 -0.0012589173
5/1/20 28.17 6.62 19.06 22.02 22.72 28.78 7.23 76.66 23.09 23.8 0.0020847811 0.0165975104 0.0014349074 0.0034647033 -0.0109243697
5/4/20 28.23 6.74 19.17 22.1 22.46 28.84 7.35 76.77 23.17 23.54 -0.0020804438 -0.0013605442 -0.0057314055 0.0017263703 -0.0127442651
5/5/20 28.17 6.73 18.73 22.14 22.16 28.78 7.34 76.33 23.21 23.24 0.0097289785 0.0926430518 -0.0035372724 0.034037053 0
5/6/20 28.45 7.41 18.46 22.93 22.16 29.06 8.02 76.06 24 23.24 0.0151410874 -0.006234414 -0.0028924533 -0.0225 -0.008605852
5/7/20 28.89 7.36 18.24 22.39 21.96 29.5 7.97 75.84 23.46 23.04 -0.0122033898 -0.0037641154 -0.0093618143 -0.0179028133 -0.0238715278
5/8/20 28.53 7.33 17.53 21.97 21.41 29.14 7.94 75.13 23.04 22.49 -0.0178448868 0.0138539043 -0.0042592839 0.0021701389 0.0075589151
5/11/20 28.01 7.44 17.21 22.02 21.58 28.62 8.05 74.81 23.09 22.66 0.0153738644 -0.0236024845 0.0053468788 0.0394110004 -0.0075022065
5/12/20 28.45 7.25 17.61 22.93 21.41 29.06 7.86 75.21 24 22.49 0.0271851342 0.0025445293 -0.0097061561 -0.05375 -0.020898177
5/13/20 29.24 7.27 16.88 21.64 20.94 29.85 7.88 74.48 22.71 22.02 -0.008040201 0.0596446701 0.0028195489 -0.012769705 0.0199818347
5/14/20 29 7.74 17.09 21.35 21.38 29.61 8.35 74.69 22.42 22.46 0.0101317123 0.0383233533 0.0046860356 -0.0093666369 0.0089047195
5/15/20 29.3 8.06 17.44 21.14 21.58 29.91 8.67 75.04 22.21 22.66 -0.0130391174 0.0092272203 -0.0039978678 -0.0112561909 0
5/18/20 28.91 8.14 17.14 20.89 21.58 29.52 8.75 74.74 21.96 22.66 -0.0145663957 -0.0091428571 0.0001337972 0.0036429872 -0.0088261253
5/19/20 28.48 8.06 17.15 20.97 21.38 29.09 8.67 74.75 22.04 22.46 0.0178755586 0.0945790081 0.0046822742 0.0249546279 0.0271593945
5/20/20 29 8.88 17.5 21.52 21.99 29.61 9.49 75.1 22.59 23.07 -0.0057413036 -0.0231822972 -0.0046604527 0.0239043825 0.0099696576
5/21/20 28.83 8.66 17.15 22.06 22.22 29.44 9.27 74.75 23.13 23.3 -0.011888587 -0.0409924488 0.0077591973 -0.0181582361 -0.0025751073
5/22/20 28.48 8.28 17.73 21.64 22.16 29.09 8.89 75.33 22.71 23.24 -0.0010312822 -0.0461192351 0.0061064649 0.0110083664 -0.002151463
5/25/20 28.45 7.87 18.19 21.89 22.11 29.06 8.48 75.79 22.96 23.19 -0.0151410874 0.0153301887 -0.00448608 0.0017421603 0.0021561018
5/26/20 28.01 8 17.85 21.93 22.16 28.62 8.61 75.45 23 23.24 0.0094339623 -0.0301974448 -0.0039761431 -0.0108695652 -0.0447504303
5/27/20 28.28 7.74 17.55 21.68 21.12 28.89 8.35 75.15 22.75 22.2 0.0200761509 0.0083832335 0.0121091151 0.0237362637 0.0207207207
5/28/20 28.86 7.81 18.46 22.22 21.58 29.47 8.42 76.06 23.29 22.66 0.0064472345 0.0486935867 0.00433868 0.0145985401 0.0154457193
5/29/20 29.05 8.22 18.79 22.56 21.93 29.66 8.83 76.39 23.63 23.01 0.0020229265 0.0181200453 -0.0048435659 0 -0.001303781
6/1/20 29.11 8.38 18.42 22.56 21.9 29.72 8.99 76.02 23.63 22.98 -0.0121130552 -0.0233592881 -0.000394633 0.0067710537 -0.0047867711
6/2/20 28.75 8.17 18.39 22.72 21.79 29.36 8.78 75.99 23.79 22.87 0.0231607629 -0.0432801822 0.0038162916 -0.0138713745 0.0214254482
6/3/20 29.43 7.79 18.68 22.39 22.28 30.04 8.4 76.28 23.46 23.36 -0.0053262317 -0.0083333333 0.0022286314 0.0072463768 -0.0162671233
6/4/20 29.27 7.72 18.85 22.56 21.9 29.88 8.33 76.45 23.63 22.98 0.0046854083 -0.0276110444 0.0015696534 0.0067710537 -0.001305483
6/5/20 29.41 7.49 18.97 22.72 21.87 30.02 8.1 76.57 23.79 22.95 0.0036642239 0.0024691358 0.0048321797 0.0121899958 0.0065359477
6/8/20 29.52 7.51 19.34 23.01 22.02 30.13 8.12 76.94 24.08 23.1 -0.0073016927 0.0504926108 0.0061086561 -0.0016611296 -0.0038961039
6/9/20 29.3 7.92 19.81 22.97 21.93 29.91 8.53 77.41 24.04 23.01 0.0274155801 0.0386869871 0.0064591138 0.0191347754 0.0099956541
6/10/20 30.12 8.25 20.31 23.43 22.16 30.73 8.86 77.91 24.5 23.24 0.0097624471 -0.0169300226 0.0102682582 -0.0236734694 0.0189328744
6/11/20 30.42 8.1 21.11 22.85 22.6 31.03 8.71 78.71 23.92 23.68 -0.0106348695 -0.0160734788 0.0038114598 0.02090301 0
6/12/20 30.09 7.96 21.41 23.35 22.6 30.7 8.57 79.01 24.42 23.68 0.0016286645 -0.0210035006 -0.0032907227 -0.0102375102 -0.0012668919
6/15/20 30.14 7.78 21.15 23.1 22.57 30.75 8.39 78.75 24.17 23.65 0.0126829268 0.0357568534 -0.0007619048 0.0256516343 0.0295983087
6/16/20 30.53 8.08 21.09 23.72 23.27 31.14 8.69 78.69 24.79 24.35 -0.0080282595 0.0069044879 -0.0036853476 0.0084711577 0.0036960986
6/17/20 30.28 8.14 20.8 23.93 23.36 30.89 8.75 78.4 25 24.44 0.011654257 0 -0.000127551 -0.0116 0.0188216039
6/18/20 30.64 8.14 20.79 23.64 23.82 31.25 8.75 78.39 24.71 24.9 -0.00704 -0.0057142857 -0.0038270188 -0.0234722784 0.0341365462
6/19/20 30.42 8.09 20.49 23.06 24.67 31.03 8.7 78.09 24.13 25.75 0.0061231067 -0.0068965517 0.0025611474 0.0327393286 -0.0147572816
6/22/20 30.61 8.03 20.69 23.85 24.29 31.22 8.64 78.29 24.92 25.37 0.0080076874 -0.0011574074 0.0224805211 0.0216693419 0.0137958218
6/23/20 30.86 8.02 22.45 24.39 24.64 31.47 8.63 80.05 25.46 25.72 0.0273276136 -0.0127462341 0.0072454716 -0.0015710919 -0.0011664075
6/24/20 31.72 7.91 23.03 24.35 24.61 32.33 8.52 80.63 25.42 25.69 0.0151562017 -0.0258215962 -0.0054570259 -0.0051140834 -0.0182950564
6/25/20 32.21 7.69 22.59 24.22 24.14 32.82 8.3 80.19 25.29 25.22 0.015234613 0.0036144578 0.0049881531 0.0130486358 0.0138778747
6/26/20 32.71 7.72 22.99 24.55 24.49 33.32 8.33 80.59 25.62 25.57 0.0015006002 0.0960384154 -0.0052115647 0.0035128806 0.0273758311
6/29/20 32.76 8.52 22.57 24.64 25.19 33.37 9.13 80.17 25.71 26.27 0.0017980222 0.0657174151 -0.0213296744 0 -0.0053292729
6/30/20 32.82 9.12 20.86 24.64 25.05 33.43 9.73 78.46 25.71 26.13 -0.0158540233 -0.0174717369 0.0035686974 -0.0260598989 0.0053578263
7/1/20 32.29 8.95 21.14 23.97 25.19 32.9 9.56 78.74 25.04 26.27 -0.0139817629 0.0481171548 -0.0337820676 0.0015974441 -0.007613247
