FINA 6750 Urgent
chamankaka2017
Second_City_data-2.xlsxTable 1
| Table 1: STOCK INDEX OPTION DATA FOR JULY 2, 2007 | |||||||||||
| OBSERVATION | EXPIRATION | STOCK | STRIKE | LAST | LAST | LAST | INDEX | AVG. | |||
| DATE | DATE | INDEX | CALL OR PUT | PRICE | VOLUME | TRADE | BID | ASK | VALUE | PRICE | |
| 7/2/07 | 8/18/07 | OEX | C | 695 | 12 | 17.9 | 17.3 | 18.7 | 699.49 | 18.000 | |
| 7/2/07 | 8/18/07 | OEX | P | 695 | 26 | 11.9 | 10.6 | 11.6 | 699.49 | 11.100 | |
| 7/2/07 | 8/18/07 | OEX | C | 700 | 50 | 14.3 | 14.1 | 15.2 | 699.49 | 14.650 | |
| 7/2/07 | 8/18/07 | OEX | P | 700 | 21 | 13.1 | 12.6 | 13.4 | 699.49 | 13.000 | |
| 7/2/07 | 8/18/07 | OEX | C | 705 | 2 | 10.0 | 11.3 | 12.3 | 699.49 | 11.800 | |
| 7/2/07 | 8/18/07 | OEX | P | 705 | 0 | 14.5 | 15.6 | 699.49 | 15.050 | ||
| 7/2/07 | 9/22/07 | OEX | C | 690 | 0 | 26.7 | 28.4 | 699.49 | 27.550 | ||
| 7/2/07 | 9/22/07 | OEX | P | 690 | 113 | 14.1 | 13.2 | 14.1 | 699.49 | 13.650 | |
| 7/2/07 | 9/22/07 | OEX | C | 700 | 61 | 19.8 | 20.2 | 21.6 | 699.49 | 20.900 | |
| 7/2/07 | 9/22/07 | OEX | P | 700 | 0 | 16.8 | 17.7 | 699.49 | 17.250 | ||
| 7/2/07 | 9/22/07 | OEX | C | 710 | 0 | 14.5 | 15.7 | 699.49 | 15.100 | ||
| 7/2/07 | 9/22/07 | OEX | P | 710 | 0 | 20.7 | 22.1 | 699.49 | 21.400 | ||
| 7/2/07 | 8/18/07 | SPX | C | 1515 | 205 | 33.6 | 36.1 | 38.1 | 1519.43 | 37.100 | |
| 7/2/07 | 8/18/07 | SPX | P | 1515 | 87 | 27.0 | 25.2 | 27.2 | 1519.43 | 26.200 | |
| 7/2/07 | 8/18/07 | SPX | C | 1520 | 82 | 34.5 | 32.9 | 34.9 | 1519.43 | 33.900 | |
| 7/2/07 | 8/18/07 | SPX | P | 1520 | 108 | 30.4 | 27.0 | 29.0 | 1519.43 | 28.000 | |
| 7/2/07 | 8/18/07 | SPX | C | 1525 | 1615 | 30.0 | 29.9 | 31.9 | 1519.43 | 30.900 | |
| 7/2/07 | 8/18/07 | SPX | P | 1525 | 2256 | 30.0 | 28.9 | 30.9 | 1519.43 | 29.900 | |
| 7/2/07 | 9/22/07 | SPX | C | 1515 | 0 | 49.8 | 51.8 | 1519.43 | 50.800 | ||
| 7/2/07 | 9/22/07 | SPX | P | 1515 | 2 | 36.6 | 33.8 | 35.8 | 1519.43 | 34.800 | |
| 7/2/07 | 9/22/07 | SPX | C | 1520 | 108 | 46.4 | 46.6 | 48.6 | 1519.43 | 47.600 | |
| 7/2/07 | 9/22/07 | SPX | P | 1520 | 85 | 41.0 | 35.5 | 37.5 | 1519.43 | 36.500 | |
| 7/2/07 | 9/22/07 | SPX | C | 1525 | 11077 | 41.0 | 43.5 | 45.5 | 1519.43 | 44.500 | |
| 7/2/07 | 9/22/07 | SPX | P | 1525 | 10381 | 41.0 | 37.3 | 39.3 | 1519.43 | 38.300 | |
Table 2
| Table 2: DAILY STOCK INDEX VALUES FOR FIRST HALF OF 2007 | |||||||||||||||||||
| First three months | Last three months | ||||||||||||||||||
| All six months | |||||||||||||||||||
| DATE | SPX | Return | OEX | Return | DATE | SPX | Return | OEX | Return | DATE | SPX | Return | OEX | Return | |||||
| 3-Jan-2007 | 1416.60 | 660.29 | 3-Jan-2007 | 1416.60 | 660.29 | 2-Apr-2007 | 1424.55 | 0.002597 | 650.65 | 0.00117 | |||||||||
| 4-Jan-2007 | 1418.34 | 0.001228 | 661.00 | 0.00108 | 4-Jan-2007 | 1418.34 | 0.001228 | 661.00 | 0.00108 | 3-Apr-2007 | 1437.77 | 0.009280 | 656.66 | 0.00924 | |||||
| 5-Jan-2007 | 1409.71 | -0.006085 | 657.50 | -0.00530 | 5-Jan-2007 | 1409.71 | -0.006085 | 657.50 | -0.00530 | 4-Apr-2007 | 1439.37 | 0.001113 | 657.77 | 0.00169 | |||||
| 8-Jan-2007 | 1412.84 | 0.002220 | 659.15 | 0.00251 | 8-Jan-2007 | 1412.84 | 0.002220 | 659.15 | 0.00251 | 5-Apr-2007 | 1443.76 | 0.003050 | 659.73 | 0.00298 | |||||
| 9-Jan-2007 | 1412.11 | -0.000517 | 657.89 | -0.00191 | 9-Jan-2007 | 1412.11 | -0.000517 | 657.89 | -0.00191 | 9-Apr-2007 | 1444.61 | 0.000589 | 660.13 | 0.00061 | |||||
| 10-Jan-2007 | 1414.85 | 0.001940 | 658.35 | 0.00070 | 10-Jan-2007 | 1414.85 | 0.001940 | 658.35 | 0.00070 | 10-Apr-2007 | 1448.39 | 0.002617 | 662.08 | 0.00295 | |||||
| 11-Jan-2007 | 1423.82 | 0.006340 | 661.64 | 0.00500 | 11-Jan-2007 | 1423.82 | 0.006340 | 661.64 | 0.00500 | 11-Apr-2007 | 1438.87 | -0.006573 | 658.13 | -0.00597 | |||||
