Trade No Date Executed Day Closed Days Open Description No Options Opening DTM

Trade No
1
1
Total
Date Executed
5-Nov-10
5-Nov-10
Day Closed Days Open Description No Options Opening DtM

9-Nov-10
4
S&P
65
14/365
9-Nov-10
4
S&P
400
14/365
2
2
2
Total
5-Nov-10
5-Nov-10
5-Nov-10
9-Nov-10
9-Nov-10
9-Nov-10
4
4
4
Citigroup
Citigroup
Citigroup
100
100
200
14/365
14/365
14/365
3
3
Total
5-Nov-2-10
5-Nov-2-10
11-Nov-10
11-Nov-10
6
6
Toyota
Toyota
100
250
74/365
74/365
4
4
Total
12-Nov-10
12-Nov-10
15-Nov-10
15-Nov-10
3
3
Amgen
Amgen
100
30
70/365
70/365
5
5
5
Total
12-Nov-10
12-Nov-10
12-Nov-10
15-Nov-10
15-Nov-10
15-Nov-10
3
3
3
Pepsi
Pepsi
Pepsi
400
683
0
34/365
34/365
34/365
Long/Short
Long
Short-sold calls
Strike No Shares
1225
1275
0
0
Multiplier Price
$ Value
100
8.00 (52,000.00)
100
0.85
34,000.00
(18,000.00) Gross Initial Investment in Position
Long
Long
Short-sold calls
3.5
4.5
4
0
0
0
100
100
100
Long
Short-sold calls
75
80
0
0
100
100
1.75
0.48
(17,500.00)
12,000.00
Long
Short
50
50
0
0
100
100
7.55
0.7
(75,500.00)
(2,100.00)
65
67.5
N/A
0
0
8001
100
100
1
Long
Short-calls sold
Short
0.77
0.06
0.28
0.91
0.23
64.85
(7,700.00)
(600.00)
(5,600.00)
(36,400.00)
(15,709.00)
518,864.85
466,755.85 Gross Initial Investment in Position
ment in Position
ment in Position
ment in Position
ment in Position
ment in Position
S&P
Long
Short - sold calls
Total
Purchase Price Sale Price Gain/Loss Quantity Multiplier

8.00
1.00
(7.00)
65.00
100.00
0.85
0.08
0.77
400.00
100.00
Citigroup
Long
Long
Short
Total

0.77
0.86
0.09
100
100.00
0.06
0.04
(0.02)
100
100.00
0.28
0.32
(0.04)
200
100.00
Toyota
Long
Short - sold calls
Total

1.27
2.96
1.69
100.00
100.00
0.22
1.02
0.22
250.00
100.00
Amgen
Long
Short
Total

7.55
5.60
(1.95)
100.00
100.00
0.7
1.30
0.60
30.00
100.00
Pepsi
Long
Short-calls sold
Short
Total

0.92
0.89
(0.03)
400.00
100.00
0.24
0.21
0.03
683.00
100.00
64.68
64.69
(0.01) 8,001.00
1.00
Total
$ Value
(45,500.00)
30,800.00
(14,700.00)
$ Value
900.00
(200.00)
(800.00)
(100.00)
$ Value
16,900.00
5,500.00
22,400.00
$ Value
(19,500.00)
1,800.00
(17,700.00)
$ Value
(1,200.00)
2,049.00
(80.01)
768.99
(9,331.01)
Day 1
Date
9-Nov-10
9-Nov-10
Position
SPX
SPX
9-Nov-10
9-Nov-10
9-Nov-10
9-Nov-10
9-Nov-10
Number
65
400
Purchase Price
8.00
0.85
Option Close Price

8.40
1.25
Citigroup
Citigroup
Citigroup
100
100
200
0.77
0.06
0.28
1.03
0.30
0.11
Toyota
Toyota
100
250
1.75
0.48
1.74
0.52
Long/Short
Long
Short-calls sold
Long
Long
Short
Long
Short-calls sold
Day One Total P&L

Day 2
Date
9-Nov-10
9-Nov-10
Position
SPX
SPX
Number
9-Nov-10
9-Nov-10
9-Nov-10
Citigroup
Citigroup
Citigroup
100
100
200
9-Nov-10
9-Nov-10
Toyota
Toyota
100
250
65
400
Option Open Price Option Close Price