7/2/20 31.83 9.41 18.48 24.01 24.99 32.44 10.02 76.08 25.08 26.07 0.0218865598 0.0658682635 0.0081493165 0.0183413078 0.0065209053
7/3/20 32.54 10.07 19.1 24.47 25.16 33.15 10.68 76.7 25.54 26.24 0.0042232278 0.0852059925 -0.0096479791 -0.0046985121 0.0057164634
7/6/20 32.68 10.98 18.36 24.35 25.31 33.29 11.59 75.96 25.42 26.39 0.0240312406 -0.0629853322 0.0042127435 0.0098347758 0.0322091701
7/7/20 33.48 10.25 18.68 24.6 26.16 34.09 10.86 76.28 25.67 27.24 -0.0114403051 0.0156537753 0.0007865758 -0.0132450331 -0.0227606461
7/8/20 33.09 10.42 18.74 24.26 25.54 33.7 11.03 76.34 25.33 26.62 -0.003264095 0.0181323663 0.0034058161 -0.0063166206 -0.0285499624
7/9/20 32.98 10.62 19 24.1 24.78 33.59 11.23 76.6 25.17 25.86 0.0023816612 -0.0124666073 -0.003002611 0.0063567739 -0.0088940449
7/10/20 33.06 10.48 18.77 24.26 24.55 33.67 11.09 76.37 25.33 25.63 -0.0032670033 0.0270513977 0.0007856488 0.0114488749 -0.0011705033
7/13/20 32.95 10.78 18.83 24.55 24.52 33.56 11.39 76.43 25.62 25.6 -0.008045292 -0.035118525 -0.0061494178 0.0179547229 -0.0171875
7/14/20 32.68 10.38 18.36 25.01 24.08 33.29 10.99 75.96 26.08 25.16 -0.0042054671 0.042766151 -0.0021063718 0.036809816 0.0186804452
7/15/20 32.54 10.85 18.2 25.97 24.55 33.15 11.46 75.8 27.04 25.63 -0.0090497738 0.0157068063 0.0052770449 -0.0247781065 0.0089738588
7/16/20 32.24 11.03 18.6 25.3 24.78 32.85 11.64 76.2 26.37 25.86 -0.0066971081 0.0077319588 0.006824147 -0.0030337505 0.0429234339
7/17/20 32.02 11.12 19.12 25.22 25.89 32.63 11.73 76.72 26.29 26.97 -0.015936255 0.0179028133 0.0022158498 0 0.034853541
7/20/20 31.5 11.33 19.29 25.22 26.83 32.11 11.94 76.89 26.29 27.91 0.0255372158 0.0753768844 -0.0044219014 -0.006466337 0.0680759584
7/21/20 32.32 12.23 18.95 25.05 28.73 32.93 12.84 76.55 26.12 29.81 0.0385666565 0.058411215 -0.0035271065 0.0225880551 0.0224756793
7/22/20 33.59 12.98 18.68 25.64 29.4 34.2 13.59 76.28 26.71 30.48 0.0096491228 -0.0125091979 0.0011798637 -0.004867091 0.0095144357
7/23/20 33.92 12.81 18.77 25.51 29.69 34.53 13.42 76.37 26.58 30.77 -0.0104257168 -0.0320417288 -0.0092968443 0.0030097818 -0.0253493663
7/24/20 33.56 12.38 18.06 25.59 28.91 34.17 12.99 75.66 26.66 29.99 -0.0119988294 -0.0554272517 -0.0039651071 -0.0030007502 -0.0146715572
7/27/20 33.15 11.66 17.76 25.51 28.47 33.76 12.27 75.36 26.58 29.55 -0.019549763 0.2004889976 0.0118099788 0.032731377 0.0138747885
7/28/20 32.49 14.12 18.65 26.38 28.88 33.1 14.73 76.25 27.45 29.96 -0.0160120846 0.016293279 -0.0007868852 0.0061930783 0.0046728972
7/29/20 31.96 14.36 18.59 26.55 29.02 32.57 14.97 76.19 27.62 30.1 -0.0135093644 0.0273881096 -0.003675023 0.0228095583 -0.0019933555
7/30/20 31.52 14.77 18.31 27.18 28.96 32.13 15.38 75.91 28.25 30.04 -0.0214752568 0.0832249675 -0.0015808194 -0.017699115 -0.0046604527
7/31/20 30.83 16.05 18.19 26.68 28.82 31.44 16.66 75.79 27.75 29.9 0.0359414758 -0.0516206483 0.0026388706 -0.0122522523 0.0030100334
8/3/20 31.96 15.19 18.39 26.34 28.91 32.57 15.8 75.99 27.41 29.99 -0.0227202947 -0.0740506329 0.0259244637 -0.0317402408 -0.0536845615
8/4/20 31.22 14.02 20.36 25.47 27.3 31.83 14.63 77.96 26.54 28.38 -0.0034558593 0.021872864 -0.0037198563 0.0124340618 -0.0042283298
8/5/20 31.11 14.34 20.07 25.8 27.18 31.72 14.95 77.67 26.87 28.26 -0.0173392182 -0.0214046823 -0.0065662418 -0.0357275772 0.0102618542
8/6/20 30.56 14.02 19.56 24.84 27.47 31.17 14.63 77.16 25.91 28.55 -0.0054539621 0.0539986329 -0.0022032141 -0.0077190274 -0.0101576182
8/7/20 30.39 14.81 19.39 24.64 27.18 31 15.42 76.99 25.71 28.26 0.0170967742 0.0012970169 0.0093518639 0.0062232594 0.0736022647
8/10/20 30.92 14.83 20.11 24.8 29.26 31.53 15.44 77.71 25.87 30.34 0.0076117983 0.018134715 -0.0003860507 0.0015461925 0
8/11/20 31.16 15.11 20.08 24.84 29.26 31.77 15.72 77.68 25.91 30.34 -0.0050361977 -0.0330788804 -0.0003861998 -0.0142802007 -0.0135135135
8/12/20 31 14.59 20.05 24.47 28.85 31.61 15.2 77.65 25.54 29.93 -0.0148687124 -0.0138157895 -0.001545396 0.0031323414 -0.0040093552
8/13/20 30.53 14.38 19.93 24.55 28.73 31.14 14.99 77.53 25.62 29.81 0.0035324342 0.0013342228 -0.001160841 -0.0097580016 -0.0010063737
8/14/20 30.64 14.4 19.84 24.3 28.7 31.25 15.01 77.44 25.37 29.78 0.01856 0.0039973351 0.0112345041 -0.024438313 0.024513096
8/17/20 31.22 14.46 20.71 23.68 29.43 31.83 15.07 78.31 24.75 30.51 0.0216776626 0.0690112807 0.0007661857 0.0032323232 0.0095050803
8/18/20 31.91 15.5 20.77 23.76 29.72 32.52 16.11 78.37 24.83 30.8 -0.0033825338 -0.0291744258 -0.0007655991 0.0100684656 0.0077922078
8/19/20 31.8 15.03 20.71 24.01 29.96 32.41 15.64 78.31 25.08 31.04 -0.0182042579 -0.0172634271 -0.0132805517 0.0151515152 -0.0057989691
8/20/20 31.21 14.76 19.67 24.39 29.78 31.82 15.37 77.27 25.46 30.86 0.0087994972 -0.0123617437 -0.0029765756 -0.0133542812 -0.0113415424
8/21/20 31.49 14.57 19.44 24.05 29.43 32.1 15.18 77.04 25.12 30.51 -0.000623053 0.0032938076 -0.0167445483 0.0334394904 0.0458865946
8/24/20 31.47 14.62 18.15 24.89 30.83 32.08 15.23 75.75 25.96 31.91 -0.006234414 -0.0210111622 0.000660066 -0.0130970724 -0.0043873394
8/25/20 31.27 14.3 18.2 24.55 30.69 31.88 14.91 75.8 25.62 31.77 -0.008782936 -0.0516431925 0.0011873351 -0.0226385636 0.0018885741
8/26/20 30.99 13.53 18.29 23.97 30.75 31.6 14.14 75.89 25.04 31.83 -0.0060126582 0.0608203678 -0.001185927 -0.018370607 0
8/27/20 30.8 14.39 18.2 23.51 30.75 31.41 15 75.8 24.58 31.83 0.0079592486 -0.0426666667 -0.0026385224 -0.0081366965 0.0204209865
8/28/20 31.05 13.75 18 23.31 31.4 31.66 14.36 75.6 24.38 32.48 -0.0217940619 -0.045264624 -0.0137566138 -0.0291222313 0.0018472906