| 12-Jan-2007 | 1430.73 | 0.004853 | 665.67 | 0.00609 | 12-Jan-2007 | 1430.73 | 0.004853 | 665.67 | 0.00609 | 12-Apr-2007 | 1447.80 | 0.006206 | 662.38 | 0.00646 | |||||
| 16-Jan-2007 | 1431.90 | 0.000818 | 666.03 | 0.00054 | 16-Jan-2007 | 1431.90 | 0.000818 | 666.03 | 0.00054 | 13-Apr-2007 | 1452.85 | 0.003488 | 665.35 | 0.00448 | |||||
| 17-Jan-2007 | 1430.62 | -0.000894 | 665.20 | -0.00125 | 17-Jan-2007 | 1430.62 | -0.000894 | 665.20 | -0.00125 | 16-Apr-2007 | 1468.47 | 0.010751 | 672.01 | 0.01001 | |||||
| 18-Jan-2007 | 1426.37 | -0.002971 | 664.04 | -0.00174 | 18-Jan-2007 | 1426.37 | -0.002971 | 664.04 | -0.00174 | 17-Apr-2007 | 1471.48 | 0.002050 | 673.56 | 0.00231 | |||||
| 19-Jan-2007 | 1430.50 | 0.002895 | 665.38 | 0.00202 | 19-Jan-2007 | 1430.50 | 0.002895 | 665.38 | 0.00202 | 18-Apr-2007 | 1472.50 | 0.000693 | 674.10 | 0.00080 | |||||
| 22-Jan-2007 | 1422.95 | -0.005278 | 662.41 | -0.00446 | 22-Jan-2007 | 1422.95 | -0.005278 | 662.41 | -0.00446 | 19-Apr-2007 | 1470.73 | -0.001202 | 673.99 | -0.00016 | |||||
| 23-Jan-2007 | 1427.99 | 0.003542 | 664.12 | 0.00258 | 23-Jan-2007 | 1427.99 | 0.003542 | 664.12 | 0.00258 | 20-Apr-2007 | 1484.35 | 0.009261 | 680.82 | 0.01013 | |||||
| 24-Jan-2007 | 1440.13 | 0.008501 | 669.94 | 0.00876 | 24-Jan-2007 | 1440.13 | 0.008501 | 669.94 | 0.00876 | 23-Apr-2007 | 1480.93 | -0.002304 | 677.59 | -0.00474 | |||||
| 25-Jan-2007 | 1423.90 | -0.011270 | 661.34 | -0.01284 | 25-Jan-2007 | 1423.90 | -0.011270 | 661.34 | -0.01284 | 24-Apr-2007 | 1480.41 | -0.000351 | 677.16 | -0.00063 | |||||
| 26-Jan-2007 | 1422.18 | -0.001208 | 660.35 | -0.00150 | 26-Jan-2007 | 1422.18 | -0.001208 | 660.35 | -0.00150 | 25-Apr-2007 | 1495.42 | 0.010139 | 684.37 | 0.01065 | |||||
| 29-Jan-2007 | 1420.62 | -0.001097 | 659.55 | -0.00121 | 29-Jan-2007 | 1420.62 | -0.001097 | 659.55 | -0.00121 | 26-Apr-2007 | 1494.25 | -0.000782 | 683.66 | -0.00104 | |||||
| 30-Jan-2007 | 1428.82 | 0.005772 | 662.79 | 0.00491 | 30-Jan-2007 | 1428.82 | 0.005772 | 662.79 | 0.00491 | 27-Apr-2007 | 1494.07 | -0.000120 | 684.42 | 0.00111 | |||||
| 31-Jan-2007 | 1438.24 | 0.006593 | 666.78 | 0.00602 | 31-Jan-2007 | 1438.24 | 0.006593 | 666.78 | 0.00602 | 30-Apr-2007 | 1482.37 | -0.007831 | 680.65 | -0.00551 | |||||
| 1-Feb-2007 | 1445.94 | 0.005354 | 668.89 | 0.00316 | 1-Feb-2007 | 1445.94 | 0.005354 | 668.89 | 0.00316 | 1-May-2007 | 1486.30 | 0.002651 | 683.22 | 0.00378 | |||||
| 2-Feb-2007 | 1448.39 | 0.001694 | 669.59 | 0.00105 | 2-Feb-2007 | 1448.39 | 0.001694 | 669.59 | 0.00105 | 2-May-2007 | 1495.92 | 0.006472 | 686.42 | 0.00468 | |||||
| 5-Feb-2007 | 1446.99 | -0.000967 | 669.21 | -0.00057 | 5-Feb-2007 | 1446.99 | -0.000967 | 669.21 | -0.00057 | 3-May-2007 | 1502.39 | 0.004325 | 689.40 | 0.00434 | |||||
| 6-Feb-2007 | 1448.00 | 0.000698 | 668.91 | -0.00045 | 6-Feb-2007 | 1448.00 | 0.000698 | 668.91 | -0.00045 | 4-May-2007 | 1505.62 | 0.002150 | 690.95 | 0.00225 | |||||
| 7-Feb-2007 | 1450.02 | 0.001395 | 668.46 | -0.00067 | 7-Feb-2007 | 1450.02 | 0.001395 | 668.46 | -0.00067 | 7-May-2007 | 1509.48 | 0.002564 | 692.79 | 0.00266 | |||||
| 8-Feb-2007 | 1448.31 | -0.001179 | 667.16 | -0.00194 | 8-Feb-2007 | 1448.31 | -0.001179 | 667.16 | -0.00194 | 8-May-2007 | 1507.72 | -0.001166 | 692.05 | -0.00107 | |||||
| 9-Feb-2007 | 1438.06 | -0.007077 | 663.18 | -0.00597 | 9-Feb-2007 | 1438.06 | -0.007077 | 663.18 | -0.00597 | 9-May-2007 | 1512.58 | 0.003223 | 693.43 | 0.00199 | |||||
| 12-Feb-2007 | 1433.37 | -0.003261 | 661.02 | -0.00326 | 12-Feb-2007 | 1433.37 | -0.003261 | 661.02 | -0.00326 | 10-May-2007 | 1491.47 | -0.013956 | 683.73 | -0.01399 | |||||
| 13-Feb-2007 | 1444.26 | 0.007597 | 665.82 | 0.00726 | 13-Feb-2007 | 1444.26 | 0.007597 | 665.82 | 0.00726 | 11-May-2007 | 1505.85 | 0.009641 | 690.04 | 0.00923 | |||||