8.40
6.10
1.25
0.15
1.03
0.30
0.11
1.74
0.52
Long/Short
Long
Short-calls sold
0.95
0.19
0.15
Long
Long
Short
1.27
0.22
Long
Short-calls sold
Day Two Total P&L

Day 3
Date
10-Nov-10
10-Nov-10
Position
SPX
SPX
Number
10-Nov-10
10-Nov-10
10-Nov-10
Citigroup
Citigroup
Citigroup
100
100
200
0.95
0.19
0.15
0.86
0.04
0.32
Long
Long
Short
10-Nov-10
10-Nov-10
Toyota
Toyota
100
250
1.27
0.22
1.45
0.25
Long
Short-calls sold
65
400

6.10
1.00
0.15
0.08
Long/Short
Long
Short-calls sold
Day Three Total P&L

Day 4
Date
Position
Number
Long/Short
11-Nov-10
11-Nov-10
Toyota
Toyota
100
250
1.27
0.25
2.96
1.02
Long
Short-calls sold
11-Nov-10
11-Nov-10
Amgen
Amgen
100
30
7.55
0.7
5.6
1.22
Long
Short
Day Four Total P&L

Day 5
Date
Position
12-Nov-10
12-Nov-10
Amgen
Amgen
12-Nov-10
12-Nov-10
12-Nov-10
Pepsi
Pepsi
Pepsi
Number

100
30
400
683
8001 - shares
5.6
1.22
0.92
0.24
N/A
Long/Short
5.68
1.27
Long
Short
0.91
0.23
Long
Short-calls sold
Short
N/A
Day Five Total P&L

Day 6
Date
Position
15-Nov-10
15-Nov-10
Amgen
Amgen
15-Nov-10
15-Nov-10
15-Nov-10
Pepsi
Pepsi
Pepsi
Day Six Total P&L
Number
Long/Short
100
30
5.68
1.27
5.6
1.3
Long
Short
400
683
8001 - shares
0.91
0.23
0.89
0.21
N/A
Long
Short-calls sold
Short
N/A
Strike Underlying Opening

1225
1221
1275
1221
Underlying Closing
1225
1225
Initial (Cost)/Revenue Unrealised Poition P&L

(52,000.00)
2,600.00
34,000.00
16,000.00
3.5
4.5
4
4.14
4.14
4.14
4.49
4.49
4.49
(7,700.00)
(600.00)
5,600.00
2,600.00
2,400.00
(3,400.00)
75
80
72.73
72.73
72.64
72.64
(17,500.00)
12,000.00
(100.00)
1,000.00

1225
1225
1275
1225
Underlying Closing
1223
1223

(54,600.00)
(14,950.00)
50,000.00
(44,000.00)
3.5
4.5
4
4.49
4.49
4.49
4.44
4.44
4.44
(10,300.00)
(3,000.00)
2,200.00
(800.00)
(1,100.00)
800.00
75
80
72.64
72.64
73.74
73.74
(17,400.00)
13,000.00
(4,700.00)
(7,500.00)

1225
1223
1275
1223
Underlying Closing
1214
1214

(39,650.00)
(33,150.00)
6,000.00
(2,800.00)
3.5
4.5
4
4.44
4.44
4.44
4.32
4.32
4.32
(9,500.00)
(1,900.00)
3,000.00
(900.00)
(1,500.00)
3,400.00
75
80
73.74
73.74
74.11
74.11
(12,700.00)
5,500.00
1,800.00
750.00
Underlying Closing
Initial (Cost)/Revenue
Unrealised Poition P&L
75
80
73.74
73.74
75.25
75.25
(12,700.00)
6,250.00
16,900.00
19,250.00
50
50
54.4
54.4
54.62
54.62
(75,500.00)
2,100.00
(19,500.00)
1,560.00
Underlying Closing
50
50
54.62
54.62
54.55
54.55
(56,000.00)
3,660.00
65
67.5
N/A
64.68
64.68
64.68
64.85
64.85
64.85
(36,800.00)
(16,392.00)
517,504.68
Underlying Closing

