Single Stock Analysis Stock Pair Analysis Portfolio Dates Portfolio Dates Correl Maturity VolRatio Ref Stock Correl Ref Stock

Σχετικά έγγραφα

Supplementary Appendix

IR Futures Effective Asset Class ก Efficient Frontier

ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΗ ΔΙΟΙΚΗΣΗ

Περιεχόµενα. Πρόλογος Κεφάλαιο 1 Εισαγωγή στο Matlab... 11

Reminders: linear functions

Financial Risk Management

Ανάκτηση Πληροφορίας

ΜΕΤΡΑ ΚΙΝΔΥΝΟΥ ΣΤΗ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΗ



Math 6 SL Probability Distributions Practice Test Mark Scheme


Στεγαστική δήλωση: Σχετικά με τις στεγαστικές υπηρεσίες που λαμβάνετε (Residential statement: About the residential services you get)

Si + Al Mg Fe + Mn +Ni Ca rim Ca p.f.u

ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΗ ΔΙΟΙΚΗΣΗ

ΕΒ ΟΜΑ ΙΑΙΑ ΑΝΑΣΚΟΠΗΣΗ ΧΡΗΜΑΤΙΣΤΗΡΙΑΚΕΣ ΕΞΕΛΙΞΕΙΣ

ΠΩΣ ΕΠΗΡΕΑΖΕΙ Η ΜΕΡΑ ΤΗΣ ΕΒΔΟΜΑΔΑΣ ΤΙΣ ΑΠΟΔΟΣΕΙΣ ΤΩΝ ΜΕΤΟΧΩΝ ΠΡΙΝ ΚΑΙ ΜΕΤΑ ΤΗΝ ΟΙΚΟΝΟΜΙΚΗ ΚΡΙΣΗ

ΧΡΗΣΙΜΟΙ ΟΡΟΙ TΙΤΛΩΝ ΠΑΡΑΣΤΑΤΙΚΩΝ ΙΚΑΙΩΜΑΤΩΝ ΠΡΟΣ ΚΤΗΣΗ ΚΙΝΗΤΩΝ ΑΞΙΩΝ Ή WARRANTS

Σπύρος Σκούρας.

Θέματα Εφαρμοσμένης. Ενότητα 7 : Indices Of Seats votes Disproportionality AND Inter-election Volatility.

Summary of the model specified

" # $ % # &' %# ()( ( * +, $- * $- # (, + ' ' * ',' ' #. * + / /, * #. * *, /# 0, ' /# " /, 1 * * / +, /# " 2, *, * # 0 ' * * / / #

Lecture 2: Dirac notation and a review of linear algebra Read Sakurai chapter 1, Baym chatper 3

6.1. Dirac Equation. Hamiltonian. Dirac Eq.

Project: 296 File: Title: CMC-E-600 ICD Doc No: Rev 2. Revision Date: 15 September 2010

VBA Microsoft Excel. J. Comput. Chem. Jpn., Vol. 5, No. 1, pp (2006)

Μεταπτυχιακή διατριβή Η ΜΑΚΡΟΟΙΚΟΝΟΜΙΚΗ ΕΠΙΔΡΑΣΗ ΑΠΟ ΔΙΑΤΑΡΑΧΕΣ ΤΩΝ ΤΙΜΩΝ ΤΟΥ ΠΕΤΡΕΛΑΙΟΥ ΣΕ ΧΩΡΕΣ ΠΟΥ ΕΙΣΑΓΟΥΝ ΚΑΙ ΕΞΑΓΟΥΝ ΠΕΤΡΕΛΑΙΟ

Introduction to Risk Parity and Budgeting

ΤΜΗΜΑ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΗΣ ΚΑΙ ΤΡΑΠΕΖΙΚΗΣ ΔΙΟΙΚΗΤΙΚΗΣ. ΘΕΜΑ ΔΙΠΛΩΜΑΤΙΚΗΣ ΕΡΓΑΣΙΑΣ : Efficiency in oil markets

; +302 ; +313; +320,.

ΠΑΝΕΠΙΣΤΗΜΙΟ ΑΙΓΑΙΟΥ

Supplement of Using empirical orthogonal functions derived from remote-sensing reflectance for the prediction of phytoplankton pigment concentrations

: Forward index level derived from put-call parity. : First strike price below the forward index level, F

Mean-Variance Analysis

ΟΙ ΠΑΡΑΓΟΝΤΕΣ που ΕΠΗΡΕΑΖΟΥΝ την ΤΙΜΗ των ΙΚΑΙΩΜΑΤΩΝ ΠΡΟΑΙΡΕΣΗΣ

«ΑΝΑΠΣΤΞΖ ΓΠ ΚΑΗ ΥΩΡΗΚΖ ΑΝΑΛΤΖ ΜΔΣΔΩΡΟΛΟΓΗΚΩΝ ΓΔΓΟΜΔΝΩΝ ΣΟΝ ΔΛΛΑΓΗΚΟ ΥΩΡΟ»


Neutralization E#ects of Acidity of Rain by Cover Plants on Slope Land

Monolithic Crystal Filters (M.C.F.)