| 14-Feb-2007 | 1455.30 | 0.007644 | 670.21 | 0.00659 | 14-Feb-2007 | 1455.30 | 0.007644 | 670.21 | 0.00659 | 14-May-2007 | 1503.15 | -0.001793 | 689.31 | -0.00106 | |||||
| 15-Feb-2007 | 1456.81 | 0.001038 | 669.73 | -0.00072 | 15-Feb-2007 | 1456.81 | 0.001038 | 669.73 | -0.00072 | 15-May-2007 | 1501.19 | -0.001304 | 689.18 | -0.00019 | |||||
| 16-Feb-2007 | 1455.54 | -0.000872 | 668.84 | -0.00133 | 16-Feb-2007 | 1455.54 | -0.000872 | 668.84 | -0.00133 | 16-May-2007 | 1514.14 | 0.008626 | 695.95 | 0.00982 | |||||
| 20-Feb-2007 | 1459.68 | 0.002844 | 670.05 | 0.00181 | 20-Feb-2007 | 1459.68 | 0.002844 | 670.05 | 0.00181 | 17-May-2007 | 1512.75 | -0.000918 | 695.16 | -0.00114 | |||||
| 21-Feb-2007 | 1457.63 | -0.001404 | 668.40 | -0.00246 | 21-Feb-2007 | 1457.63 | -0.001404 | 668.40 | -0.00246 | 18-May-2007 | 1522.75 | 0.006610 | 699.80 | 0.00667 | |||||
| 22-Feb-2007 | 1456.38 | -0.000858 | 667.22 | -0.00177 | 22-Feb-2007 | 1456.38 | -0.000858 | 667.22 | -0.00177 | 21-May-2007 | 1525.10 | 0.001543 | 699.91 | 0.00016 | |||||
| 23-Feb-2007 | 1451.19 | -0.003564 | 664.01 | -0.00481 | 23-Feb-2007 | 1451.19 | -0.003564 | 664.01 | -0.00481 | 22-May-2007 | 1524.12 | -0.000643 | 699.12 | -0.00113 | |||||
| 26-Feb-2007 | 1449.37 | -0.001254 | 663.38 | -0.00095 | 26-Feb-2007 | 1449.37 | -0.001254 | 663.38 | -0.00095 | 23-May-2007 | 1522.28 | -0.001207 | 699.01 | -0.00016 | |||||
| 27-Feb-2007 | 1399.04 | -0.034725 | 639.71 | -0.03568 | 27-Feb-2007 | 1399.04 | -0.034725 | 639.71 | -0.03568 | 24-May-2007 | 1507.51 | -0.009703 | 693.47 | -0.00793 | |||||
| 28-Feb-2007 | 1406.82 | 0.005561 | 643.74 | 0.00630 | 28-Feb-2007 | 1406.82 | 0.005561 | 643.74 | 0.00630 | 25-May-2007 | 1515.73 | 0.005453 | 697.27 | 0.00548 | |||||
| 1-Mar-2007 | 1403.17 | -0.002595 | 642.05 | -0.00263 | 1-Mar-2007 | 1403.17 | -0.002595 | 642.05 | -0.00263 | 29-May-2007 | 1518.11 | 0.001570 | 697.70 | 0.00062 | |||||
| 2-Mar-2007 | 1387.17 | -0.011403 | 635.28 | -0.01054 | 2-Mar-2007 | 1387.17 | -0.011403 | 635.28 | -0.01054 | 30-May-2007 | 1530.23 | 0.007984 | 702.99 | 0.00758 | |||||
| 5-Mar-2007 | 1374.12 | -0.009408 | 630.47 | -0.00757 | 5-Mar-2007 | 1374.12 | -0.009408 | 630.47 | -0.00757 | 31-May-2007 | 1530.62 | 0.000255 | 702.43 | -0.00080 | |||||
| 6-Mar-2007 | 1395.41 | 0.015494 | 639.96 | 0.01505 | 6-Mar-2007 | 1395.41 | 0.015494 | 639.96 | 0.01505 | 1-Jun-2007 | 1536.34 | 0.003737 | 704.71 | 0.00325 | |||||
| 7-Mar-2007 | 1391.97 | -0.002465 | 638.16 | -0.00281 | 7-Mar-2007 | 1391.97 | -0.002465 | 638.16 | -0.00281 | 4-Jun-2007 | 1539.18 | 0.001849 | 705.57 | 0.00122 | |||||
| 8-Mar-2007 | 1401.89 | 0.007127 | 642.28 | 0.00646 | 8-Mar-2007 | 1401.89 | 0.007127 | 642.28 | 0.00646 | 5-Jun-2007 | 1530.95 | -0.005347 | 702.28 | -0.00466 | |||||
| 9-Mar-2007 | 1402.85 | 0.000685 | 642.42 | 0.00022 | 9-Mar-2007 | 1402.85 | 0.000685 | 642.42 | 0.00022 | 6-Jun-2007 | 1517.38 | -0.008864 | 696.57 | -0.00813 | |||||
| 12-Mar-2007 | 1406.60 | 0.002673 | 644.19 | 0.00276 | 12-Mar-2007 | 1406.60 | 0.002673 | 644.19 | 0.00276 | 7-Jun-2007 | 1490.72 | -0.017570 | 685.33 | -0.01614 | |||||
| 13-Mar-2007 | 1377.95 | -0.020368 | 631.17 | -0.02021 | 13-Mar-2007 | 1377.95 | -0.020368 | 631.17 | -0.02021 | 8-Jun-2007 | 1507.67 | 0.011370 | 693.11 | 0.01135 | |||||
| 14-Mar-2007 | 1387.17 | 0.006691 | 635.15 | 0.00631 | 14-Mar-2007 | 1387.17 | 0.006691 | 635.15 | 0.00631 | 11-Jun-2007 | 1509.12 | 0.000962 | 693.73 | 0.00089 | |||||
| 15-Mar-2007 | 1392.28 | 0.003684 | 636.74 | 0.00250 | 15-Mar-2007 | 1392.28 | 0.003684 | 636.74 | 0.00250 | 12-Jun-2007 | 1493.00 | -0.010682 | 686.16 | -0.01091 | |||||