800.00
150.00
(400.00)
(683.00)
136,017.00
50
50
54.55
54.55
54.56
54.56
(56,800.00)
(3,810.00)
(800.00)
90.00
65
67.5
N/A
64.85
64.85
64.85
64.69
64.69
64.69
(36,400.00)
(15,709.00)
518,864.85
(800.00)
(1,366.00)
(128,016.00)
Total
(49,400.00)
50,000.00
600.00
(5,100.00)
1,800.00
2,200.00
(1,100.00)
(17,600.00)
13,000.00
(4,600.00)
(5,100.00)
Total
(69,550.00)
6,000.00
(63,550.00)
(11,100.00)
(4,100.00)
3,000.00
(12,200.00)
(22,100.00)
5,500.00
(16,600.00)
(92,350.00)
Total
(72,800.00) Intraday P&l after position being closed
3,200.00 Intraday P&l after position being closed
(69,600.00)
6,400.00 Intraday P&l after position being closed
(7,400.00)
(10,900.00)
6,250.00
(4,650.00)
(81,650.00)
Total
4,200.00 Position closed at end of business
25,500.00 Position closed at end of business
(95,000.00)
3,660.00
(61,640.00)
Total
(55,200.00)
3,810.00
(37,200.00)
(17,075.00)
653,521.68
547,856.68
Total
(57,600.00) Position closed during trading day at this price
390,848.85 Position closed during trading day at this price
275,253.85
Price
The decrease of prices,all things being equal,will result in a decrease in option price (if long, increase if short)
When prices fluctuate by percentages shown then the portfolio will experience the following profit and loss:
Trade No Trade Day 1 - 5-Nov-2010 - Morning
1
2
3
Price - Exposure
Price - Exposure
Price - Exposure
Price Limit
% of Limit Used Day 1
Trade No Trade Day 2 - closing price

1
2
3
(7,191.00)
(8,872.00)
(3,631.00)
(50,000.00)
39%
Minus 1% Price Movement
Price - Exposure
Price - Exposure
Price - Exposure
(21,727.00)
(8,872.00)
(3,915.00)
Price Limit
(50,000.00)
69%

4
5
Price - Exposure
Price - Exposure
(11,612.00)
5,238.65
Price Limit
(50,000.00)
13%
option price (if long, increase if short)

rience the following profit and loss:
(17,746.00)
(8,893.00)
(14,124.00)
(18,000.00)
(9,329.00)
(22,276.00)
(200,000.00)
20%
(500,000.00)
10%
(33,649.00)
(8,893.00)
(14,260.00)
(33,650.00)
(9,329.00)
(18,200.00)
(200,000.00)
28%
(500,000.00)
12%
(1,467.00)
11,530.24
3,005.00
(316,693.79)
(200,000.00)
-5%
(500,000.00)
63%
Volatility
The decrease in volatility,all things held equally will lead to a reduction in all option prices
When volatility moves by the below percentages then the vfollowing profit/loss is noted:
Trade No Trade Day 1 - 5/Nov/2010 - Morning
1
2
3
Volatility - Exposure
Price Limit

1
2
3
Price Limit

4
5
Price Limit
1% Volatility Decrease
(2,302.00)
(110.00)
(3,077.50)
(20,000.00)
27%
(985.00)
(14.00)
(290.00)
(20,000.00)
6%
(500.00)
(255.00)
(20,000.00)
4%
n all option prices

ofit/loss is noted:
(10,525.00)
(322.00)
(14,000.00)
(20,240.00)
(516.00)
(23,538.00)
(75,000.00)
33%
(150,000.00)
30%
(4,361.00)
107.00
(1,759.50)
(7,870.00)
270.00
(3,552.50)
(75,000.00)
8%
(150,000.00)
7%
(2,200.00)
(800.00)
(4,400.00)
(1,590.00)
(75,000.00)
4%
(150,000.00)
4%
Time Decay
A decrease in time left to maturity,all things held equally,will lead to an increase in option price.
When time moves by the days outlined below the portfolio will incurr the following profit or loss:
Trade No
1
2
3
Trade Day 1 - 5/Nov/2010 - Morning
1 Day Movement
Time - Exposure
Time - Exposure
Time - Exposure
(4,040.00)
(45.00)
(68.00)
Price Limit
Trade No
1
2
3
Trade Day 2 - closing price
(25,000.00)
17%
1 Day Movement
Time - Exposure
Time - Exposure
Time - Exposure
411.00
(104.00)
(180.00)
Price Limit
Trade No
4
5
Trade Day 4 - closing price