Study on Re-adhesion control by monitoring excessive angular momentum in electric railway traction

Στρατηγικές µε δικαιώµατα προαίρεσης Αχιλλέας Ζαπράνης

Matrices and vectors. Matrix and vector. a 11 a 12 a 1n a 21 a 22 a 2n A = b 1 b 2. b m. R m n, b = = ( a ij. a m1 a m2 a mn. def


Παράγωγα Προϊόντα. Τρέχουσα Αγορά ΠΑΡΑΓΩΓΑ ΠΡΟΪΟΝΤΑ. P.G. Artikis


Matrices and Determinants

Geographic Barriers to Commodity Price Integration: Evidence from US Cities and Swedish Towns,

HISTOGRAMS AND PERCENTILES What is the 25 th percentile of a histogram? What is the 50 th percentile for the cigarette histogram?

Asset pricing at the Oslo Stock Exchange. A Source Book.

UMI Number: All rights reserved

- 1+x 2 - x 3 + 7x x x x x x 2 - x 3 - -

ΘΕΩΡΙΑ ΟΜΟΛΟΓΙΩΝ. ΤΙΜΟΛΟΓΗΣΗ,ΔΙΑΧΕΙΡΗΣΗ, ΕΙΔΙΚΑ ΘΕΜΑΤΑ.

ΕΠΙΔΡΑΣΗ ΤΗΣ ΧΡΗΣΗΣ ΕΛΑΙΟΠΛΑΚΟΥΝΤΑ ΣΤΗΝ ΔΙΑΤΡΟΦΗ ΤΩΝ ΑΙΓΩΝ ΔΑΜΑΣΚΟΥ ΩΣ ΠΡΟΣ ΤΗΝ ΠΟΣΟΤΗΤΑ ΚΑΙ ΠΟΙΟΤΗΤΑ ΤΟΥ ΠΑΡΑΓΟΜΕΝΟΥ ΓΑΛΑΚΤΟΣ

ΚΥΠΡΙΑΚΗ ΕΤΑΙΡΕΙΑ ΠΛΗΡΟΦΟΡΙΚΗΣ CYPRUS COMPUTER SOCIETY ΠΑΓΚΥΠΡΙΟΣ ΜΑΘΗΤΙΚΟΣ ΔΙΑΓΩΝΙΣΜΟΣ ΠΛΗΡΟΦΟΡΙΚΗΣ 6/5/2006

RISK MANAGEMENT - Ο ΠΙΣΤΩΤΙΚΟΣ ΚΙΝΔΥΝΟΣ

LESSON 28 (ΜΑΘΗΜΑ ΕΙΚΟΣΙ ΟΚΤΩ) REF : 201/033/28. 2 December 2014


CHAPTER 48 APPLICATIONS OF MATRICES AND DETERMINANTS

Διερεύνηση και αξιολόγηση μεθόδων ομογενοποίησης υδροκλιματικών δεδομένων ΔΙΠΛΩΜΑΤΙΚΗ ΕΡΓΑΣΙΑ

PCD CBN CVD Diamond. (Element Six TM )

Rod End > Spherical Bearings Product Overview

Supplementary Materials for Evolutionary Multiobjective Optimization Based Multimodal Optimization: Fitness Landscape Approximation and Peak Detection

10 MERCHIA. 10. Starting from standing position (where the SIGN START ) without marshal (self start) 5 minutes after TC4 KALO LIVADI OUT

Hydrologic Process in Wetland

Self-Lubricating Rod End > Spherical Bearings Product Overview

Mean bond enthalpy Standard enthalpy of formation Bond N H N N N N H O O O

LP N to BD* C-C = BD C-C to BD* O-H = LP* C to LP* B =5.

Metal Oxide Varistors (MOV) Data Sheet

Unifast Finance & Investments Public Company Limited

Does anemia contribute to end-organ dysfunction in ICU patients Statistical Analysis


APPENDICES APPENDIX A. STATISTICAL TABLES AND CHARTS 651 APPENDIX B. BIBLIOGRAPHY 677 APPENDIX C. ANSWERS TO SELECTED EXERCISES 679

Εφαρμογή της μεθόδου πεπερασμένων διαφορών στην εξίσωση θερμότητας

Cable Systems - Postive/Negative Seq Impedance

Ηλεκτρονικοί Υπολογιστές IV

Pricing American-style Basket Options By Implied Binomial Tree

Η εξελισσόµενη κλιµατική αλλαγή και η σχέση της µε τα ενεργειακά πρότυπα του 20 ου αιώνα

Κέντρο Εκπαίδευσης. Εισαγωγή στα Contract Options

ΜΑΣ 473/673: Μέθοδοι Πεπερασμένων Στοιχείων

Spatiotemporal footprint of the WNV in Greece : Analysis & Risk Αssessment in a GIS Εnvironment

ATLANTIC UNION in figures Η ΑΤΛΑΝΤΙΚΗ ΕΝΩΣΗ σε αριθμούς

Introduction to Risk Parity and Budgeting

A Bonus-Malus System as a Markov Set-Chain. Małgorzata Niemiec Warsaw School of Economics Institute of Econometrics

Περιγραφική στατιστική μεθοδολογία.