| 16-Mar-2007 | 1386.95 | -0.003828 | 633.94 | -0.00440 | 16-Mar-2007 | 1386.95 | -0.003828 | 633.94 | -0.00440 | 13-Jun-2007 | 1515.67 | 0.015184 | 696.06 | 0.01443 | |||||
| 19-Mar-2007 | 1402.06 | 0.010894 | 640.69 | 0.01065 | 19-Mar-2007 | 1402.06 | 0.010894 | 640.69 | 0.01065 | 14-Jun-2007 | 1522.97 | 0.004816 | 699.82 | 0.00540 | |||||
| 20-Mar-2007 | 1410.94 | 0.006334 | 644.71 | 0.00627 | 20-Mar-2007 | 1410.94 | 0.006334 | 644.71 | 0.00627 | 15-Jun-2007 | 1532.91 | 0.006527 | 704.53 | 0.00673 | |||||
| 21-Mar-2007 | 1435.04 | 0.017081 | 655.51 | 0.01675 | 21-Mar-2007 | 1435.04 | 0.017081 | 655.51 | 0.01675 | 18-Jun-2007 | 1531.05 | -0.001213 | 704.18 | -0.00050 | |||||
| 22-Mar-2007 | 1434.54 | -0.000348 | 656.07 | 0.00085 | 22-Mar-2007 | 1434.54 | -0.000348 | 656.07 | 0.00085 | 19-Jun-2007 | 1533.70 | 0.001731 | 705.79 | 0.00229 | |||||
| 23-Mar-2007 | 1436.11 | 0.001094 | 655.98 | -0.00014 | 23-Mar-2007 | 1436.11 | 0.001094 | 655.98 | -0.00014 | 20-Jun-2007 | 1512.84 | -0.013601 | 696.78 | -0.01277 | |||||
| 26-Mar-2007 | 1437.50 | 0.000968 | 656.92 | 0.00143 | 26-Mar-2007 | 1437.50 | 0.000968 | 656.92 | 0.00143 | 21-Jun-2007 | 1522.19 | 0.006180 | 700.78 | 0.00574 | |||||
| 27-Mar-2007 | 1428.61 | -0.006184 | 653.07 | -0.00586 | 27-Mar-2007 | 1428.61 | -0.006184 | 653.07 | -0.00586 | 22-Jun-2007 | 1502.56 | -0.012896 | 690.77 | -0.01428 | |||||
| 28-Mar-2007 | 1417.23 | -0.007966 | 647.87 | -0.00796 | 28-Mar-2007 | 1417.23 | -0.007966 | 647.87 | -0.00796 | 25-Jun-2007 | 1497.74 | -0.003208 | 689.72 | -0.00152 | |||||
| 29-Mar-2007 | 1422.53 | 0.003740 | 650.93 | 0.00472 | 29-Mar-2007 | 1422.53 | 0.003740 | 650.93 | 0.00472 | 26-Jun-2007 | 1492.89 | -0.003238 | 687.78 | -0.00281 | |||||
| 30-Mar-2007 | 1420.86 | -0.001174 | 649.89 | -0.00160 | 30-Mar-2007 | 1420.86 | -0.001174 | 649.89 | -0.00160 | 27-Jun-2007 | 1506.34 | 0.009009 | 693.94 | 0.00896 | |||||
| 2-Apr-2007 | 1424.55 | 0.002597 | 650.65 | 0.00117 | 28-Jun-2007 | 1505.71 | -0.000418 | 693.86 | -0.00012 | ||||||||||
| 3-Apr-2007 | 1437.77 | 0.009280 | 656.66 | 0.00924 | 29-Jun-2007 | 1503.35 | -0.001567 | 692.77 | -0.00157 | ||||||||||
| 4-Apr-2007 | 1439.37 | 0.001113 | 657.77 | 0.00169 | Std. | 0.0076518502 | Std. | 0.007573299 | |||||||||||
| 5-Apr-2007 | 1443.76 | 0.003050 | 659.73 | 0.00298 | Std. | 0.006558317 | Std. | 0.0063840391 | |||||||||||
| 9-Apr-2007 | 1444.61 | 0.000589 | 660.13 | 0.00061 | |||||||||||||||
| 10-Apr-2007 | 1448.39 | 0.002617 | 662.08 | 0.00295 | |||||||||||||||
| 11-Apr-2007 | 1438.87 | -0.006573 | 658.13 | -0.00597 | |||||||||||||||
| 12-Apr-2007 | 1447.80 | 0.006206 | 662.38 | 0.00646 | |||||||||||||||
| 13-Apr-2007 | 1452.85 | 0.003488 | 665.35 | 0.00448 | |||||||||||||||
| 16-Apr-2007 | 1468.47 | 0.010751 | 672.01 | 0.01001 | |||||||||||||||
| 17-Apr-2007 | 1471.48 | 0.002050 | 673.56 | 0.00231 | |||||||||||||||
| 18-Apr-2007 | 1472.50 | 0.000693 | 674.10 | 0.00080 | |||||||||||||||
| 19-Apr-2007 | 1470.73 | -0.001202 | 673.99 | -0.00016 | |||||||||||||||
| 20-Apr-2007 | 1484.35 | 0.009261 | 680.82 | 0.01013 | |||||||||||||||
| 23-Apr-2007 | 1480.93 | -0.002304 | 677.59 | -0.00474 | |||||||||||||||
| 24-Apr-2007 | 1480.41 | -0.000351 | 677.16 | -0.00063 | |||||||||||||||
| 25-Apr-2007 | 1495.42 | 0.010139 | 684.37 | 0.01065 | |||||||||||||||
| 26-Apr-2007 | 1494.25 | -0.000782 | 683.66 | -0.00104 | |||||||||||||||
| 27-Apr-2007 | 1494.07 | -0.000120 | 684.42 | 0.00111 | |||||||||||||||
| 30-Apr-2007 | 1482.37 | -0.007831 | 680.65 | -0.00551 | |||||||||||||||
| 1-May-2007 | 1486.30 | 0.002651 | 683.22 | 0.00378 | |||||||||||||||
| 2-May-2007 | 1495.92 | 0.006472 | 686.42 | 0.00468 | |||||||||||||||
| 3-May-2007 | 1502.39 | 0.004325 | 689.40 | 0.00434 | |||||||||||||||
| 4-May-2007 | 1505.62 | 0.002150 | 690.95 | 0.00225 | |||||||||||||||