Time - Exposure
Time - Exposure
Price Limit
25,000.00
1%
1 Day Movement
(400.00)
(280.00)
(25,000.00)
3%
crease in option price.
ollowing profit or loss:

10 Day Movement
(4,296.00)
(892.00)
(2,805.00)
(100,000.00)
8%
10 Day Movement
25,594.00
(717.00)
(200.00)
100,000.00
25%
10 Day Movement
(3,400.00)
(2,490.00)
(100,000.00)
6%
All inputs as per trade email.Should the % movements take place the following proft/loss will be noted:
Trade No Description No Options Long/Short
1
S&P
65 Long
1
S&P
400 Short-calls sold
Total
No Shares Multiplier Price

Volatility
0
100
8.00
0.1015
0
100
0.85
0.1395
Value of initial option holding calculated then adjusted for % decrease in volaility give the corresponding increase/dec
1
S&P
65 Long
1
S&P
Total

Volatility
0
100
8.00
0.1015
0
100
0.85
0.1395
Time Decay
Profit and Loss of holding minus one and ten days
1
S&P
65 Long
1
S&P
Total

Volatility
0
100
8.00
0.1015
0
100
0.85
0.1395
Day 2-closing price

1
S&P
65 Long
1
S&P
Total

Volatility
0
100
6.10
0.0810
0
100
0.15
0.1120
1
S&P
65 Long
1
S&P
Total

Volatility
0
100
6.10
0.0810
0
100
0.15
0.1120
Time Decay
Volatility
1
1
Total
S&P
S&P
65 Long
0
0
100
100
6.10
0.15
Position closed at 15:32 at 1206 on 9/11/2010.See P&L tab for profit/loss on position
0.0810
0.1120
Day 1
Price
loss will be noted:

$ Value
Minus 1% Price Movement Minus 5% Price Movement Minus 25% Price Movement
52,000.00
(27,609.00)
(51,650.00)
(52,000.00)
(34,000.00)
20,418.00
33,904.00
34,000.00
18,000.00
(7,191.00)
(17,746.00)
(18,000.00)
Volatility
ve the corresponding increase/decrease in portfolio value:

$ Value
52,000.00
(702.00)
(2,925.00)
(6,240.00)
(34,000.00)
(1,600.00)
(7,600.00)
(14,000.00)
18,000.00
(2,302.00)
(10,525.00)
(20,240.00)
Time Decay
$ Value
1 Day Movement
10 Day Movement
52,000.00
1,560.00
29,380.00
(34,000.00)
(5,600.00)
(33,676.00)
18,000.00
(4,040.00)
(4,296.00)
Day 2-closing price

Price
loss will be noted:

$ Value
39,650.00
(26,494.00)
(39,648.00)
(39,650.00)
6,000.00
4,767.00
5,999.00
6,000.00
45,650.00
(21,727.00)
(33,649.00)
(33,650.00)
Volatility

$ Value
39,650.00
(585.00)
(2,405.00)
(4,550.00)
6,000.00
(400.00)
(1,956.00)
(3,320.00)
45,650.00
(985.00)
(4,361.00)
(7,870.00)
Time Decay
$ Value
1 Day Movement
10 Day Movement
39,650.00
(6,000.00)
33,650.00
2,275.00
(1,864.00)
411.00
31,590.00
(5,996.00)
25,594.00
Trade No
2
2
2
Total
Description No Options Long/Short

Volatility
Citigroup
100 Long
0
100
0.77
0.80
Citigroup
100 Long
0
100
0.06
0.45
Citigroup
200 Short-sold calls
0
100
0.28
1.20
Trade No
2
2
2
Total

Volatility
Citigroup
100 Long
0
100
0.77
0.80
Citigroup
100 Long
0
100
0.06
0.45
Citigroup
0
100
0.28
1.20
Time Decay
Trade No
2
2
2
Total