ΕΥΡΕΣΗ ΤΟΥ ΔΙΑΝΥΣΜΑΤΟΣ ΘΕΣΗΣ ΚΙΝΟΥΜΕΝΟΥ ΡΟΜΠΟΤ ΜΕ ΜΟΝΟΦΘΑΛΜΟ ΣΥΣΤΗΜΑ ΟΡΑΣΗΣ

HW 3 Solutions 1. a) I use the auto.arima R function to search over models using AIC and decide on an ARMA(3,1)

Χρηματοοικονομική Ανάπτυξη, Θεσμοί και

GAUGE BLOCKS. Grade 0 Tolerance for the variation in length. Limit deviation of length. ± 0.25μm. 0.14μm ±0.80μm. ± 1.90μm. ± 0.40μm. ± 1.

Engineering Tunable Single and Dual Optical. Emission from Ru(II)-Polypyridyl Complexes. Through Excited State Design

20/01/ of 8 TOW SSD v3. C 2.78AC Σ Cumul. A*C. Tc 1 =A14+1 =B14+1 =C14+1 =D14+1 =E14+1 =F14+1 =G14+1 =H14+1 =I14+1 =J14+1 =K14+1

Πανεπιστήµιο Μακεδονίας Οικονοµικών και Κοινωνικών Επιστηµών Τµήµα Εφαρµοσµένης Πληροφορικής

Sample BKC-10 Mn. Sample BKC-23 Mn. BKC-10 grt Path A Path B Path C. garnet resorption. garnet resorption. BKC-23 grt Path A Path B Path C

Παροράματα Βιβλίου Ανάλυση Επενδύσεων και Διαχείριση Χαρτοφυλακίου

5.4 The Poisson Distribution.

1. Αφετηρία από στάση χωρίς κριτή (self start όπου πινακίδα εκκίνησης) 5 λεπτά µετά την αφετηρία σας από το TC1B KALO LIVADI OUT

ΕΤΑΙΡΕΙΑ ΕΚΚΑΘΑΡΙΣΗΣ ΣΥΝΑΛΛΑΓΩΝ ΧΡΗΜΑΤΙΣΤΗΡΙΟΥ ΑΘΗΝΩΝ Α.Ε

Supplemental Table S1. Tumor specific networks are enriched with somatically mutated genes (taken from the database COSMIC)

ΠΟΡΤΑ ΤΗΛΕΣΚΟΠΙΚΗ 2ΦΥΛΛΗ 2 PANEL SIDE OPENING DOOR


Transcript:

Single Stock Analysis Stock Pair Analysis Portfolio Dates Portfolio Dates orrel Maturity Date Monday, December 21, 2009 Date Monday, December 21, 2009 30 Percentile Date Friday, December 19, 2008 Percentile Date Friday, December 19, 2008 VolRatio Ref Stock orrel Ref Stock # Portfolio Stock / Index Vol Matrix Delta Vol Matrix Skew Matrix Plots # Stock 1 Stock 2 orrel Matrix orrel Table Vol Ratio Matrix 1 S YES YES YES YES 1 YES YES YES 2 S NO NO NO YES 2 YES YES YES 3 S NO NO NO YES 3 YES YES YES 4 S NO NO NO YES 4 YES YES YES 5 S NO NO NO YES 5 YES YES YES 6 S NO NO NO YES 6 YES YES YES 7 S NO NO NO YES 7 YES YES YES 8 S NO NO NO YES 8 9 S NO NO NO YES 9 10 S NO NO NO YES 10 11 PN S NO NO NO YES 11 12 S NO NO NO YES 12 13 S NO NO NO YES 13 14 STT S NO NO NO YES 14 15 S NO NO NO YES 15 16 S NO NO NO YES 16 17 17 18 18 19 19 20 20