8/31/20 30.36 13.1 16.96 22.6 31.46 30.97 13.71 74.56 23.67 32.54 -0.0100096868 -0.0255288111 -0.0108637339 -0.0828052387 -0.016287646
9/1/20 30.05 12.75 16.15 20.64 30.93 30.66 13.36 73.75 21.71 32.01 0.0234833659 0.005988024 0.0074576271 -0.0267157992 0.0146829116
9/2/20 30.77 12.83 16.7 20.06 31.4 31.38 13.44 74.3 21.13 32.48 0.0299553856 0.021577381 0.0053835801 0.0037860861 0.0046182266
9/3/20 31.71 13.12 17.1 20.14 31.55 32.32 13.73 74.7 21.21 32.63 -0.010210396 0.0400582666 -0.0017402945 0.0160301744 0.0018387987
9/4/20 31.38 13.67 16.97 20.48 31.61 31.99 14.28 74.57 21.55 32.69 0.0293841826 0.0518207283 -0.0024138393 0.007424594 -0.0440501682
9/7/20 32.32 14.41 16.79 20.64 30.17 32.93 15.02 74.39 21.71 31.25 0.0018220468 -0.0119840213 -0.00040328 -0.0211883924 0.00576
9/8/20 32.38 14.23 16.76 20.18 30.35 32.99 14.84 74.36 21.25 31.43 -0.0218247954 0.0121293801 -0.0051102743 -0.0508235294 -0.0139993637
9/9/20 31.66 14.41 16.38 19.1 29.91 32.27 15.02 73.98 20.17 30.99 0.0223117447 0.0552596538 0.0097323601 0.0515617253 0.0064536947
9/10/20 32.38 15.24 17.1 20.14 30.11 32.99 15.85 74.7 21.21 31.19 0.0166717187 0.0687697161 -0.0018741633 0.0273455917 0.0198781661
9/11/20 32.93 16.33 16.96 20.72 30.73 33.54 16.94 74.56 21.79 31.81 0.0068574836 0.0655253837 0.0151555794 -0.0380908674 0.0367808865
9/14/20 33.16 17.44 18.09 19.89 31.9 33.77 18.05 75.69 20.96 32.98 0.0213206988 0.0592797784 0.0044920069 0.0019083969 -0.0069739236
9/15/20 33.88 18.51 18.43 19.93 31.67 34.49 19.12 76.03 21 32.75 0.0176862859 0.0041841004 0.0068394055 0.0161904762 0.0009160305
9/16/20 34.49 18.59 18.95 20.27 31.7 35.1 19.2 76.55 21.34 32.78 -0.0102564103 0.0229166667 -0.0056172436 -0.0042174321 0.0061012813
9/17/20 34.13 19.03 18.52 20.18 31.9 34.74 19.64 76.12 21.25 32.98 0 -0.0224032587 0.0023646873 0.0414117647 0.0142510612
9/18/20 34.13 18.59 18.7 21.06 32.37 34.74 19.2 76.3 22.13 33.45 -0.0472078296 0.1380208333 -0.0038007864 -0.0040668775 0.0325859492
9/21/20 32.49 21.24 18.41 20.97 33.46 33.1 21.85 76.01 22.04 34.54 0.0060422961 0.0169336384 -0.0061833969 -0.0412885662 -0.0034742328
9/22/20 32.69 21.61 17.94 20.06 33.34 33.3 22.22 75.54 21.13 34.42 -0.0177177177 0.1485148515 0.0007942812 -0.0373876006 0.0339918652
9/23/20 32.1 24.91 18 19.27 34.51 32.71 25.52 75.6 20.34 35.59 0.0296545399 -0.0403605016 0.0052910053 -0.0491642085 0.0084293341
9/24/20 33.07 23.88 18.4 18.27 34.81 33.68 24.49 76 19.34 35.89 -0.0195961995 -0.0249081258 0.0102631579 0.0258531541 -0.0147673447
9/25/20 32.41 23.27 19.18 18.77 34.28 33.02 23.88 76.78 19.84 35.36 -0.0169594185 0.0117252931 0.0128939828 0.0438508065 0.0082013575
9/28/20 31.85 23.55 20.17 19.64 34.57 32.46 24.16 77.77 20.71 35.65 0.033271719 -0.0099337748 -0.0052719558 -0.0057943023 -0.0106591865
9/29/20 32.93 23.31 19.76 19.52 34.19 33.54 23.92 77.36 20.59 35.27 0.0214669052 -0.0246655518 0.011246122 0.0019426906 -0.0223986391
9/30/20 33.65 22.72 20.63 19.56 33.4 34.26 23.33 78.23 20.63 34.48 0.0195563339 0.026575225 0 0.017935046 0.0101508121
10/1/20 34.32 23.34 20.63 19.93 33.75 34.93 23.95 78.23 21 34.83 0.0022902949 -0.0050104384 -0.0034513614 0.0042857143 0.0186620729
10/2/20 34.4 23.22 20.36 20.02 34.4 35.01 23.83 77.96 21.09 35.48 0.000856898 0.041963911 -0.0024371473 0.0293978189 -0.079481398
10/5/20 34.43 24.22 20.17 20.64 31.58 35.04 24.83 77.77 21.71 32.66 -0.0331050228 -0.0221506242 0.0006429214 -0.0327038231 0.0162278016
10/6/20 33.27 23.67 20.22 19.93 32.11 33.88 24.28 77.82 21 33.19 0.0203659976 -0.0370675453 0.00154202 0.0119047619 -0.0114492317
10/7/20 33.96 22.77 20.34 20.18 31.73 34.57 23.38 77.94 21.25 32.81 0.0054960949 0.0376390077 0.0094944829 -0.0155294118 0.002438281
10/8/20 34.15 23.65 21.08 19.85 31.81 34.76 24.26 78.68 20.92 32.89 0.002589183 -0.0305028854 -0.0013980681 -0.043499044 -0.0088172697
10/9/20 34.24 22.91 20.97 18.94 31.52 34.85 23.52 78.57 20.01 32.6 0.0008608321 -0.0072278912 -0.0036909762 0.0494752624 -0.004601227
10/12/20 34.27 22.74 20.68 19.93 31.37 34.88 23.35 78.28 21 32.45 -0.0209288991 -0.0483940043 0.001149719 -0.0352380952 -0.0314329738
10/13/20 33.54 21.61 20.77 19.19 30.35 34.15 22.22 78.37 20.26 31.43 -0.0275256223 -0.0148514851 -0.0089319893 -0.0024679171 -0.0318167356
10/14/20 32.6 21.28 20.07 19.14 29.35 33.21 21.89 77.67 20.21 30.43 0.0192713038 -0.0141617177 0.007209991 -0.028698664 -0.0134735458
10/15/20 33.24 20.97 20.63 18.56 28.94 33.85 21.58 78.23 19.63 30.02 0.0073855244 0.0403151066 0.0090758021 -0.018848701 0.0026648901
10/16/20 33.49 21.84 21.34 18.19 29.02 34.1 22.45 78.94 19.26 30.1 -0.0196480938 0.0445434298 -0.0076007094 -0.0280373832 0.042192691
10/19/20 32.82 22.84 20.74 17.65 30.29 33.43 23.45 78.34 18.72 31.37 0.0140592282 0.0426439232 0.0033188665 -0.0048076923 0.0194453299
10/20/20 33.29 23.84 21 17.56 30.9 33.9 24.45 78.6 18.63 31.98 0.0091445428 -0.0265848671 -0.0011450382 0 -0.0062539087
10/21/20 33.6 23.19 20.91 17.56 30.7 34.21 23.8 78.51 18.63 31.78 0.015492546 -0.0079831933 0.0135014648 -0.0155662909 -0.0066079295
10/22/20 34.13 23 21.97 17.27 30.49 34.74 23.61 79.57 18.34 31.57 -0.01208981 0.0584498094 -0.0110594445 0.0408942203 0.012987013
10/23/20 33.71 24.38 21.09 18.02 30.9 34.32 24.99 78.69 19.09 31.98 0.0081585082 -0.0216086435 -0.0033041047 -0.008905186 0.0028142589
10/26/20 33.99 23.84 20.83 17.85 30.99 34.6 24.45 78.43 18.92 32.07 0.0054913295 0.0237218814 -0.0010200179 0.0285412262 -0.0081072654
10/27/20 34.18 24.42 20.75 18.39 30.73 34.79 25.03 78.35 19.46 31.81 -0.007185973 -0.0015980823 -0.0005105297 0.00668037 0.0110028293
10/28/20 33.93 24.38 20.71 18.52 31.08 34.54 24.99 78.31 19.59 32.16 0.0112912565 -0.006402561 -0.0044694164 -0.0086778969 -0.0282960199