| 7-May-2007 | 1509.48 | 0.002564 | 692.79 | 0.00266 | |||||||||||||||
| 8-May-2007 | 1507.72 | -0.001166 | 692.05 | -0.00107 | |||||||||||||||
| 9-May-2007 | 1512.58 | 0.003223 | 693.43 | 0.00199 | |||||||||||||||
| 10-May-2007 | 1491.47 | -0.013956 | 683.73 | -0.01399 | |||||||||||||||
| 11-May-2007 | 1505.85 | 0.009641 | 690.04 | 0.00923 | |||||||||||||||
| 14-May-2007 | 1503.15 | -0.001793 | 689.31 | -0.00106 | |||||||||||||||
| 15-May-2007 | 1501.19 | -0.001304 | 689.18 | -0.00019 | |||||||||||||||
| 16-May-2007 | 1514.14 | 0.008626 | 695.95 | 0.00982 | |||||||||||||||
| 17-May-2007 | 1512.75 | -0.000918 | 695.16 | -0.00114 | |||||||||||||||
| 18-May-2007 | 1522.75 | 0.006610 | 699.80 | 0.00667 | |||||||||||||||
| 21-May-2007 | 1525.10 | 0.001543 | 699.91 | 0.00016 | |||||||||||||||
| 22-May-2007 | 1524.12 | -0.000643 | 699.12 | -0.00113 | |||||||||||||||
| 23-May-2007 | 1522.28 | -0.001207 | 699.01 | -0.00016 | |||||||||||||||
| 24-May-2007 | 1507.51 | -0.009703 | 693.47 | -0.00793 | |||||||||||||||
| 25-May-2007 | 1515.73 | 0.005453 | 697.27 | 0.00548 | |||||||||||||||
| 29-May-2007 | 1518.11 | 0.001570 | 697.70 | 0.00062 | |||||||||||||||
| 30-May-2007 | 1530.23 | 0.007984 | 702.99 | 0.00758 | |||||||||||||||
| 31-May-2007 | 1530.62 | 0.000255 | 702.43 | -0.00080 | |||||||||||||||
| 1-Jun-2007 | 1536.34 | 0.003737 | 704.71 | 0.00325 | |||||||||||||||
| 4-Jun-2007 | 1539.18 | 0.001849 | 705.57 | 0.00122 | |||||||||||||||
| 5-Jun-2007 | 1530.95 | -0.005347 | 702.28 | -0.00466 | |||||||||||||||
| 6-Jun-2007 | 1517.38 | -0.008864 | 696.57 | -0.00813 | |||||||||||||||
| 7-Jun-2007 | 1490.72 | -0.017570 | 685.33 | -0.01614 | |||||||||||||||
| 8-Jun-2007 | 1507.67 | 0.011370 | 693.11 | 0.01135 | |||||||||||||||
| 11-Jun-2007 | 1509.12 | 0.000962 | 693.73 | 0.00089 | |||||||||||||||
| 12-Jun-2007 | 1493.00 | -0.010682 | 686.16 | -0.01091 | |||||||||||||||
| 13-Jun-2007 | 1515.67 | 0.015184 | 696.06 | 0.01443 | |||||||||||||||
| 14-Jun-2007 | 1522.97 | 0.004816 | 699.82 | 0.00540 | |||||||||||||||
| 15-Jun-2007 | 1532.91 | 0.006527 | 704.53 | 0.00673 | |||||||||||||||
| 18-Jun-2007 | 1531.05 | -0.001213 | 704.18 | -0.00050 | |||||||||||||||
| 19-Jun-2007 | 1533.70 | 0.001731 | 705.79 | 0.00229 | |||||||||||||||
| 20-Jun-2007 | 1512.84 | -0.013601 | 696.78 | -0.01277 | |||||||||||||||
| 21-Jun-2007 | 1522.19 | 0.006180 | 700.78 | 0.00574 | |||||||||||||||
| 22-Jun-2007 | 1502.56 | -0.012896 | 690.77 | -0.01428 | |||||||||||||||
| 25-Jun-2007 | 1497.74 | -0.003208 | 689.72 | -0.00152 | |||||||||||||||
| 26-Jun-2007 | 1492.89 | -0.003238 | 687.78 | -0.00281 | |||||||||||||||
| 27-Jun-2007 | 1506.34 | 0.009009 | 693.94 | 0.00896 | |||||||||||||||
| 28-Jun-2007 | 1505.71 | -0.000418 | 693.86 | -0.00012 | |||||||||||||||
| 29-Jun-2007 | 1503.35 | -0.001567 | 692.77 | -0.00157 | |||||||||||||||
| Std. | 0.007118 | 0.007011 | |||||||||||||||||
| WEEKENDS | |||||||||||||||||||
| ALL SIX MONTHS | FIRST THREE MONTHS | LAST THREE MONTHS | |||||||||||||||||
| DATE | SPX | Return | OEX | Return | DATE | SPX | Return | OEX | Return | DATE | SPX | Return | OEX | Return | |||||
| 3-Jan-2007 | 1416.60 | 660.29 | 3-Jan-2007 | 1416.60 | 660.29 | 5-Apr-2007 | 1443.76 | 659.73 | |||||||||||
| 5-Jan-2007 | 1409.71 | -0.004864 | 657.50 | -0.00423 | 5-Jan-2007 | 1409.71 | -0.004864 | 657.50 | -0.00423 | 13-Apr-2007 | 1452.85 | 0.006296 | 665.35 | 0.00852 | |||||
| 12-Jan-2007 | 1430.73 | 0.014911 | 665.67 | 0.01243 | 12-Jan-2007 | 1430.73 | 0.014911 | 665.67 | 0.01243 | 20-Apr-2007 | 1484.35 | 0.021682 | 680.82 | 0.02325 | |||||
| 19-Jan-2007 | 1430.50 | -0.000161 | 665.38 | -0.00044 | 19-Jan-2007 | 1430.50 | -0.000161 | 665.38 | -0.00044 | 27-Apr-2007 | 1494.07 | 0.006548 | 684.42 | 0.00529 | |||||