Vol Matrix Implied Volatility Percentile (over 52 weeks) 4.30% Price Ratio: Option Price / Spot Price 0.32% 40.33 Implied Volatility IV MATURITY 1M 2M 3M 4M 5M 6M 1Y 2Y OTM PUTS OTM ALLS -50% -40% -30% -20% -10% 0% 0% 10% 20% 30% 40% 50% 8% 8% 8% 7% 6% 2% 0% 0% 0% 0% 0% 0% Volatility Surface 0% 38.49 0% 38.49 0% 38.49 0.06% 37.18 0.73% 34.99 3.35% 28.94 3.06% 27.16 0.36% 25.88 0.02% 25.84 0% 25.84 0% 25.84 0% 25.84 6% 6% 9% 5% 1% 0% 0% 0% 0% 0% 0% 0% 0% 45.92 0.01% 45.92 0.17% 45.92 0.69% 41.94 1.79% 34.74 4.92% 29.99 4.54% 28.63 1.09% 26.15 0.19% 26.03 0.02% 26.03 0% 26.03 0% 26.03 60% 5% 5% 24% 2% 1% 1% 0% 0% 0% 0% 0% 0% 40% 0.02% 50.77 0.15% 50.65 0.7% 49.77 1.3% 41.19 2.86% 35.38 6.4% 31.84 5.77% 29.81 1.96% 27.3 0.56% 26.89 0.13% 26.84 0.03% 26.84 0.01% 26.84 10% 6% 4% 1% 0% 0% 0% 0% 0% 0% 0% 0% 20% 40% 60% 0.07% 51.5 0.34% 50.14 0.97% 46.76 1.85% 40.13 3.76% 35.39 7.52% 32.37 6.71% 30.13 2.77% 28 0.97% 27.14 0.28% 26.56 0.08% 26.5 0.02% 26.5 0% 1Y 20% 40% 5% 2% 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 4M Maturity 0% 20% 0.16% 51.94 0.58% 49.82 1.26% 44.86 2.4% 39.49 4.58% 35.4 8.5% 32.69 7.52% 30.33 3.5% 28.41 1.4% 27.29 0.47% 26.39 0.16% 26.29 0.05% 26.29 1M 6% 5% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0.3% 52.18 0.86% 49.57 1.56% 43.55 2.93% 39.04 5.34% 35.39 9.37% 32.89 8.25% 30.45 4.17% 28.67 1.84% 27.39 0.69% 26.29 0.27% 26.15 0.1% 26.16 8% 3% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% Strike 1.2% 48.96 2.12% 44.43 3.45% 40.17 5.69% 37.35 8.87% 34.84 13.33% 33.02 11.22% 29.82 7.09% 28.57 4.15% 27.33 2.41% 26.86 1.33% 26.33 0.84% 26.89 1% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 2.72% 43.15 4.39% 40.11 6.69% 37.61 9.85% 35.76 13.74% 33.98 18.86% 33.11 15.06% 29.08 11.1% 28.36 8.03% 27.73 5.73% 27.23 3.98% 26.68 2.77% 26.33

Delta Vol Matrix Implied Volatility Percentile (over 52 weeks) 4.30% Price Ratio: Option Price / Spot Price 0.32% 40.33 Implied Volatility IV MATURITY 1M 2M 3M 4M 5M 6M 1Y 2Y ALL DELTAS PUT DELTAS 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1% 2% 0.36% 24.61 0.56% 24.55 0.78% 24.65 1.03% 24.82 1.32% 25.06 1.63% 25.35 1.99% 25.67 2.39% 26.03 2.85% 26.46 2.78% 26.94 2.38% 27.51 2% 28.17 1.65% 28.98 1.32% 30.01 1.01% 31.32 0.71% 33.19 0.43% 36.23 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1% 1% 2% 0.57% 26.66 0.87% 26.59 1.2% 26.7 1.57% 26.89 1.99% 27.14 2.45% 27.46 2.97% 27.8 3.56% 28.2 4.24% 28.66 4.38% 29.18 3.74% 29.8 3.15% 30.52 2.58% 31.39 2.05% 32.51 1.54% 33.92 1.06% 35.96 0.62% 39.25 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1% 2% 2% 0.76% 28.01 1.13% 27.92 1.55% 28.03 2.01% 28.24 2.53% 28.53 3.11% 28.85 3.76% 29.23 4.49% 29.67 5.34% 30.17 5.79% 30.74 4.95% 31.42 4.15% 32.21 3.4% 33.17 2.69% 34.4 2.01% 35.96 1.36% 38.21 0.75% 41.87 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 2% 0.9% 28.35 1.34% 28.34 1.82% 28.48 2.35% 28.71 2.94% 29.01 3.6% 29.35 4.35% 29.73 5.19% 30.17 6.15% 30.66 6.92% 31.22 5.9% 31.88 4.94% 32.64 4.03% 33.56 3.17% 34.72 2.34% 36.19 1.55% 38.28 0.83% 41.63 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1% 1.04% 28.55 1.52% 28.58 2.06% 28.75 2.64% 29 3.3% 29.3 4.02% 29.64 4.84% 30.02 5.77% 30.46 6.83% 30.95 7.93% 31.51 6.76% 32.15 5.65% 32.9 4.6% 33.79 3.59% 34.9 2.63% 36.33 1.72% 38.33 0.89% 41.48 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1.16% 28.69 1.69% 28.74 2.27% 28.93 2.9% 29.18 3.61% 29.49 4.4% 29.83 5.28% 30.22 6.28% 30.65 7.42% 31.14 8.87% 31.69 7.56% 32.33 6.31% 33.07 5.12% 33.95 3.99% 35.03 2.9% 36.43 1.87% 38.36 0.93% 41.39 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1.77% 28.73 2.45% 28.61 3.19% 28.7 4% 28.88 4.89% 29.13 5.89% 29.44 7% 29.79 8.26% 30.2 9.71% 30.66 11.38% 31.19 11.2% 31.81 9.34% 32.54 7.55% 33.41 5.81% 34.51 4.14% 35.89 2.54% 37.83 1.1% 40.92 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 2.69% 28.4 3.58% 28.34 4.5% 28.44 5.51% 28.62 6.6% 28.85 7.81% 29.12 9.16% 29.44 10.69% 29.79 12.42% 30.2 14.43% 30.66 16.96% 31.19 14.09% 31.8 11.3% 32.53 8.57% 33.45 5.91% 34.58 3.39% 36.15 1.19% 38.56 Volatility Surface 60% 40% 20% 40% 60% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 5M 1M Maturity 20% 40% 0% 20% Strike