10/29/20 34.32 24.22 20.36 18.35 30.17 34.93 24.83 77.96 19.42 31.25 -0.1004866877 -0.28070882 -0.0371985634 -0.0664263646 -0.11488
10/30/20 30.81 17.25 17.46 17.06 26.58 31.42 17.86 75.06 18.13 27.66 0.0477402928 0.0453527436 0.0157207567 0.0733590734 0.0618221258
11/2/20 32.31 18.06 18.64 18.39 28.29 32.92 18.67 76.24 19.46 29.37 0.0045565006 0.0739153723 -0.0036726128 0.0025693731 -0.0190670752
11/3/20 32.46 19.44 18.36 18.44 27.73 33.07 20.05 75.96 19.51 28.81 0.0293317206 -0.0319201995 0.0060558189 -0.0087134803 -0.0142311697
11/4/20 33.43 18.8 18.82 18.27 27.32 34.04 19.41 76.42 19.34 28.4 0.0164512338 0.0020607934 0.0048416645 -0.0020682523 0.0031690141
11/5/20 33.99 18.84 19.19 18.23 27.41 34.6 19.45 76.79 19.3 28.49 -0.0063583815 0.0580976864 0.0026045058 0.0041450777 0.027027027
11/6/20 33.77 19.97 19.39 18.31 28.18 34.38 20.58 76.99 19.38 29.26 0.0095986038 0 0.0187037278 0.0706914345 -0.0092276145
11/9/20 34.1 19.97 20.83 19.68 27.91 34.71 20.58 78.43 20.75 28.99 0.0337078652 0.0485908649 0.0028050491 -0.0159036145 -0.0082787168
11/10/20 35.27 20.97 21.05 19.35 27.67 35.88 21.58 78.65 20.42 28.75 -0.0117056856 0.0055607044 0.0003814367 -0.0039177277 -0.008
11/11/20 34.85 21.09 21.08 19.27 27.44 35.46 21.7 78.68 20.34 28.52 -0.0149464185 0.1036866359 -0.0027961362 -0.0019665683 0.0122720898
11/12/20 34.32 23.34 20.86 19.23 27.79 34.93 23.95 78.46 20.3 28.87 0.0312052677 0.0308977035 -0.0014019883 0.0039408867 -0.0419120194
11/13/20 35.41 24.08 20.75 19.31 26.58 36.02 24.69 78.35 20.38 27.66 -0.0130483065 0.0672336979 -0.0033184429 -0.018155054 0.0021691974
11/16/20 34.94 25.74 20.49 18.94 26.64 35.55 26.35 78.09 20.01 27.72 0.0149085795 0.1415559772 0.0110129338 0.051974013 0
11/17/20 35.47 29.47 21.35 19.98 26.64 36.08 30.08 78.95 21.05 27.72 -0.0085920177 -0.0219414894 -0.0054464851 -0.0337292162 0.0054112554
11/18/20 35.16 28.81 20.92 19.27 26.79 35.77 29.42 78.52 20.34 27.87 -0.011741683 0.048946295 0.0094243505 0.0285152409 0.0075349839
11/19/20 34.74 30.25 21.66 19.85 27 35.35 30.86 79.26 20.92 28.08 -0.0181046676 -0.0651328581 -0.0150138784 -0.0893881453 0.0438034188
11/20/20 34.1 28.24 20.47 17.98 28.23 34.71 28.85 78.07 19.05 29.31 0.009795448 0.1216637782 0.0012809018 0.0194225722 -0.0300238826
11/23/20 34.44 31.75 20.57 18.35 27.35 35.05 32.36 78.17 19.42 28.43 0.0293865906 -0.0092707046 -0.0103620315 0.0386199794 -0.0123109391
11/24/20 35.47 31.45 19.76 19.1 27 36.08 32.06 77.36 20.17 28.08 0.0013858093 -0.007797879 -0.0029731127 0.0044620724 0.0167378917
11/25/20 35.52 31.2 19.53 19.19 27.47 36.13 31.81 77.13 20.26 28.55

Question 1

You would like to purchase a call option for the high tech stock MCCA. MCCA
Assume today is April 20, 2020, before the market has opened. Option Type Stock Price IV Strike Price Exp Vol Open Int
Call 29.59 33.84% 28.00 May, 2020 3,051 40,421
Annual interest rate = 2.63% Trading days per year = 252
a) How many days (for price calculations) until the option expires? Days =
Points 4
Grade
b) Based on the information shown in the table to the right, create the
complete daily binomial lattice for the stock price. Show your latttice.
Points 2
Grade
c) Using a daily binomial lattice, calculate the option value. Option Value =
Show your option value lattice.
Points 2
Grade
d) Estimate the delta and the gamma for this option using the binomial Delta =
lattice results. Gamma =
Points 3
Grade

Question 2

You would like to purchase a put option for the high tech stock MCCA. MCCA
Assume today is April 20, 2020, before the market has opened. Option Type Stock Price IV Strike Price Exp Vol Open Int
Put 29.59 33.84% 28.00 May, 2020 3,051 40,421
Annual interest rate = 2.63% Trading days per year = 252
a) Based on the information shown in the table to the right, use the daily American
binomial lattice method to estimate the American put option value. Option Value =
Show your lattice.
Points 4
Grade
b) Based on the information shown in the table to the right, use the daily European
binomial lattice method to estimate the European put option value. Option Value =
Show your lattice.
Points 4
Grade
European Put Day 0
Option Value ERROR:#DIV/0!

Question 3

Based on the information shown in the table to the right, answer the following ABCD
questions, a through e. Option Type Stock Price IV Strike Price Exp Vol Open Int
Assume today is April 20, 2020, before the market has opened. 38.50 39.04% 37.00 May, 2020 4,892 55,057
Annual interest rate 2.89% Trading days per year 252
a) Calculate the call option value using the Balck-Scholes equations. Call
Option Value =
Points 2
Grade
b) Calculate the put option value using the Black-Scholes equations. Put
Option Value =
Points 2
Grade
c) Using the Black -Scholes equations, calculate the Greeks for the call option. Call
Points 2 Delta =
Grade Gamma =
Theta =
Vega =
Rho =
d) Using the Black -Scholes equations, calculate the Greeks for the put option. Put
Points 2 Delta =
Grade Gamma =
Theta =
Vega =
Rho =
e) If a portfolio included 500 of the call options described above, how many put Quantity =
options would be required to provide a zero delta portfolio?
Note, this does not need to be in 100 unit increments.
Points 2
Grade

Question 4

Assume today is November 25, 2020. One year ago, on December 10, 2019, you created a Various Stock Closing Prices Portfolio Value
minimum variance portfolio based from the five stocks shown to the right. Date Stock A Stock B Stock C Stock D Stock E Date Stock A Stock B Stock C Stock D Stock E Portfolio RoR
12/10/19 27.43 4.43 77.42 18.89 25.9 12/10/19
Weight 12/11/19 26.89 3.53 76.79 18.38 25.49 12/11/19
