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APPENDIX C
TANDRILL'S 1979 PUT OPTION SPREAD TRANSACTIONS THROUGH PERSHING
AND ARBITRAGE MANAGEMENT
In all of the transactions below, the expiration date for the
option was December 5, 1979, and the issuance date of the underlying
Treasury bill was March 4, 1980.
Trade
Date Type No. Trade Commission Cash Flow
Opening Trade:
9/20 Bought 47 97.50 $940 $(1,153,991)
Sold 47 97.625 940 1,178,995
25,004
Closing Trades:
11/7 Sold 33 97.50 660 544,731
Bought 33 97.625 660 (586,905)
(42,174)
11/8 Sold 14 97.50 280 225,498
Bought 14 97.625 280 (243,404)
(17,906)
Opening Trade:
9/24 Bought 41 97.53 820 (941,196)
Sold 41 97.65 820 962,721
21,525
Closing Trades:
11/12 Sold 20 97.53 400 280,600
Bought 20 97.65 400 (305,220)
( 24,620)
11/13 Sold 6 97.53 120 82,044
Bought 6 97.65 120 (89,436)
( 7,392)
11/14 Sold 7 97.53 140 92,785
Bought 7 97.65 140 (101,402)
( 8,617)
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