Strike Skew Matrix alendar Skew Matrix Strike Skew Percentile (over 52 weeks) 95.60% alendar Skew Percentile (over 52 weeks) 7.90% Vol y% Strike Skew: Vol x% / 135% -0.37 Slope : ( V ol x % - V ol y %) / ( x% - y%) alendar Skew: Vol am / Vol by 108% -0.009 Slope : (Vol am - Vol by) / (am - by) Skew MATURITY 1M 2M 3M 4M 5M 6M 1Y 2Y PUT SKEWS PUT / ALL SKEWS ALL SKEWS alendar Skew OTM PUTS OTM ALLS 80% / 90% 80% / 100% 90% / 100% 90% / 110% 80% / 120% 100% / 110% 100% / 120% 110% / 120% -50% -40% -30% -20% -10% 0% 0% 10% 20% 30% 40% 50% 28% 92% 98% 100% 92% 52% 36% 26% 17% 15% 9% 7% 39% 23% 10% 31% 23% 18% 18% 18% 1M / 2M 106% 0.22 128% 0.41 121% 0.6 135% 0.46 144% 0.28 105% 0.13 105% 0.07 100% 0 84% 0.247 84% 0.247 84% 0.247 89% 0.159 101% 0.008 96% 0.035 95% 0.049 99% 0.009 99% 0.006 99% 0.006 99% 0.006 99% 0.006 EW 100% 100% 99% 100% 100% 99% 75% 6% 15% 14% 5% 10% 27% 8% 4% 13% 8% 5% 6% 6% 1M / 3M 121% 0.72 140% 0.6 116% 0.47 133% 0.43 161% 0.4 109% 0.25 110% 0.13 100% 0.01 76% 0.205 76% 0.203 77% 0.188 90% 0.067 99% 0.007 91% 0.048 91% 0.044 95% 0.024 96% 0.018 96% 0.017 96% 0.017 96% 0.017 16% 10% 14% 13% 20% 9% 5% 6% 9% 13% 13% 13% 100% 100% 95% 100% 100% 100% 82% 6% 1M / 6M 116% 0.58 129% 0.47 111% 0.35 130% 0.4 153% 0.36 109% 0.25 111% 0.15 102% 0.04 74% 0.091 78% 0.074 88% 0.034 95% 0.012 99% 0.003 88% 0.026 89% 0.022 90% 0.019 94% 0.01 98% 0.003 99% 0.002 99% 0.002 25% 16% 97% 43% 15% 13% 8% 2% 16% 52% 45% 36% 100% 98% 94% 100% 100% 98% 85% 39% 3M / 6M 113% 0.47 124% 0.39 109% 0.3 126% 0.37 148% 0.32 108% 0.21 111% 0.15 103% 0.09 97% 0.016 102% 0.012 114% 0.069 105% 0.024 100% 0 97% 0.012 98% 0.007 95% 0.015 98% 0.006 102% 0.006 103% 0.008 103% 0.008 10% 12% 15% 14% 21% 12% 7% 6% 13% 13% 14% 7% 100% 98% 95% 100% 100% 98% 92% 71% 1M / 1Y 112% 0.41 121% 0.34 108% 0.27 125% 0.35 145% 0.3 107% 0.19 111% 0.15 104% 0.11 79% 0.032 87% 0.018 96% 0.005 100% 0.001 100% 0 88% 0.012 91% 0.008 91% 0.008 95% 0.005 96% 0.003 98% 0.001 96% 0.003 11% 25% 79% 35% 20% 18% 12% 5% 24% 31% 40% 17% 98% 98% 97% 100% 100% 97% 96% 93% 3M / 1Y 110% 0.36 119% 0.31 108% 0.25 123% 0.34 143% 0.29 106% 0.18 111% 0.15 105% 0.13 104% 0.007 114% 0.023 124% 0.036 110% 0.014 102% 0.002 96% 0.004 100% 0 96% 0.005 98% 0.002 100% 0 102% 0.002 100% 0 85% 82% 65% 55% 45% 13% 88% 69% 16% 22% 22% 93% 100% 100% 99% 99% 100% 97% 100% 99% 1Y / 2Y 107% 0.25 113% 0.22 106% 0.18 122% 0.31 137% 0.25 104% 0.12 109% 0.12 105% 0.12 113% 0.016 111% 0.012 107% 0.007 104% 0.004 103% 0.002 100% 0 103% 0.002 101% 0.001 99% 0.001 99% 0.001 99% 0.001 102% 0.002 98% 88% 33% 87% 94% 61% 58% 52% 105% 0.18 108% 0.13 103% 0.09 120% 0.28 129% 0.2 103% 0.07 105% 0.07 102% 0.06 SK Y IT R U T MA