The minimum variance weights for the five stock portfolio are: Stock A -0.0031363679 12/12/19 27.32 3.61 77.38 18.55 26.06 12/12/19
Stock B -0.027531382 12/13/19 26.94 3.35 76.84 18.47 26.06 12/13/19
Stock C 0.9242778135 12/16/19 26.46 3.4 76.58 18.8 25.72 12/16/19
Stock D 0.0326675018 12/17/19 28.43 3.43 76.42 19.89 25.9 12/17/19
Stock E 0.0737224346 12/18/19 27.26 3.14 76.15 19.21 24.92 12/18/19
12/19/19 26.84 3.13 76.2 18.88 25.03 12/19/19
The total value of the portfolio when you satrted on December 10, 2019, was $ 1,000,000.00 12/20/19 27.05 3.2 76.85 18.72 25.03 12/20/19
12/23/19 26.59 3.27 76.49 18.63 24.92 12/23/19
12/24/19 26.27 3.22 77.25 19.13 24.4 12/24/19
a) Determine the portfolio value for each of the trading days this past year; fill in 12/25/19 26.43 3.23 77.47 19.55 24.52 12/25/19
the yellow cells in the table provided to the right. 12/26/19 26.43 3.25 78.21 19.71 24.69 12/26/19
Points 4 12/27/19 26.22 3.28 77.95 19.55 24.23 12/27/19
Grade 12/30/19 26.22 3.37 75.83 19.21 23.54 12/30/19
12/31/19 26.38 3.32 75.25 19.63 23.48 12/31/19
b) Using all 252 trading days worth of stock data that you have accumulated since 95% VaR = 1/1/20 26.22 3.23 74.95 20.05 23.14 1/1/20
the beginning of your investment, calculate the 95% VaR and the 99% VaR 99% VaR = 1/2/20 26.16 3.31 75.03 20.21 23.08 1/2/20
using the Historical Method. 1/3/20 26.54 3.28 75.37 20.55 23.19 1/3/20
Points 7 1/6/20 28.16 3.19 75.56 19.46 24 1/6/20
Grade 1/7/20 28.86 3.28 75.09 19.96 24.12 1/7/20
1/8/20 29.23 3.3 75.22 19.88 24.23 1/8/20
1/9/20 29.18 3.5 75.53 20.05 24 1/9/20
1/10/20 28.64 3.53 75.82 20.13 23.65 1/10/20
1/13/20 29.02 3.88 75.47 20.55 24.12 1/13/20
1/14/20 28.21 3.69 75.28 20.3 23.48 1/14/20
1/15/20 29.23 3.71 75.62 20.63 23.94 1/15/20
1/16/20 28.72 3.71 75.46 20.21 23.37 1/16/20
1/17/20 28.16 3.63 75.09 20.13 23.6 1/17/20
1/20/20 27.83 3.45 74.53 21.05 23.48 1/20/20
1/21/20 27.97 3.42 75.01 20.88 23.37 1/21/20
1/22/20 28.29 3.4 75.25 20.96 23.54 1/22/20
1/23/20 28.53 3.76 75.54 20.78 23.45 1/23/20
1/24/20 28.86 3.92 75.82 20.67 23.54 1/24/20
1/27/20 27.75 4.65 76.78 20.8 24.37 1/27/20
1/28/20 27.24 4.82 77.3 20.88 24.03 1/28/20
1/29/20 27.35 4.7 79.12 21 24.09 1/29/20
1/30/20 27.51 4.52 78.98 20.3 24.23 1/30/20
1/31/20 27.75 4.81 79.21 19.38 24.52 1/31/20
2/3/20 27.62 4.7 79.35 21.13 25.01 2/3/20
2/4/20 27.3 4.57 79.45 21.05 25.27 2/4/20
2/5/20 27.16 4.6 79.32 21.42 25.61 2/5/20
2/6/20 26.73 4.57 79.16 20.92 25.84 2/6/20
2/7/20 27.4 5.32 79.99 21 25.84 2/7/20
2/10/20 26.94 5.21 80.43 19.8 25.3 2/10/20
2/11/20 26.89 5.06 81.19 19.63 25.47 2/11/20
2/12/20 27.11 5.14 81.91 19.3 25.07 2/12/20
2/13/20 27.45 5.19 82 19.17 25.21 2/13/20
2/14/20 25.76 5.05 81.04 19.09 24.86 2/14/20
2/17/20 25.43 4.85 80.84 18.47 24.63 2/17/20
2/18/20 25.22 4.81 81.1 18.38 24.32 2/18/20
2/19/20 26.05 4.74 80.98 19.42 24.78 2/19/20
2/20/20 24.97 4.65 80.06 19.46 24.12 2/20/20
2/21/20 26.49 5.39 82.1 19.96 24.09 2/21/20
2/24/20 26.3 5.26 81.59 19.38 23.94 2/24/20
2/25/20 26.11 5.25 81.05 20.09 24 2/25/20
2/26/20 25.7 5.34 80.57 19.96 23.8 2/26/20
2/27/20 25.46 5.27 80.2 19.67 23.42 2/27/20
2/28/20 25.24 5.57 80.06 19.21 22.99 2/28/20
3/2/20 25.97 5.6 80.78 20.01 22.96 3/2/20
3/3/20 25.78 5.69 80.47 20.17 22.79 3/3/20
3/4/20 26.11 5.83 80.67 20.55 22.5 3/4/20
3/5/20 25.87 6.28 80.66 20.26 22.61 3/5/20
3/6/20 25.02 7.27 80.89 19.8 22.44 3/6/20
3/9/20 25.21 7.53 80.82 19.21 22.73 3/9/20
3/10/20 25.59 7.35 80.58 19.13 22.73 3/10/20
3/11/20 25.73 6.63 80.05 19.51 22.41 3/11/20
3/12/20 26.14 7 80.96 19.55 22.84 3/12/20
3/13/20 26.08 7.03 80.87 20.5 23.22 3/13/20
3/16/20 26.79 7.31 81.1 20.46 23.42 3/16/20
3/17/20 26.35 6.95 81.77 20.01 23.57 3/17/20
3/18/20 26.08 7.05 80.91 19.8 23.57 3/18/20
3/19/20 25.62 6.87 80.3 19.8 23.22 3/19/20
3/20/20 25.68 6.88 80.11 20.46 23.13 3/20/20
3/23/20 25.76 7 80.34 20.96 23.48 3/23/20
3/24/20 26.05 7.49 80.3 21.17 23.28 3/24/20
3/25/20 26.52 7.52 80.35 21.3 23.34 3/25/20
3/26/20 26.9 7.55 80.69 22 23.02 3/26/20
3/27/20 26.7 7.21 80.28 21.75 22.76 3/27/20
3/30/20 26.95 7 80.17 21.42 22.38 3/30/20
3/31/20 26.87 6.99 79.99 21.59 22.44 3/31/20
4/1/20 26.41 7.05 78.74 21.46 22.44 4/1/20
4/2/20 26.24 6.72 78.1 22.88 23.19 4/2/20
4/3/20 26.6 7 78.35 23.13 23.6 4/3/20
4/6/20 26.65 7.23 78.07 22.42 23.54 4/6/20
4/7/20 26.03 6.93 77.56 21.75 22.93 4/7/20
4/8/20 25.94 6.56 77.11 21.88 22.9 4/8/20
4/9/20 25.43 5.77 77.19 21.17 22.24 4/9/20
4/10/20 25.16 5.82 76.1 20.75 21.74 4/10/20
4/13/20 25.54 6.09 76.4 21.42 21.83 4/13/20
4/14/20 26.24 6.37 76.77 21.67 22.21 4/14/20
4/15/20 26.74 6.99 76.14 21.17 22.41 4/15/20
4/16/20 26.6 6.8 76.51 21.38 21.8 4/16/20
4/17/20 26.54 6.69 75.94 21 21.8 4/17/20
4/20/20 26.92 6.36 76.22 21.17 22.24 4/20/20
4/21/20 25.97 6.05 75.9 20.55 22.55 4/21/20
4/22/20 26.65 6.32 76.63 20.63 22.93 4/22/20
4/23/20 28.18 7.08 76.83 21.59 22.76 4/23/20
4/24/20 28.24 6.94 76.9 21.55 23.31 4/24/20
4/27/20 28.73 7.31 77.35 21.46 23.6 4/27/20
4/28/20 29.03 7.22 77.19 22.09 23.65 4/28/20
4/29/20 28.67 6.67 76.67 21.59 23.77 4/29/20
4/30/20 28.92 7.36 77.5 23.04 23.83 4/30/20
5/1/20 28.78 7.23 76.66 23.09 23.8 5/1/20
5/4/20 28.84 7.35 76.77 23.17 23.54 5/4/20
5/5/20 28.78 7.34 76.33 23.21 23.24 5/5/20
5/6/20 29.06 8.02 76.06 24 23.24 5/6/20
5/7/20 29.5 7.97 75.84 23.46 23.04 5/7/20
5/8/20 29.14 7.94 75.13 23.04 22.49 5/8/20
5/11/20 28.62 8.05 74.81 23.09 22.66 5/11/20
5/12/20 29.06 7.86 75.21 24 22.49 5/12/20
5/13/20 29.85 7.88 74.48 22.71 22.02 5/13/20
5/14/20 29.61 8.35 74.69 22.42 22.46 5/14/20
5/15/20 29.91 8.67 75.04 22.21 22.66 5/15/20
5/18/20 29.52 8.75 74.74 21.96 22.66 5/18/20
5/19/20 29.09 8.67 74.75 22.04 22.46 5/19/20
5/20/20 29.61 9.49 75.1 22.59 23.07 5/20/20
