-66-
APPENDIX E
(Continued)
TRADE ANALYSIS
TRADE DAYS TO UNDERLYING INTEREST SPREAD MAXIMUM SPREAD
DATE TYPE TRADE EXPIRATION PRICE RATE PRICE SPREAD VALUE VALUE RANGE
11/19/79 Spread -24 97.16P 128 97.02 11.93 6,168 19,200 10,066-14,791
Sale +24 97.08P
11/20/79 Spread -13 97.16P 127 97.01 11.95 3,068 10,400 5,503-8,249
Sale +13 97.08P
11/21/79 Spread -10 97.16P 126 97.08 11.68 2,700 8,000 3,980-4,873
Sale +10 97.08P
11/23/79 Spread - 2 97.16P 124 97.16 11.35 400 1,600 747-562
Sale + 2 97.08P
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