Volatility
Citigroup
100 Long
0
100
0.77
0.80
Citigroup
100 Long
0
100
0.06
0.45
Citigroup
0
100
0.28
1.10
Day 2-closing price

Trade No
2
2
2
Total

Volatility
Citigroup
100 Long
0
100
0.95
0.39
Citigroup
100 Long
0
100
0.19
0.70
Citigroup
0
100
0.15
1.10
Trade No
2
2
2
Total

Volatility
Citigroup
100 Long
0
100
0.95
0.39
Citigroup
100 Long
0
100
0.19
0.70
Citigroup
0
100
0.15
1.10
Time Decay
Trade No
2
2
2
Total

Volatility
Citigroup
100 Long
0
100
0.95
0.39
Citigroup
100 Long
0
100
0.19
0.70
Citigroup
0
100
0.15
1.10
Position closed at 15:55 at 4.33 on 9/11/2010.See P&L tab for profit/loss on position
Day 1
Price
t/loss will be noted:

Delta
$ Value
0.38
0.98
(0.35)
7,700.00
600.00
(5,600.00)
2,700.00
Minus 1% Price Movement Minus 5% Price Movement

(347.00)
(1,816.00)
(127.00)
(411.00)
(4,220.00)
(2,207.00)
(4,694.00)
(4,434.00)
Volatility

Delta
$ Value
0.38
0.98
(0.35)
7,700.00
600.00
5,600.00
13,900.00
(14.00)
(54.00)
(35.00)
(83.00)
(61.00)
(185.00)
(110.00)
(322.00)
Time Decay
Delta
$ Value
0.38
0.98
(0.35)
1 Day Movement
7,700.00
600.00
(5,600.00)
10 Day Movement
45.00
44.00
(134.00)
(45.00)
317.00
475.00
(1,684.00)
(892.00)
Day 2-closing price

Price
t/loss will be noted:

$ Value
9,500.00
(533.00)
(2,307.00)
(9,187.00)
1,900.00
(221.00)
(902.00)
(1,890.00)
(3,000.00)
(8,118.00)
(5,684.00)
1,748.00
8,400.00
(8,872.00)
(8,893.00)
(9,329.00)
Volatility

$ Value
9,500.00
(89.00)
(100.00)
(100.00)
1,900.00
(37.00)
(123.00)
(230.00)
(3,000.00)
112.00
330.00
600.00
8,400.00
(14.00)
107.00
270.00
Time Decay
$ Value
1 Day Movement
9,500.00
1,900.00
(3,000.00)
8,400.00
10 Day Movement
90.00
116.00
(310.00)
(104.00)
100.00
1,503.00
(2,320.00)
(717.00)

(6,834.00)
(599.00)
4,141.00
(3,292.00)

(104.00)
(42.00)
(370.00)
(516.00)
3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
1.75
0.204
0
100
0.48
0.195
3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
1.75
0.204
0
100
0.48
0.195
Time Decay
3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
1.75
0.204
0
100
0.48
0.195
Day 2-closing price

3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
1.27
0.136
0
100
0.22
0.140
3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
1.27
0.136
0
100
0.22
0.140
Time Decay
3
Toyota
100 Long

Volatility
0
100
1.27
0.136
3
Total
Toyota
100
0.22
0.140
Day 4-closing price

3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
2.96
0.211
0
100
1.02
0.201
3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
2.96
0.211
0
100
1.02
0.201
Time Decay
3
Toyota
100 Long
3
Toyota
Total

Volatility
0
100
2.96
0.211
0
100
1.02
0.201
Position closed at 10:20 at 75.25 on 11/11/2010.See P&L tab for profit/loss on position
Day 1
Price
/loss will be noted:

Delta
0.39
0.15
$ Value
17,500.00
(2,656.00)
(10,635.00)
(12,000.00)
(975.00)
(3,489.00)
5,500.00
(3,631.00)
(14,124.00)
Volatility

Delta
0.39
0.15
$ Value
17,500.00
(1,240.00)
(6,150.00)
(12,000.00)
(1,837.50)
(7,850.00)
5,500.00
(3,077.50)
(14,000.00)
Time Decay
Delta
0.39
0.15
$ Value
1 Day Movement
17,500.00
(12,000.00)
5,500.00
10 Day Movement
182
(250.00)
(68.00)
1,870.00
(4,675.00)
(2,805.00)
Day 2-closing price