5/21/20 29.44 9.27 74.75 23.13 23.3 5/21/20
5/22/20 29.09 8.89 75.33 22.71 23.24 5/22/20
5/25/20 29.06 8.48 75.79 22.96 23.19 5/25/20
5/26/20 28.62 8.61 75.45 23 23.24 5/26/20
5/27/20 28.89 8.35 75.15 22.75 22.2 5/27/20
5/28/20 29.47 8.42 76.06 23.29 22.66 5/28/20
5/29/20 29.66 8.83 76.39 23.63 23.01 5/29/20
6/1/20 29.72 8.99 76.02 23.63 22.98 6/1/20
6/2/20 29.36 8.78 75.99 23.79 22.87 6/2/20
6/3/20 30.04 8.4 76.28 23.46 23.36 6/3/20
6/4/20 29.88 8.33 76.45 23.63 22.98 6/4/20
6/5/20 30.02 8.1 76.57 23.79 22.95 6/5/20
6/8/20 30.13 8.12 76.94 24.08 23.1 6/8/20
6/9/20 29.91 8.53 77.41 24.04 23.01 6/9/20
6/10/20 30.73 8.86 77.91 24.5 23.24 6/10/20
6/11/20 31.03 8.71 78.71 23.92 23.68 6/11/20
6/12/20 30.7 8.57 79.01 24.42 23.68 6/12/20
6/15/20 30.75 8.39 78.75 24.17 23.65 6/15/20
6/16/20 31.14 8.69 78.69 24.79 24.35 6/16/20
6/17/20 30.89 8.75 78.4 25 24.44 6/17/20
6/18/20 31.25 8.75 78.39 24.71 24.9 6/18/20
6/19/20 31.03 8.7 78.09 24.13 25.75 6/19/20
6/22/20 31.22 8.64 78.29 24.92 25.37 6/22/20
6/23/20 31.47 8.63 80.05 25.46 25.72 6/23/20
6/24/20 32.33 8.52 80.63 25.42 25.69 6/24/20
6/25/20 32.82 8.3 80.19 25.29 25.22 6/25/20
6/26/20 33.32 8.33 80.59 25.62 25.57 6/26/20
6/29/20 33.37 9.13 80.17 25.71 26.27 6/29/20
6/30/20 33.43 9.73 78.46 25.71 26.13 6/30/20
7/1/20 32.9 9.56 78.74 25.04 26.27 7/1/20
7/2/20 32.44 10.02 76.08 25.08 26.07 7/2/20
7/3/20 33.15 10.68 76.7 25.54 26.24 7/3/20
7/6/20 33.29 11.59 75.96 25.42 26.39 7/6/20
7/7/20 34.09 10.86 76.28 25.67 27.24 7/7/20
7/8/20 33.7 11.03 76.34 25.33 26.62 7/8/20
7/9/20 33.59 11.23 76.6 25.17 25.86 7/9/20
7/10/20 33.67 11.09 76.37 25.33 25.63 7/10/20
7/13/20 33.56 11.39 76.43 25.62 25.6 7/13/20
7/14/20 33.29 10.99 75.96 26.08 25.16 7/14/20
7/15/20 33.15 11.46 75.8 27.04 25.63 7/15/20
7/16/20 32.85 11.64 76.2 26.37 25.86 7/16/20
7/17/20 32.63 11.73 76.72 26.29 26.97 7/17/20
7/20/20 32.11 11.94 76.89 26.29 27.91 7/20/20
7/21/20 32.93 12.84 76.55 26.12 29.81 7/21/20
7/22/20 34.2 13.59 76.28 26.71 30.48 7/22/20
7/23/20 34.53 13.42 76.37 26.58 30.77 7/23/20
7/24/20 34.17 12.99 75.66 26.66 29.99 7/24/20
7/27/20 33.76 12.27 75.36 26.58 29.55 7/27/20
7/28/20 33.1 14.73 76.25 27.45 29.96 7/28/20
7/29/20 32.57 14.97 76.19 27.62 30.1 7/29/20
7/30/20 32.13 15.38 75.91 28.25 30.04 7/30/20
7/31/20 31.44 16.66 75.79 27.75 29.9 7/31/20
8/3/20 32.57 15.8 75.99 27.41 29.99 8/3/20
8/4/20 31.83 14.63 77.96 26.54 28.38 8/4/20
8/5/20 31.72 14.95 77.67 26.87 28.26 8/5/20
8/6/20 31.17 14.63 77.16 25.91 28.55 8/6/20
8/7/20 31 15.42 76.99 25.71 28.26 8/7/20
8/10/20 31.53 15.44 77.71 25.87 30.34 8/10/20
8/11/20 31.77 15.72 77.68 25.91 30.34 8/11/20
8/12/20 31.61 15.2 77.65 25.54 29.93 8/12/20
8/13/20 31.14 14.99 77.53 25.62 29.81 8/13/20
8/14/20 31.25 15.01 77.44 25.37 29.78 8/14/20
8/17/20 31.83 15.07 78.31 24.75 30.51 8/17/20
8/18/20 32.52 16.11 78.37 24.83 30.8 8/18/20
8/19/20 32.41 15.64 78.31 25.08 31.04 8/19/20
8/20/20 31.82 15.37 77.27 25.46 30.86 8/20/20
8/21/20 32.1 15.18 77.04 25.12 30.51 8/21/20
8/24/20 32.08 15.23 75.75 25.96 31.91 8/24/20
8/25/20 31.88 14.91 75.8 25.62 31.77 8/25/20
8/26/20 31.6 14.14 75.89 25.04 31.83 8/26/20
8/27/20 31.41 15 75.8 24.58 31.83 8/27/20
8/28/20 31.66 14.36 75.6 24.38 32.48 8/28/20
8/31/20 30.97 13.71 74.56 23.67 32.54 8/31/20
9/1/20 30.66 13.36 73.75 21.71 32.01 9/1/20
9/2/20 31.38 13.44 74.3 21.13 32.48 9/2/20
9/3/20 32.32 13.73 74.7 21.21 32.63 9/3/20
9/4/20 31.99 14.28 74.57 21.55 32.69 9/4/20
9/7/20 32.93 15.02 74.39 21.71 31.25 9/7/20
9/8/20 32.99 14.84 74.36 21.25 31.43 9/8/20
9/9/20 32.27 15.02 73.98 20.17 30.99 9/9/20
9/10/20 32.99 15.85 74.7 21.21 31.19 9/10/20
9/11/20 33.54 16.94 74.56 21.79 31.81 9/11/20
9/14/20 33.77 18.05 75.69 20.96 32.98 9/14/20
9/15/20 34.49 19.12 76.03 21 32.75 9/15/20
9/16/20 35.1 19.2 76.55 21.34 32.78 9/16/20
9/17/20 34.74 19.64 76.12 21.25 32.98 9/17/20
9/18/20 34.74 19.2 76.3 22.13 33.45 9/18/20
9/21/20 33.1 21.85 76.01 22.04 34.54 9/21/20
9/22/20 33.3 22.22 75.54 21.13 34.42 9/22/20
9/23/20 32.71 25.52 75.6 20.34 35.59 9/23/20
9/24/20 33.68 24.49 76 19.34 35.89 9/24/20
9/25/20 33.02 23.88 76.78 19.84 35.36 9/25/20
9/28/20 32.46 24.16 77.77 20.71 35.65 9/28/20
9/29/20 33.54 23.92 77.36 20.59 35.27 9/29/20
9/30/20 34.26 23.33 78.23 20.63 34.48 9/30/20
10/1/20 34.93 23.95 78.23 21 34.83 10/1/20
10/2/20 35.01 23.83 77.96 21.09 35.48 10/2/20
10/5/20 35.04 24.83 77.77 21.71 32.66 10/5/20
10/6/20 33.88 24.28 77.82 21 33.19 10/6/20
10/7/20 34.57 23.38 77.94 21.25 32.81 10/7/20
10/8/20 34.76 24.26 78.68 20.92 32.89 10/8/20
10/9/20 34.85 23.52 78.57 20.01 32.6 10/9/20
10/12/20 34.88 23.35 78.28 21 32.45 10/12/20
10/13/20 34.15 22.22 78.37 20.26 31.43 10/13/20
10/14/20 33.21 21.89 77.67 20.21 30.43 10/14/20
10/15/20 33.85 21.58 78.23 19.63 30.02 10/15/20
10/16/20 34.1 22.45 78.94 19.26 30.1 10/16/20
10/19/20 33.43 23.45 78.34 18.72 31.37 10/19/20
10/20/20 33.9 24.45 78.6 18.63 31.98 10/20/20
10/21/20 34.21 23.8 78.51 18.63 31.78 10/21/20
10/22/20 34.74 23.61 79.57 18.34 31.57 10/22/20
10/23/20 34.32 24.99 78.69 19.09 31.98 10/23/20
10/26/20 34.6 24.45 78.43 18.92 32.07 10/26/20
10/27/20 34.79 25.03 78.35 19.46 31.81 10/27/20
10/28/20 34.54 24.99 78.31 19.59 32.16 10/28/20
10/29/20 34.93 24.83 77.96 19.42 31.25 10/29/20
10/30/20 31.42 17.86 75.06 18.13 27.66 10/30/20
11/2/20 32.92 18.67 76.24 19.46 29.37 11/2/20
11/3/20 33.07 20.05 75.96 19.51 28.81 11/3/20
11/4/20 34.04 19.41 76.42 19.34 28.4 11/4/20
11/5/20 34.6 19.45 76.79 19.3 28.49 11/5/20
11/6/20 34.38 20.58 76.99 19.38 29.26 11/6/20
11/9/20 34.71 20.58 78.43 20.75 28.99 11/9/20
11/10/20 35.88 21.58 78.65 20.42 28.75 11/10/20
11/11/20 35.46 21.7 78.68 20.34 28.52 11/11/20
11/12/20 34.93 23.95 78.46 20.3 28.87 11/12/20