0.6 Ticker IVol Percentile 3M ATM IVol 0% 0.40 0% 0.31 0% 0.31 0% 0.29 0% 0.51 0.5 31% 0.53 0% 0.31 0% 0.33 0% 0.36 0% 0.28 PN 0% 0.40 0.4 PN 0% 0.31 STT 0% 0.38 0% 0.32 0% 0.37 0% 0.30 IMPL IE D VO LATILITY 0.3 0.2 STT PN STT 0.1 0 0% 5% 10% 15% 20% 25% 30% 35% IVOL PERENTILE

140 Ticker Skew Percentile 3M 10% / ATM Skew 71% 110.68 99% 121.19 100% 124.18 99% 127.72 28% 100.95 130 44% 101.63 25% 112.05 95% 120.14 63% 114.86 95% 118.80 PN 74% 115.42 120 99% 121.91 STT 89% 115.04 95% 122.94 41% 113.75 100% 129.60 110 VOLA TILITY SKEW 100 PN STT PN STT 90 80 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% SKEW PERENTILE

100% Ticker Stock / Price 3M ATM IVol /1M HVol PN IVol / HVol Ratio Ratio Percentile Ratio Percentile 48% 82% 118% 87% 89% 125% 90% 15% 98% 151% 99% 80% 111% 60% 95% 137% 80% 9% 89% 123% 32% 69% 118% 40% 98% 138% 19% 69% 108% 70% 12% 52% 101% PN 88% 98% 118% STT 36% 48% 92% STT 19% 64% 98% 60% 54% 52% 100% 39% 85% 118% 0% 94% 127% 50% 40% PN STT 30% VOLATILITY RATIO PERENTILE 20% 10% 0% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% PRIE RATIO PERENTILE

100% Ticker Stock / IVol Ratio 3M ATM IVol /1M HVol PN IVol / HVol Ratio Percentile Ratio Percentile 12% 82% 118% 86% 89% 125% 90% 10% 98% 151% 55% 80% 111% 81% 95% 137% 80% 67% 89% 123% 76% 69% 118% 43% 98% 138% 13% 69% 108% 70% 40% 52% 101% PN 63% 98% 118% STT 79% 48% 92% STT 25% 64% 98% 60% 14% 52% 100% 16% 85% 118% 0% 94% 127% 50% 40% PN STT 30% VOLATILITY RATIO PERENTILE 20% 10% 0% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% STOK / INDEX VOL RATIO PERENTILE

Ticker orrel Percentile Stock Vs 1M orrel 28% 81% 11% 69% 29% 77% ORREL A TI O N 100% 90% 5% 60% 36% 55% 15% 53% 80% 60% 88% 4% 86% 37% 83% STT 44% 80% 70% PN 7% 65% 26% 70% PN STT 13% 71% 60% 42% 83% 1% 74% 0% 100% 50% 40% PN STT 30% 20% 10% 0% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% ORRELATION PERENTILE

orrelation Matrices Realized orrelation Over Selected Period 0.83 86.90% Realized orrelation Percentile (ov Spot Ratio : Left Stock Spot Price / Top Stock Spot Price 832% 92.40% Spot Ratio Percentile (over 52 wee 0.57 15% 0.71 49% 0.67 22% 0.72 65% 0.54 3% 0.81 28% 447% 94% 9% 63% 36% 52% 52% 69% 56% 66% 106% 48% 0.47 23% 0.43 11% 0.33 11% 0.25 4% 0.53 15% 2% 15% 8% 10% 12% 25% 13% 12% 24% 9% 0.81 38% 0.84 58% 0.62 17% 0.88 60% 395% 40% 558% 79% 605% 39% 1147% 32% 0.87 95% 0.58 1% 0.86 4% 141% 75% 153% 47% 290% 40% 0.60 21% 0.83 37% 108% 27% 206% 19% 0.74 1% 189% 39% Realized orrelation Over Selected Period 0.79 82.40% Realized orrelation Percentile (ov Spread : Left Stock Spot Price Top Stock Spot Price 93.49 5.10% Spread Percentile (over 52 weeks) 05 0. 57 15% 071 0.71 49% 067 0.67 22% 072 0.72 65% 05 0.54 3% 081 0.81 28% 11.86 74% 150.17 27% 26.62 19% 14.38 60% 12.06 35% 0.85 52% 0.47 23% 0.43 11% 0.33 11% 0.25 4% 0.53 15% 162.03 27% 38.48 20% 26.24 27% 23.92 15% 11.01 0% 0.81 38% 0.84 58% 0.62 17% 0.88 60% 123.55 70% 135.79 71% 138.11 70% 151.02 71% 0.87 95% 0.58 1% 0.86 4% 12.24 78% 14.56 68% 27.47 69% 0.60 21% 0.83 37% 2.32 28% 15.23 48% 0.74 1% 12.91 60%