| 26-Jan-2007 | 1422.18 | -0.005816 | 660.35 | -0.00756 | 26-Jan-2007 | 1422.18 | -0.005816 | 660.35 | -0.00756 | 4-May-2007 | 1505.62 | 0.007731 | 690.95 | 0.00954 | |||||
| 2-Feb-2007 | 1448.39 | 0.018429 | 669.59 | 0.01399 | 2-Feb-2007 | 1448.39 | 0.018429 | 669.59 | 0.01399 | 11-May-2007 | 1505.85 | 0.000153 | 690.04 | -0.00132 | |||||
| 9-Feb-2007 | 1438.06 | -0.007132 | 663.18 | -0.00957 | 9-Feb-2007 | 1438.06 | -0.007132 | 663.18 | -0.00957 | 18-May-2007 | 1522.75 | 0.011223 | 699.80 | 0.01414 | |||||
| 16-Feb-2007 | 1455.54 | 0.012155 | 668.84 | 0.00853 | 16-Feb-2007 | 1455.54 | 0.012155 | 668.84 | 0.00853 | 25-May-2007 | 1515.73 | -0.004610 | 697.27 | -0.00362 | |||||
| 23-Feb-2007 | 1451.19 | -0.002989 | 664.01 | -0.00722 | 23-Feb-2007 | 1451.19 | -0.002989 | 664.01 | -0.00722 | 1-Jun-2007 | 1536.34 | 0.013597 | 704.71 | 0.01067 | |||||
| 2-Mar-2007 | 1387.17 | -0.044116 | 635.28 | -0.04327 | 2-Mar-2007 | 1387.17 | -0.044116 | 635.28 | -0.04327 | 8-Jun-2007 | 1507.67 | -0.018661 | 693.11 | -0.01646 | |||||
| 9-Mar-2007 | 1402.85 | 0.011304 | 642.42 | 0.01124 | 9-Mar-2007 | 1402.85 | 0.011304 | 642.42 | 0.01124 | 15-Jun-2007 | 1532.91 | 0.016741 | 704.53 | 0.01648 | |||||
| 16-Mar-2007 | 1386.95 | -0.011334 | 633.94 | -0.01320 | 16-Mar-2007 | 1386.95 | -0.011334 | 633.94 | -0.01320 | 22-Jun-2007 | 1502.56 | -0.019799 | 690.77 | -0.01953 | |||||
| 23-Mar-2007 | 1436.11 | 0.035445 | 655.98 | 0.03477 | 23-Mar-2007 | 1436.11 | 0.035445 | 655.98 | 0.03477 | 29-Jun-2007 | 1503.35 | 0.000526 | 692.77 | 0.00290 | |||||
| 30-Mar-2007 | 1420.86 | -0.010619 | 649.89 | -0.00928 | 30-Mar-2007 | 1420.86 | -0.010619 | 649.89 | -0.00928 | ||||||||||
| 5-Apr-2007 | 1443.76 | 0.016117 | 659.73 | 0.01514 | |||||||||||||||
| 13-Apr-2007 | 1452.85 | 0.006296 | 665.35 | 0.00852 | Std. | 0.018390 | Std. | 0.017748 | Std. | 0.012323 | Std. | 0.012200 | |||||||
| 20-Apr-2007 | 1484.35 | 0.021682 | 680.82 | 0.02325 | |||||||||||||||
| 27-Apr-2007 | 1494.07 | 0.006548 | 684.42 | 0.00529 | |||||||||||||||
| 4-May-2007 | 1505.62 | 0.007731 | 690.95 | 0.00954 | |||||||||||||||
| 11-May-2007 | 1505.85 | 0.000153 | 690.04 | -0.00132 | |||||||||||||||
| 18-May-2007 | 1522.75 | 0.011223 | 699.80 | 0.01414 | |||||||||||||||
| 25-May-2007 | 1515.73 | -0.004610 | 697.27 | -0.00362 | |||||||||||||||
| 1-Jun-2007 | 1536.34 | 0.013597 | 704.71 | 0.01067 | |||||||||||||||
| 8-Jun-2007 | 1507.67 | -0.018661 | 693.11 | -0.01646 | |||||||||||||||
| 15-Jun-2007 | 1532.91 | 0.016741 | 704.53 | 0.01648 | |||||||||||||||
| 22-Jun-2007 | 1502.56 | -0.019799 | 690.77 | -0.01953 | |||||||||||||||
| 29-Jun-2007 | 1503.35 | 0.000526 | 692.77 | 0.00290 | |||||||||||||||
| Std | 0.015777 | std | 0.01548 |
Table 3
| TABLE 3: INPUTS FOR OPTION PRICING FORMULAE | |||||||
| (1) On July 2, 2007, the values of the stock indices were SPX=1519.43 and OEX=699.49. | |||||||
| (2) On July 2, 2007, the 3-month T-bill rate (quoted as a bank discount yield) was 4.81. | |||||||
| (3) On July 2, 2007, the days to expiration are 47 and 82 days for the August and September option contracts, respectively. | |||||||
| (4) On July 2, 2007, one can get estimates of daily dividends for SPX and OEX using CRSP S&P 500 returns, although the estimates | |||||||
| for OEX are admittedly "quick and dirty" estimates and less accurate than those for SPX. The second and third columns are data | |||||||
| for the S&P 500 from CRSP, including the total return with dividends (CSP500_RET) and the return without dividends (CSP500_RETX) | |||||||
| for the CRSP Value-Weighted Index of the S&P 500 Universe. The fourth column is the difference obtained by subtracting returns in | |||||||