Price

$ Value
12,700.00
(2,273.00)
(9,469.00)
(12,700.00)
(5,500.00)
(1,642.00)
(4,791.00)
(5,500.00)
7,200.00
(3,915.00)
(14,260.00)
(18,200.00)
Volatility

$ Value
12,700.00
(115.00)
(802.00)
(1,700.00)
(5,500.00)
(175.00)
(957.50)
(1,852.50)
7,200.00
(290.00)
(1,759.50)
(3,552.50)
Time Decay
$ Value
1 Day Movement 10 Day Movement
12,700.00
70
1,300.00
(5,500.00)
7,200.00
(250.00)
(180.00)
(1,500.00)
(200.00)
Day 4-closing price

Price

$ Value
29,600.00
(3,838.00)
(16,203.00)
(29,581.00)
(25,500.00)
(4,667.00)
(17,206.00)
(25,499.00)
4,100.00
(8,505.00)
(33,409.00)
(55,080.00)
Volatility

$ Value
29,600.00
(300.00)
(1,300.00)
(2,700.00)
(25,500.00)
(300.00)
(1,000.00)
(2,200.00)
4,100.00
(600.00)
(2,300.00)
(4,900.00)
Time Decay
$ Value
1 Day Movement 10 Day Movement
29,600.00
(200.00)
(2,100.00)
(25,500.00)
(200.00)
(1,600.00)
4,100.00
(400.00)
(3,700.00)

(17,496.00)
(4,780.00)
(22,276.00)

(11,938.00)
(11,600.00)
(23,538.00)
Day 1 (9/11/2010 - morning)
Should the % movements take place the following proft/loss will be noted:
Where call and puts present, stock price movement will have contrating impact on values. To assess impact on profits
Trade No Description No Options Long/Short No Shares Multiplier Price Volatility
4
Amgen
100 Long
0
100 5.20
0.212
4
Amgen
30 Short
0
100 0.55
0.300
Total
4
Amgen
100 Long
0
100 5.20
0.212
4
Amgen
30 Short
0
100 0.55
0.300
Total

4
Amgen
100 Long
0
100 5.20
0.212
4
Amgen
30 Short
0
100 0.55
0.300
Total
Day 2 (11/11/2010 - morning)
Where call and puts present, stock price movement will have contrating impact on values. To assess impact on profits
4
Amgen
100 Long
0
100 5.60
0.288
4
Amgen
30 Short
0
100 1.22
0.335
Total
4
Amgen
100 Long
0
100 5.60
0.288
4
Amgen
30 Short
0
100 1.22
0.335
Total

4
Amgen
100 Long
0
100 5.60
0.288
4
Amgen
30 Short
0
100 1.22
0.335
Total
Day 1 (9/11/2010 - morning)

Price
ct on values. To assess impact on profits the worse case scenario is taken below
$ Value
52,000.00
(1,256.00)
(20,253.00)
(51,956.00)
(1,650.00)
(17,645.00)
(23,658.00)
(56,344.00)
50,350.00
(18,901.00)
(43,911.00)
(108,300.00)
Volatility
ility give the corresponding increase/decrease in portfolio value:

$ Value
52,000.00
(200.00)
(1,100.00)
(2,200.00)
(1,650.00)
(200.00)
(700.00)
(1,300.00)
50,350.00
(400.00)
(1,800.00)
(3,500.00)
Time Decay
$ Value
1 Day Movement
52,000.00
(1,650.00)
50,350.00
10 Day Movement
2,500.00
200.00
2,700.00
5,000.00
1,800.00
6,800.00
Day 2 (11/11/2010 - morning)
ct on values. To assess impact on profits the worse case scenario is taken below
$ Value
56,000.00
(4,223.00)
(19,638.00)
(54,659.00)
(3,660.00)
(15,835.00)
(21,105.00)
(51,654.00)
52,340.00
(11,612.00)
(1,467.00)
3,005.00
Volatility
ility give the corresponding increase/decrease in portfolio value:

