-65- APPENDIX E TRADE ANALYSIS TRADE DAYS TO UNDERLYING INTEREST SPREAD MAXIMUM SPREAD DATE TYPE TRADE EXPIRATION PRICE RATE PRICE SPREAD VALUE VALUE RANGE 9/20/79 Spread +47 97.50P 76 97.45 10.21 25,004 58,750 32,638-50,553 Sale -47 97.625P 9/24/79 Spread +41 97.53P 72 97.50 10.02 21,525 49,200 26,786-41,143 Sale -41 97.65P 9/25/79 Spread +40 97.53P 71 97.48 10.08 21,960 49,200 26,744-41,508 Sale-4097.65P 9/26/79 Spread +16 97.50P 70 97.45 10.21 9,840 20,000 11,184-17,399 Sale -16 97.625P 10/2/79 Spread +26 97.45P 64 97.41 10.38 6,838 15,600 8,357-12,246 Sale -26 97.51P 10/3/79 Spread + 8 97.45P 63 97.40 10.40 2,176 4,800 2,605-3,928 Sale - 8 97.51P 11/7/79 Spread -33 97.50P 28 96.88 12.50 42,174 41,250 38,976-40,856 Purchase +33 97.625P 11/8/79 Spread -14 97.50P 27 96.89 12.45 17,906 17,500 16,551-17,340 Purchase +14 97.625P 11/9/79 Spread -40 97.53P 26 97.01 11.98 49,200 48,000 44,316-47,592 Purchase +40 97.65P 11/9/79 Spread - 8 97.50P 26 97.01 11.98 10,232 10,000 9,135-9,915 Purchase + 8 97.625P 11/9/79 Spread -11 97.45P 26 97.01 11.98 6,985 6,600 5,800-6,544 Purchase +11 97.51P 11/12/79 Spread -20 97.53P 23 97.00 12.00 24,620 24,000 22,526-23,819 Purchase +20 97.65P 11/12/79 Spread - 4 97.50P 23 97.00 12.00 5,120 5,000 4,649-4,962 Purchase + 4 97.625P 11/12/79 Spread -10 97.45P 23 97.00 12.00 6,360 6,000 5,389-5,955 Purchase +10 97.51P 11/13/79 Spread - 6 97.53P 22 97.00 12.00 7,392 7,200 6,787-7,148 Purchase + 6 97.65P 11/13/79 Spread - 4 97.50P 22 97.00 12.00 5,120 5,000 4,671-4,964 Purchase + 4 97.625P 11/14/79 Spread - 7 97.53P 21 96.95 12.20 8,617 8,400 8,055-8,341 Purchase + 7 97.65P 11/14/79 Spread - 8 97.45P 21 96.95 12.20 5,088 4,800 4,457-4,766 Purchase + 8 97.51P 11/15/79 Spread - 8 97.53P 20 97.08 11.70 9,856 9,600 8,884-9,539 Purchase + 8 97.65P 11/15/79 Spread - 5 97.45P 20 97.00 12.00 3,180 3,000 2,710-2,978 Purchase + 5 97.51P 10/30/79 Spread +25 97.16P 148 96.99 12.06 10,650 20,000 10,603-16,178 Purchase -25 97.08P 10/31/79 Spread +24 97.16P 147 96.96 12.15 9,552 19,200 10,422-16,439 Purchase -24 97.08PPage: Previous 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 Next
Last modified: May 25, 2011