| the third column from returns in the second column. This difference equals the dividend component of the S&P 500 return exactly, | |||||||
| but it only approximates the dividend component of the OEX return. (Analogues of the two S&P 500 return variables are unavailable | |||||||
| from CRSP, which is why this approximation is used.) Given this difference, one can estimate dividends at time t+1 by multiplying the | |||||||
| value of the index at time t by the value of the difference variable at time t+1. | |||||||
| DATE | CSP500_RET | CSP500_RETX | DIFFERENCE | SPX | OEX | SPX EST DIV | OEX EST DIV |
| 6/29/07 | -0.0016 | -0.0016 | 0.0000 | 1503.35 | 692.77 | ||
| 7/2/07 | 0.0108 | 0.0108 | 0.0000 | 1519.43 | 699.49 | 0.01202680 | 0.00554216 |
| 7/3/07 | 0.0038 | 0.0036 | 0.0002 | 1524.87 | 702.93 | 0.30236657 | 0.13919851 |
| 7/5/07 | 0.0003 | 0.0003 | 0.0000 | 1525.40 | 702.82 | 0.01677357 | 0.00773223 |
| 7/6/07 | 0.0037 | 0.0034 | 0.0003 | 1530.44 | 704.50 | 0.43473900 | 0.20030370 |
| 7/9/07 | 0.0009 | 0.0009 | 0.0000 | 1531.85 | 705.58 | 0.00918264 | 0.00422700 |
| 7/10/07 | -0.0143 | -0.0143 | 0.0000 | 1510.12 | 696.21 | 0.00459555 | 0.00211674 |
| 7/11/07 | 0.0058 | 0.0057 | 0.0001 | 1518.76 | 700.60 | 0.18272452 | 0.08424141 |
| 7/12/07 | 0.0190 | 0.0190 | 0.0000 | 1547.70 | 714.74 | 0.01366884 | 0.00630540 |
| 7/13/07 | 0.0031 | 0.0031 | 0.0000 | 1552.50 | 717.17 | 0.01857240 | 0.00857688 |
| 7/16/07 | -0.0019 | -0.0019 | 0.0000 | 1549.52 | 717.01 | 0.00000000 | 0.00000000 |
| 7/17/07 | -0.0001 | -0.0001 | 0.0000 | 1549.37 | 717.22 | 0.00000000 | 0.00000000 |
| 7/18/07 | -0.0021 | -0.0022 | 0.0001 | 1546.17 | 714.92 | 0.16113448 | 0.07459088 |
| 7/19/07 | 0.0046 | 0.0046 | 0.0000 | 1553.08 | 718.11 | 0.03710808 | 0.01715808 |
| 7/20/07 | -0.0123 | -0.0123 | 0.0001 | 1534.10 | 709.92 | 0.14443644 | 0.06678423 |
| 7/23/07 | 0.0048 | 0.0048 | 0.0000 | 1541.57 | 714.76 | 0.01994330 | 0.00922896 |
| 7/24/07 | -0.0195 | -0.0195 | 0.0000 | 1511.04 | 701.20 | 0.00000000 | 0.00000000 |
| 7/25/07 | 0.0046 | 0.0045 | 0.0000 | 1518.09 | 705.94 | 0.01511040 | 0.00701200 |
| 7/26/07 | -0.0233 | -0.0233 | 0.0000 | 1482.66 | 689.84 | 0.00303618 | 0.00141188 |
| 7/27/07 | -0.0159 | -0.0160 | 0.0001 | 1458.95 | 679.14 | 0.21795102 | 0.10140648 |
| 7/30/07 | 0.0101 | 0.0101 | 0.0000 | 1473.91 | 685.09 | 0.03355585 | 0.01562022 |
| 7/31/07 | -0.0126 | -0.0126 | 0.0000 | 1455.27 | 675.75 | 0.00884346 | 0.00411054 |
| 8/1/07 | 0.0073 | 0.0073 | 0.0001 | 1465.81 | 681.85 | 0.09313728 | 0.04324800 |
| 8/2/07 | 0.0047 | 0.0045 | 0.0002 | 1472.20 | 684.51 | 0.34739697 | 0.16159845 |
| 8/3/07 | -0.0264 | -0.0265 | 0.0001 | 1433.06 | 667.42 | 0.08833200 | 0.04107060 |
| 8/6/07 | 0.0241 | 0.0241 | 0.0000 | 1467.67 | 683.66 | 0.02722814 | 0.01268098 |
| 8/7/07 | 0.0061 | 0.0060 | 0.0000 | 1476.71 | 687.82 | 0.05577146 | 0.02597908 |
| 8/8/07 | 0.0146 | 0.0143 | 0.0003 | 1497.49 | 698.14 | 0.49617456 | 0.23110752 |
| 8/9/07 | -0.0291 | -0.0293 | 0.0002 | 1453.09 | 676.02 | 0.26805071 | 0.12496706 |
| 8/10/07 | 0.0000 | 0.0000 | 0.0000 | 1453.64 | 675.62 | 0.00290618 | 0.00135204 |
| 8/13/07 | -0.0003 | -0.0005 | 0.0002 | 1452.92 | 674.51 | 0.22240692 | 0.10336986 |
| 8/14/07 | -0.0183 | -0.0184 | 0.0001 | 1426.54 | 663.96 | 0.16127412 | 0.07487061 |
| 8/15/07 | -0.0135 | -0.0139 | 0.0003 | 1406.70 | 655.83 | 0.43509470 | 0.20250780 |
| 8/16/07 | 0.0033 | 0.0033 | 0.0000 | 1411.27 | 658.30 | 0.05626800 | 0.02623320 |
| 8/17/07 | 0.0244 | 0.0244 | 0.0000 | 1445.94 | 674.53 | 0.00000000 | 0.00000000 |
| 8/20/07 | -0.0003 | -0.0003 | 0.0000 | 1445.55 | 674.12 | 0.00000000 | 0.00000000 |
| 8/21/07 | 0.0012 | 0.0012 | 0.0000 | 1447.12 | 673.85 | 0.00578220 | 0.00269648 |
| 8/22/07 | 0.0117 | 0.0117 | 0.0001 | 1464.07 | 681.28 | 0.08972144 | 0.04177870 |