)

orrelation Matrices Realized orrelation Over Selected Period 0.83 86.90% Realized orrelation Percentile (ov Spot Ratio : Left Stock Spot Price / Top Stock Spot Price 832% 92.40% Spot Ratio Percentile (over 52 wee 1.00 0% 0.57 15% 0.71 49% 0.67 22% 0.72 65% 0.54 3% 0.81 28% 100% 0% 447% 94% 9% 63% 36% 52% 52% 69% 56% 66% 106% 48% 0.57 15% 1.00 0% 0.47 23% 0.43 11% 0.33 11% 0.25 4% 0.53 15% 22% 6% 100% 0% 2% 15% 8% 10% 12% 25% 13% 12% 24% 9% 0.71 49% 0.47 23% 1.00 0% 0.81 38% 0.84 58% 0.62 17% 0.88 60% 1083% 37% 4838% 85% 100% 0% 395% 40% 558% 79% 605% 39% 1147% 32% 0.67 22% 0.43 11% 0.81 38% 1.00 0% 0.87 95% 0.58 1% 0.86 4% 274% 48% 1225% 90% 25% 60% 100% 0% 141% 75% 153% 47% 290% 40% 0.72 65% 0.33 11% 0.84 58% 0.87 95% 1.00 0% 0.60 21% 0.83 37% 194% 31% 867% 75% 18% 21% 71% 25% 100% 0% 108% 27% 206% 19% 0.54 3% 0.25 4% 0.62 17% 0.58 1% 0.60 21% 1.00 0% 0.74 1% 179% 34% 799% 88% 17% 61% 65% 53% 92% 73% 100% 0% 189% 39% 0.81 28% 0.53 15% 0.88 60% 0.86 4% 0.83 37% 0.74 1% 1.00 0% 94% 52% 422% 91% 9% 68% 34% 60% 49% 81% 53% 61% 100% 0% Realized orrelation Over Selected Period 0.79 82.40% Realized orrelation Percentile (ov Spread : Left Stock Spot Price Top Stock Spot Price 93.49 5.10% Spread Percentile (over 52 weeks) 1.00 0% 0.57 15% 0.71 49% 0.67 22% 0.72 65% 0.54 3% 0.81 28% 0.00 0% 11.86 74% 150.17 27% 26.62 19% 14.38 60% 12.06 35% 0.85 52% 0.57 15% 1.00 0% 0.47 23% 0.43 11% 0.33 11% 0.25 4% 0.53 15% 11.86 26% 0.00 0% 162.03 27% 38.48 20% 26.24 27% 23.92 15% 11.01 0% 071 0.71 49% 0.47 04 23% 1.00 100 0% 0.81 08 38% 0.84 08 58% 0.62 062 17% 088 0.88 60% 150.17 73% 162.03 73% 0.00 0% 123.55 70% 135.79 71% 138.11 70% 151.02 71% 0.67 22% 0.43 11% 0.81 38% 1.00 0% 0.87 95% 0.58 1% 0.86 4% 26.62 81% 38.48 80% 123.55 30% 0.00 0% 12.24 78% 14.56 68% 27.47 69% 0.72 65% 0.33 11% 0.84 58% 0.87 95% 1.00 0% 0.60 21% 0.83 37% 14.38 40% 26.24 73% 135.79 29% 12.24 22% 0.00 0% 2.32 28% 15.23 48% 0.54 3% 0.25 4% 0.62 17% 0.58 1% 0.60 21% 1.00 0% 0.74 1% 12.06 65% 23.92 85% 138.11 30% 14.56 32% 2.32 72% 0.00 0% 12.91 60% 0.81 28% 0.53 15% 0.88 60% 0.86 4% 0.83 37% 0.74 1% 1.00 0% 0.85 47% 11.01 100% 151.02 29% 27.47 31% 15.23 52% 12.91 40% 0.00 0%

)