11/13/20 36.02 24.69 78.35 20.38 27.66 11/13/20
11/16/20 35.55 26.35 78.09 20.01 27.72 11/16/20
11/17/20 36.08 30.08 78.95 21.05 27.72 11/17/20
11/18/20 35.77 29.42 78.52 20.34 27.87 11/18/20
11/19/20 35.35 30.86 79.26 20.92 28.08 11/19/20
11/20/20 34.71 28.85 78.07 19.05 29.31 11/20/20
11/23/20 35.05 32.36 78.17 19.42 28.43 11/23/20
11/24/20 36.08 32.06 77.36 20.17 28.08 11/24/20
11/25/20 36.13 31.81 77.13 20.26 28.55 11/25/20 1220885757

Question 5

We will use the same data as in Question 4, which is shown to the right. Various Stock Closing Prices Covariance Matrix
Date Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E
12/10/19 27.43 4.43 77.42 18.89 25.9 Stock A 0.0003865413 0.0002784267 0.0000590039 0.0001520281 0.0001134585
The minimum variance weights for the five stock portfolio are: Weight 12/11/19 26.89 3.53 76.79 18.38 25.49 Stock B 0.0002784267 0.0028852967 0.0001104527 0.0003505378 0.0003493957
Stock A -0.0031363679 12/12/19 27.32 3.61 77.38 18.55 26.06 Stock C 0.0000590039 0.0001104527 0.0000626372 0.0000444708 0.0000389037
Stock B -0.027531382 12/13/19 26.94 3.35 76.84 18.47 26.06 Stock D 0.0001520281 0.0003505378 0.0000444708 0.0006637104 0.0000858824
Stock C 0.9242778135 12/16/19 26.46 3.4 76.58 18.8 25.72 Stock E 0.0001134585 0.0003493957 0.0000389037 0.0000858824 0.0004096561
Stock D 0.0326675018 12/17/19 28.43 3.43 76.42 19.89 25.9
Stock E 0.0737224346 12/18/19 27.26 3.14 76.15 19.21 24.92
12/19/19 26.84 3.13 76.2 18.88 25.03
The total value of the portfolio when you satrted on December 10, 2019, was $ 1,000,000.00 12/20/19 27.05 3.2 76.85 18.72 25.03
12/23/19 26.59 3.27 76.49 18.63 24.92
12/24/19 26.27 3.22 77.25 19.13 24.4
a) Based on the covariance matrix provided, and using the values you invested in Variance = 12/25/19 26.43 3.23 77.47 19.55 24.52
each of the stocks in your portfolio from Question 7, determine the Variance StDev = 12/26/19 26.43 3.25 78.21 19.71 24.69
Standard Deviation and Average Return for your portfolio for today, Avg Return = 12/27/19 26.22 3.28 77.95 19.55 24.23
November 25, 2020, the last day. 12/30/19 26.22 3.37 75.83 19.21 23.54
Points 4 12/31/19 26.38 3.32 75.25 19.63 23.48
Grade 1/1/20 26.22 3.23 74.95 20.05 23.14
1/2/20 26.16 3.31 75.03 20.21 23.08
b) Using the Variance-Covariance Method, calculate the 95% VaR and 99% VaR. 95% VaR = 1/3/20 26.54 3.28 75.37 20.55 23.19
99% VaR = 1/6/20 28.16 3.19 75.56 19.46 24
Points 6 1/7/20 28.86 3.28 75.09 19.96 24.12
Grade 1/8/20 29.23 3.3 75.22 19.88 24.23
1/9/20 29.18 3.5 75.53 20.05 24
Note, when performing the matrix algebra, even for the single cell result for 1/10/20 28.64 3.53 75.82 20.13 23.65
the Average Return, you may initially see an "#VALUE!" error. You will need to 1/13/20 29.02 3.88 75.47 20.55 24.12
complete the "F2" followed by Cntrl-Shift-Enter to get your value. 1/14/20 28.21 3.69 75.28 20.3 23.48
Mac users will need to follow the Mac key stroke sequence for Matrix Algebra. 1/15/20 29.23 3.71 75.62 20.63 23.94
1/16/20 28.72 3.71 75.46 20.21 23.37
1/17/20 28.16 3.63 75.09 20.13 23.6
1/20/20 27.83 3.45 74.53 21.05 23.48
1/21/20 27.97 3.42 75.01 20.88 23.37
1/22/20 28.29 3.4 75.25 20.96 23.54
1/23/20 28.53 3.76 75.54 20.78 23.45
1/24/20 28.86 3.92 75.82 20.67 23.54
1/27/20 27.75 4.65 76.78 20.8 24.37
1/28/20 27.24 4.82 77.3 20.88 24.03
1/29/20 27.35 4.7 79.12 21 24.09
1/30/20 27.51 4.52 78.98 20.3 24.23
1/31/20 27.75 4.81 79.21 19.38 24.52
2/3/20 27.62 4.7 79.35 21.13 25.01
2/4/20 27.3 4.57 79.45 21.05 25.27
2/5/20 27.16 4.6 79.32 21.42 25.61
2/6/20 26.73 4.57 79.16 20.92 25.84
2/7/20 27.4 5.32 79.99 21 25.84
2/10/20 26.94 5.21 80.43 19.8 25.3
2/11/20 26.89 5.06 81.19 19.63 25.47
2/12/20 27.11 5.14 81.91 19.3 25.07
2/13/20 27.45 5.19 82 19.17 25.21
2/14/20 25.76 5.05 81.04 19.09 24.86
2/17/20 25.43 4.85 80.84 18.47 24.63
2/18/20 25.22 4.81 81.1 18.38 24.32
2/19/20 26.05 4.74 80.98 19.42 24.78
2/20/20 24.97 4.65 80.06 19.46 24.12
2/21/20 26.49 5.39 82.1 19.96 24.09
2/24/20 26.3 5.26 81.59 19.38 23.94
2/25/20 26.11 5.25 81.05 20.09 24
2/26/20 25.7 5.34 80.57 19.96 23.8
2/27/20 25.46 5.27 80.2 19.67 23.42
2/28/20 25.24 5.57 80.06 19.21 22.99
3/2/20 25.97 5.6 80.78 20.01 22.96
3/3/20 25.78 5.69 80.47 20.17 22.79
3/4/20 26.11 5.83 80.67 20.55 22.5
3/5/20 25.87 6.28 80.66 20.26 22.61
3/6/20 25.02 7.27 80.89 19.8 22.44
3/9/20 25.21 7.53 80.82 19.21 22.73
3/10/20 25.59 7.35 80.58 19.13 22.73
3/11/20 25.73 6.63 80.05 19.51 22.41
3/12/20 26.14 7 80.96 19.55 22.84
3/13/20 26.08 7.03 80.87 20.5 23.22
3/16/20 26.79 7.31 81.1 20.46 23.42
3/17/20 26.35 6.95 81.77 20.01 23.57
3/18/20 26.08 7.05 80.91 19.8 23.57
3/19/20 25.62 6.87 80.3 19.8 23.22
3/20/20 25.68 6.88 80.11 20.46 23.13
3/23/20 25.76 7 80.34 20.96 23.48
3/24/20 26.05 7.49 80.3 21.17 23.28
3/25/20 26.52 7.52 80.35 21.3 23.34
3/26/20 26.9 7.55 80.69 22 23.02
3/27/20 26.7 7.21 80.28 21.75 22.76
3/30/20 26.95 7 80.17 21.42 22.38
3/31/20 26.87 6.99 79.99 21.59 22.44
4/1/20 26.41 7.05 78.74 21.46 22.44
4/2/20 26.24 6.72 78.1 22.88 23.19
4/3/20 26.6 7 78.35 23.13 23.6
4/6/20 26.65 7.23 78.07 22.42 23.54
4/7/20 26.03 6.93 77.56 21.75 22.93
4/8/20 25.94 6.56 77.11 21.88 22.9
4/9/20 25.43 5.77 77.19 21.17 22.24
4/10/20 25.16 5.82 76.1 20.75 21.74
4/13/20 25.54 6.09 76.4 21.42 21.83
4/14/20 26.24 6.37 76.77 21.67 22.21
4/15/20 26.74 6.99 76.14 21.17 22.41
4/16/20 26.6 6.8 76.51 21.38 21.8
4/17/20 26.54 6.69 75.94 21 21.8
4/20/20 26.92 6.36 76.22 21.17 22.24
4/21/20 25.97 6.05 75.9 20.55 22.55
4/22/20 26.65 6.32 76.63 20.63 22.93
4/23/20 28.18 7.08 76.83 21.59 22.76
4/24/20 28.24 6.94 76.9 21.55 23.31
4/27/20 28.73 7.31 77.35 21.46 23.6
4/28/20 29.03 7.22 77.19 22.09 23.65