| 8/23/07 | -0.0012 | -0.0012 | 0.0000 | 1462.50 | 681.84 | 0.01903291 | 0.00885664 |
| 8/24/07 | 0.0118 | 0.0116 | 0.0001 | 1479.37 | 689.47 | 0.15648750 | 0.07295688 |
| 8/27/07 | -0.0085 | -0.0085 | 0.0000 | 1466.79 | 684.74 | 0.00887622 | 0.00413682 |
| 8/28/07 | -0.0234 | -0.0234 | 0.0000 | 1432.36 | 668.99 | 0.06600555 | 0.03081330 |
| 8/29/07 | 0.0222 | 0.0218 | 0.0004 | 1463.76 | 683.02 | 0.53570264 | 0.25020226 |
| 8/30/07 | -0.0042 | -0.0042 | 0.0001 | 1457.64 | 680.46 | 0.08489808 | 0.03961516 |
| 8/31/07 | 0.0112 | 0.0112 | 0.0000 | 1473.99 | 687.47 | 0.02769516 | 0.01292874 |
| 9/4/07 | 0.0104 | 0.0104 | 0.0000 | 1489.42 | 694.23 | 0.02358384 | 0.01099952 |
| 9/5/07 | -0.0111 | -0.0115 | 0.0004 | 1472.29 | 686.63 | 0.66874958 | 0.31170927 |
| 9/6/07 | 0.0044 | 0.0042 | 0.0002 | 1478.55 | 688.91 | 0.25470617 | 0.11878699 |
| 9/7/07 | -0.0168 | -0.0168 | 0.0000 | 1453.55 | 677.74 | 0.00000000 | 0.00000000 |
| 9/10/07 | -0.0013 | -0.0014 | 0.0000 | 1451.70 | 678.04 | 0.05378135 | 0.02507638 |
| 9/11/07 | 0.0137 | 0.0137 | 0.0000 | 1471.49 | 687.65 | 0.00290340 | 0.00135608 |
| 9/12/07 | 0.0003 | 0.0000 | 0.0003 | 1471.56 | 688.42 | 0.39877379 | 0.18635315 |
| 9/13/07 | 0.0085 | 0.0084 | 0.0001 | 1483.95 | 695.00 | 0.08535048 | 0.03992836 |
| 9/14/07 | 0.0003 | 0.0003 | 0.0000 | 1484.25 | 694.38 | 0.00296790 | 0.00139000 |
| 9/17/07 | -0.0052 | -0.0052 | 0.0000 | 1476.65 | 691.12 | 0.01038975 | 0.00486066 |
| 9/18/07 | 0.0292 | 0.0292 | 0.0000 | 1519.78 | 710.08 | 0.01771980 | 0.00829344 |
| 9/19/07 | 0.0062 | 0.0062 | 0.0000 | 1529.03 | 713.53 | 0.04407362 | 0.02059232 |
| 9/20/07 | -0.0065 | -0.0067 | 0.0002 | 1518.75 | 709.81 | 0.32568339 | 0.15198189 |
| 9/21/07 | 0.0047 | 0.0047 | 0.0000 | 1525.75 | 713.35 | 0.00000000 | 0.00000000 |
| 9/24/07 | -0.0052 | -0.0052 | 0.0000 | 1517.73 | 710.14 | 0.00000000 | 0.00000000 |
| 9/25/07 | -0.0004 | -0.0004 | 0.0000 | 1517.21 | 710.52 | 0.02731914 | 0.01278252 |
| 9/26/07 | 0.0055 | 0.0053 | 0.0002 | 1525.42 | 714.06 | 0.27764943 | 0.13002516 |
| 9/27/07 | 0.0040 | 0.0039 | 0.0000 | 1531.38 | 716.46 | 0.05796596 | 0.02713428 |
| 9/28/07 | -0.0030 | -0.0030 | 0.0000 | 1526.75 | 714.49 | 0.01990794 | 0.00931398 |
About SC0-Data.xls
| This data accompanies Second City Options: A Case Study on Index Options, by Don M. Chance and Michael L. Hemler. (Current Draft: September 7, 2009) |
Part 1
| OEX | |
| Straddle | |
| LC @700 | 14.1 |
| LP @ 700 | 12.6 |
| 26.7 | |
| Max profit | Infinity, X-St-P |
| Max loss | 26.7 |
| Break even | 673.3 |
| Break even | 726.7 |
Part 2
| Time period | SPX volatility | OEX volatility | ||
| All 6 mons (daily) | 11.3468% | 11.1785% | ||
| First 3 mons (daily) | 12.2767% | 12.1582% | ||
| Last 3 mons (daily) | 10.5215% | 10.2412% | ||
| All 6 mons (weekly) | 11.6417% | 11.4214% | ||
| First 3 mons (weekly) | 13.8629% | 13.3812% | ||
| Last 3 mons (weekly) | 9.2860% | 9.1832% | ||
| * SPX and OEX volatility are calculated using 'HistoricalVolatility10e' excel sheet, by pluging in numbers from table 2. | ||||
| Input for 'BlackScholesMertonBinomial10e.xlsm' | ||||
| S0 | SPX=1519.43, OEX=699.49 | |||
| X | ||||
| T | 0.1287671233 | |||
| Cont. comp. rate | 4.8922% | |||
| Div. | Table 3 (SPX & OEX est div) | |||
| OUTPUT (IMPLIED VOLATILITY) | ||||
| Index | Option | X | IMP Volatility | |
| SPX | C | 1515 | 14.7662% | |
| SPX | P | 1515 | 14.3325% | |
| SPX | C | 1520 | 14.4367% | |
| SPX | P | 1520 | 14.0819% | |
| SPX | C | 1525 | 14.2286% | |
| SPX | P | 1525 | 13.8238% | |
| OPX | C | 695 | 14.2775% | |
| OPX | P | 695 | 14.3089% | |
| OPX | C | 700 | 13.5490% | |
| OPX | P | 700 | 14.0045% | |
| OPX | C | 705 | 13.0638% | |
| OPX | P | 705 | 13.3727% |