Vol Pair Matrices Implied Volatility Spread (Left Stock Top Stock) 11.64 69% Volatility Spread Percentile (over 52 weeks) Number of Standard Deviations Between urrent and Average Spread 0.38 7.38 Deviation from the Mean in Volatility Points 0.00 0% 13.48 23% 8.60 3% 7.11 2% 4.09 17% 2.61 17% 9.88 2% 0.00 0.00 0.92 14.90 0.99 26.06 0.94 20.76 0.79 16.34 0.76 10.40 0.94 24.05 13.48 77% 0.00 0% 22.08 37% 20.59 44% 17.57 56% 16.09 59% 23.36 40% 0.92 14.90 0.00 0.00 0.46 11.16 0.27 5.87 0.07 1.45 0.26 4.50 0.37 9.15 8.60 97% 22.08 63% 0.00 0% 1.49 84% 4.51 98% 5.99 97% 1.28 70% 0.99 26.06 0.46 11.16 0.00 0.00 0.94 5.30 1.35 9.72 1.03 15.66 0.52 2.01 7.11 98% 20.59 56% 1.49 16% 0.00 0% 3.02 85% 4.50 96% 2.77 28% 0.94 20.76 0.27 5.87 0.94 5.30 0.00 0.00 0.86 4.42 0.96 10.37 0.65 3.28 4.09 83% 17.57 44% 4.51 2% 3.02 15% 0.00 0% 1.48 76% 5.79 3% 0.79 16.34 0.07 1.45 1.35 9.72 0.86 4.42 0.00 0.00 0.56 5.95 1.12 7.71 2.61 83% 16.09 41% 5.99 3% 4.50 4% 1.48 24% 0.00 0% 7.27 4% 0.76 10.40 0.26 4.50 1.03 15.66 0.96 10.37 0.56 5.95 0.00 0.00 0.94 13.65 9.88 98% 23.36 60% 1.28 30% 2.77 72% 5.79 97% 7.27 96% 0.00 0% 0.94 24.05 0.37 9.15 0.52 2.01 0.65 3.28 1.12 7.71 0.94 13.65 0.00 0.00 Implied Volatility Ratio (Left Stock / Top Stock) 112.97% 45% Implied Volatility Ratio Percentile (over 52 weeks) Realized Volatility Ratio 95.23% 11% Realized Volatility Ratio Percentile (over 52 weeks) 100.00% 0% 74.64% 8% 127.65% 12% 121.81% 11% 111.48% 23% 107.03% 29% 133.15% 12% 100.00% 0% 77.39% 29% 127.56% 5% 142.22% 63% 101.89% 19% 106.98% 26% 143.56% 33% 133.97% 92% 100.00% 0% 171.01% 59% 163.19% 71% 149.36% 78% 143.40% 85% 178.38% 67% 129.21% 71% 100.00% 0% 164.82% 28% 183.75% 73% 131.66% 33% 138.23% 63% 185.49% 50% 78.34% 88% 58.48% 41% 100.00% 0% 95.43% 77% 87.34% 95% 83.85% 88% 104.31% 76% 78.39% 95% 60.67% 72% 100.00% 0% 111.49% 100% 79.88% 82% 83.87% 92% 112.54% 96% 82.09% 89% 61.28% 29% 104.79% 23% 100.00% 0% 91.52% 74% 87.87% 85% 109.31% 43% 70.32% 37% 54.42% 27% 89.70% 0% 100.00% 0% 71.65% 0% 75.23% 21% 100.95% 1% 89.70% 77% 66.95% 22% 114.50% 5% 109.26% 26% 100.00% 0% 96.01% 72% 119.43% 13% 98.14% 81% 75.96% 67% 125.19% 18% 139.57% 100% 100.00% 0% 104.99% 87% 140.89% 93% 93.43% 71% 69.74% 15% 119.26% 12% 113.81% 15% 104.16% 28% 100.00% 0% 124.40% 16% 93.47% 74% 72.34% 37% 119.24% 8% 132.93% 79% 95.24% 13% 100.00% 0% 134.19% 33% 75.10% 88% 56.06% 33% 95.87% 24% 91.49% 57% 83.73% 87% 80.39% 84% 100.00% 0% 69.66% 67% 53.91% 50% 88.85% 4% 99.06% 99% 70.98% 7% 74.52% 67% 100.00% 0% Implied Volatility Ratio (Left Stock / Top Stock) 112.97% 45% Implied Volatility Ratio Percentile (over 52 weeks) Price Ratio 52.99% 54% Price Ratio Percentile (over 52 weeks) 100.00% 0% 74.64% 8% 127.65% 12% 121.81% 11% 111.48% 23% 107.03% 29% 133.15% 12% 100.00% 0% 446.78% 94% 9.24% 63% 36.47% 52% 51.52% 69% 55.89% 66% 105.89% 48% 133.97% 92% 100.00% 0% 171.01% 59% 163.19% 71% 149.36% 78% 143.40% 85% 178.38% 67% 22.38% 6% 100.00% 0% 2.07% 15% 8.16% 10% 11.53% 25% 12.51% 12% 23.70% 9% 78.34% 88% 58.48% 41% 100.00% 0% 95.43% 77% 87.34% 95% 83.85% 88% 104.31% 76% 1082.79% 37% 4837.72% 85% 100.00% 0% 394.87% 40% 557.82% 79% 605.16% 39% 1146.57% 32% 82.09% 89% 61.28% 29% 104.79% 23% 100.00% 0% 91.52% 74% 87.87% 85% 109.31% 43% 274.21% 48% 1225.15% 90% 25.32% 60% 100.00% 0% 141.27% 75% 153.26% 47% 290.37% 40% 89.70% 77% 66.95% 22% 114.50% 5% 109.26% 26% 100.00% 0% 96.01% 72% 119.43% 13% 194.11% 31% 867.25% 75% 17.93% 21% 70.79% 25% 100.00% 0% 108.49% 27% 205.54% 19% 93.43% 71% 69.74% 15% 119.26% 12% 113.81% 15% 104.16% 28% 100.00% 0% 124.40% 16% 178.93% 34% 799.42% 88% 16.52% 61% 65.25% 53% 92.18% 73% 100.00% 0% 189.47% 39% 75.10% 88% 56.06% 33% 95.87% 24% 91.49% 57% 83.73% 87% 80.39% 84% 100.00% 0% 94.44% 52% 421.93% 91% 8.72% 68% 34.44% 60% 48.65% 81% 52.78% 61% 100.00% 0%