4/29/20 28.67 6.67 76.67 21.59 23.77
4/30/20 28.92 7.36 77.5 23.04 23.83
5/1/20 28.78 7.23 76.66 23.09 23.8
5/4/20 28.84 7.35 76.77 23.17 23.54
5/5/20 28.78 7.34 76.33 23.21 23.24
5/6/20 29.06 8.02 76.06 24 23.24
5/7/20 29.5 7.97 75.84 23.46 23.04
5/8/20 29.14 7.94 75.13 23.04 22.49
5/11/20 28.62 8.05 74.81 23.09 22.66
5/12/20 29.06 7.86 75.21 24 22.49
5/13/20 29.85 7.88 74.48 22.71 22.02
5/14/20 29.61 8.35 74.69 22.42 22.46
5/15/20 29.91 8.67 75.04 22.21 22.66
5/18/20 29.52 8.75 74.74 21.96 22.66
5/19/20 29.09 8.67 74.75 22.04 22.46
5/20/20 29.61 9.49 75.1 22.59 23.07
5/21/20 29.44 9.27 74.75 23.13 23.3
5/22/20 29.09 8.89 75.33 22.71 23.24
5/25/20 29.06 8.48 75.79 22.96 23.19
5/26/20 28.62 8.61 75.45 23 23.24
5/27/20 28.89 8.35 75.15 22.75 22.2
5/28/20 29.47 8.42 76.06 23.29 22.66
5/29/20 29.66 8.83 76.39 23.63 23.01
6/1/20 29.72 8.99 76.02 23.63 22.98
6/2/20 29.36 8.78 75.99 23.79 22.87
6/3/20 30.04 8.4 76.28 23.46 23.36
6/4/20 29.88 8.33 76.45 23.63 22.98
6/5/20 30.02 8.1 76.57 23.79 22.95
6/8/20 30.13 8.12 76.94 24.08 23.1
6/9/20 29.91 8.53 77.41 24.04 23.01
6/10/20 30.73 8.86 77.91 24.5 23.24
6/11/20 31.03 8.71 78.71 23.92 23.68
6/12/20 30.7 8.57 79.01 24.42 23.68
6/15/20 30.75 8.39 78.75 24.17 23.65
6/16/20 31.14 8.69 78.69 24.79 24.35
6/17/20 30.89 8.75 78.4 25 24.44
6/18/20 31.25 8.75 78.39 24.71 24.9
6/19/20 31.03 8.7 78.09 24.13 25.75
6/22/20 31.22 8.64 78.29 24.92 25.37
6/23/20 31.47 8.63 80.05 25.46 25.72
6/24/20 32.33 8.52 80.63 25.42 25.69
6/25/20 32.82 8.3 80.19 25.29 25.22
6/26/20 33.32 8.33 80.59 25.62 25.57
6/29/20 33.37 9.13 80.17 25.71 26.27
6/30/20 33.43 9.73 78.46 25.71 26.13
7/1/20 32.9 9.56 78.74 25.04 26.27
7/2/20 32.44 10.02 76.08 25.08 26.07
7/3/20 33.15 10.68 76.7 25.54 26.24
7/6/20 33.29 11.59 75.96 25.42 26.39
7/7/20 34.09 10.86 76.28 25.67 27.24
7/8/20 33.7 11.03 76.34 25.33 26.62
7/9/20 33.59 11.23 76.6 25.17 25.86
7/10/20 33.67 11.09 76.37 25.33 25.63
7/13/20 33.56 11.39 76.43 25.62 25.6
7/14/20 33.29 10.99 75.96 26.08 25.16
7/15/20 33.15 11.46 75.8 27.04 25.63
7/16/20 32.85 11.64 76.2 26.37 25.86
7/17/20 32.63 11.73 76.72 26.29 26.97
7/20/20 32.11 11.94 76.89 26.29 27.91
7/21/20 32.93 12.84 76.55 26.12 29.81
7/22/20 34.2 13.59 76.28 26.71 30.48
7/23/20 34.53 13.42 76.37 26.58 30.77
7/24/20 34.17 12.99 75.66 26.66 29.99
7/27/20 33.76 12.27 75.36 26.58 29.55
7/28/20 33.1 14.73 76.25 27.45 29.96
7/29/20 32.57 14.97 76.19 27.62 30.1
7/30/20 32.13 15.38 75.91 28.25 30.04
7/31/20 31.44 16.66 75.79 27.75 29.9
8/3/20 32.57 15.8 75.99 27.41 29.99
8/4/20 31.83 14.63 77.96 26.54 28.38
8/5/20 31.72 14.95 77.67 26.87 28.26
8/6/20 31.17 14.63 77.16 25.91 28.55
8/7/20 31 15.42 76.99 25.71 28.26
8/10/20 31.53 15.44 77.71 25.87 30.34
8/11/20 31.77 15.72 77.68 25.91 30.34
8/12/20 31.61 15.2 77.65 25.54 29.93
8/13/20 31.14 14.99 77.53 25.62 29.81
8/14/20 31.25 15.01 77.44 25.37 29.78
8/17/20 31.83 15.07 78.31 24.75 30.51
8/18/20 32.52 16.11 78.37 24.83 30.8
8/19/20 32.41 15.64 78.31 25.08 31.04
8/20/20 31.82 15.37 77.27 25.46 30.86
8/21/20 32.1 15.18 77.04 25.12 30.51
8/24/20 32.08 15.23 75.75 25.96 31.91
8/25/20 31.88 14.91 75.8 25.62 31.77
8/26/20 31.6 14.14 75.89 25.04 31.83
8/27/20 31.41 15 75.8 24.58 31.83
8/28/20 31.66 14.36 75.6 24.38 32.48
8/31/20 30.97 13.71 74.56 23.67 32.54
9/1/20 30.66 13.36 73.75 21.71 32.01
9/2/20 31.38 13.44 74.3 21.13 32.48
9/3/20 32.32 13.73 74.7 21.21 32.63
9/4/20 31.99 14.28 74.57 21.55 32.69
9/7/20 32.93 15.02 74.39 21.71 31.25
9/8/20 32.99 14.84 74.36 21.25 31.43
9/9/20 32.27 15.02 73.98 20.17 30.99
9/10/20 32.99 15.85 74.7 21.21 31.19
9/11/20 33.54 16.94 74.56 21.79 31.81
9/14/20 33.77 18.05 75.69 20.96 32.98
9/15/20 34.49 19.12 76.03 21 32.75
9/16/20 35.1 19.2 76.55 21.34 32.78
9/17/20 34.74 19.64 76.12 21.25 32.98
9/18/20 34.74 19.2 76.3 22.13 33.45
9/21/20 33.1 21.85 76.01 22.04 34.54
9/22/20 33.3 22.22 75.54 21.13 34.42
9/23/20 32.71 25.52 75.6 20.34 35.59
9/24/20 33.68 24.49 76 19.34 35.89
9/25/20 33.02 23.88 76.78 19.84 35.36
9/28/20 32.46 24.16 77.77 20.71 35.65
9/29/20 33.54 23.92 77.36 20.59 35.27
9/30/20 34.26 23.33 78.23 20.63 34.48
10/1/20 34.93 23.95 78.23 21 34.83
10/2/20 35.01 23.83 77.96 21.09 35.48
10/5/20 35.04 24.83 77.77 21.71 32.66
10/6/20 33.88 24.28 77.82 21 33.19
10/7/20 34.57 23.38 77.94 21.25 32.81
10/8/20 34.76 24.26 78.68 20.92 32.89
10/9/20 34.85 23.52 78.57 20.01 32.6
10/12/20 34.88 23.35 78.28 21 32.45
10/13/20 34.15 22.22 78.37 20.26 31.43
10/14/20 33.21 21.89 77.67 20.21 30.43
10/15/20 33.85 21.58 78.23 19.63 30.02
10/16/20 34.1 22.45 78.94 19.26 30.1
10/19/20 33.43 23.45 78.34 18.72 31.37
10/20/20 33.9 24.45 78.6 18.63 31.98
10/21/20 34.21 23.8 78.51 18.63 31.78
10/22/20 34.74 23.61 79.57 18.34 31.57
10/23/20 34.32 24.99 78.69 19.09 31.98
10/26/20 34.6 24.45 78.43 18.92 32.07
10/27/20 34.79 25.03 78.35 19.46 31.81
10/28/20 34.54 24.99 78.31 19.59 32.16
10/29/20 34.93 24.83 77.96 19.42 31.25
10/30/20 31.42 17.86 75.06 18.13 27.66
11/2/20 32.92 18.67 76.24 19.46 29.37
11/3/20 33.07 20.05 75.96 19.51 28.81
11/4/20 34.04 19.41 76.42 19.34 28.4
11/5/20 34.6 19.45 76.79 19.3 28.49
11/6/20 34.38 20.58 76.99 19.38 29.26
11/9/20 34.71 20.58 78.43 20.75 28.99
11/10/20 35.88 21.58 78.65 20.42 28.75
11/11/20 35.46 21.7 78.68 20.34 28.52
11/12/20 34.93 23.95 78.46 20.3 28.87
11/13/20 36.02 24.69 78.35 20.38 27.66
11/16/20 35.55 26.35 78.09 20.01 27.72
11/17/20 36.08 30.08 78.95 21.05 27.72
11/18/20 35.77 29.42 78.52 20.34 27.87
11/19/20 35.35 30.86 79.26 20.92 28.08
11/20/20 34.71 28.85 78.07 19.05 29.31
11/23/20 35.05 32.36 78.17 19.42 28.43
11/24/20 36.08 32.06 77.36 20.17 28.08
11/25/20 36.13 31.81 77.13 20.26 28.55

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