$ Value
56,000.00
(200.00)
(1,000.00)
(2,000.00)
(3,660.00)
(300.00)
(1,200.00)
(2,400.00)
52,340.00
(500.00)
(2,200.00)
(4,400.00)
Time Decay
$ Value
1 Day Movement
56,000.00
(3,660.00)
52,340.00
10 Day Movement
(200.00)
(200.00)
(400.00)
(1,600.00)
(1,800.00)
(3,400.00)
Day 1 (11/11/2010 - morn
Where shares sold short,movement will have contrasting impact on value of long options.In calculating P&L worst ca
Volatility
5
Pepsi
400 Long
0
100
0.91
0.118
5
Pepsi
0
100
0.23
0.126
5
Pepsi
0 Short
8001
1
64.85
Total
Trade No
5
5
5
Total
Description No Options
Pepsi
400
Pepsi
683
Pepsi
0
Long/Short
Long
Short-calls sold
Short

Volatility
0
100
0.91
0.118
0
100
0.23
0.126
8001
1
64.85
Time Decay
Trade No
5
5
5
Total
Description No Options
Pepsi
400
Pepsi
683
Pepsi
0
Long/Short
Long
Short-calls sold
Short

Volatility
0
100
0.91
0.118
0
100
0.23
0.126
8001
1
64.85
Day 1 (11/11/2010 - morning)

Price
loss will be noted:

tions.In calculating P&L worst case scenario taken below:
$ Value
36,400.00
1,222.00
29,828.00
279,290.00
(15,709.00)
(1,184.00)
(44,221.00)
(725,680.00)
5,200.65
25,923.24
129,696.21
20,691.00
5,238.65
11,530.24
(316,693.79)
Volatility
e the corresponding increase/decrease in portfolio value:

$ Value
36,400.00
(100.00)
(400.00)
(900.00)
(15,709.00)
(155.00)
(400.00)
(690.00)
20,691.00
(255.00)
(800.00)
Time Decay
$ Value
1 Day Movement
36,400.00
(15,709.00)
20,691.00
10 Day Movement
(100.00)
(180.00)
(1,500.00)
(990.00)
(280.00)
(2,490.00)
(1,590.00)

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Trade No

Day Closed Days Open Description No Options Opening DtM

Purchase Price Sale Price Gain/Loss Quantity Multiplier

Purchase Price Sale Price Gain/Loss Quantity Multiplier

Purchase Price Sale Price Gain/Loss Quantity Multiplier

Purchase Price Sale Price Gain/Loss Quantity Multiplier

Purchase Price Sale Price Gain/Loss Quantity Multiplier

Option Close Price

Day One Total P&L

Option Open Price Option Close Price

Day Two Total P&L

Option Open Price Option Close Price

Day Three Total P&L

Option Open Price Option Close Price

Day Four Total P&L

Option Open Price Option Close Price

Day Five Total P&L

Day Six Total P&L

Option Open Price Option Close Price

Strike Underlying Opening

Initial (Cost)/Revenue Unrealised Poition P&L

Strike Underlying Opening

Initial (Cost)/Revenue Unrealised Poition P&L

Strike Underlying Opening

Initial (Cost)/Revenue Unrealised Poition P&L

Strike Underlying Opening

Unrealised Poition P&L

Strike Underlying Opening

Strike Underlying Opening

Unrealised Poition P&L

Unrealised Poition P&L

Trade No Trade Day 2 - closing price

Minus 1% Price Movement

Trade No Trade Day 4 - closing price

Minus 1% Price Movement

Minus 1% Price Movement

option price (if long, increase if short)

Minus 25% Price Movement

Minus 5% Price Movement

Minus 25% Price Movement

Minus 5% Price Movement

Minus 25% Price Movement

Trade No Trade Day 2 - closing price

Trade No Trade Day 4 - closing price

n all option prices

10% Volatility Decrease

10% Volatility Decrease

10% Volatility Decrease

Trade Day 1 - 5/Nov/2010 - Morning

Trade Day 2 - closing price

Trade Day 4 - closing price

crease in option price.

ollowing profit or loss:

No Shares Multiplier Price

No Shares Multiplier Price

No Shares Multiplier Price

Day 2-closing price

No Shares Multiplier Price

No Shares Multiplier Price