fins 3635 assignment

1 FINS3635 Options, Futures and Risk Management

FINS3635: Options, Futures and Risk Management

Techniques Assignment

Group Members Student Number

Yizhi Luo ( Hueson) 3284806

Ke Sun (Duran) 3284758

Zhefeng He (Tim) 3285248


Contents

1 Companies …………………………………………………………………………………... 3

1.1 Boeing Company……………………………………………………………................ 3

1.2 Lexmark International Inc…………………………………………………................. 3

1.3 China Automotive System Inc……………………………………………………….. 3

2 Plots of option prices for September 1, 2010………………………………………………. 3

2.1 Option Prices against Time to Maturity……………………………………………… 3

2.1.1 Boeing Company (BA)………………………………………………………….. 3

2.1.2 Lexmark International Inc (LXK)………………………………………………. 4

2.1.3 China Automotive System Inc (CAAS)…………………………………………. 4

2.2 Option Prices against Strike Prices …………………………………………………… 4

2.2.1 Boeing Company (BA)…………………………………………………………… 4

2.2.2 Lexmark International Inc (LXK)……………………………………..…………. 5

2.2.3 China Automotive System Inc (CAAS)……………………………………….…. 5

2.3 Option Prices against Time to Maturity and Strike Price (3-D)……………………….. 6

2.3.1 Boeing Company (BA)…………………………………………………………… 6

2.3.2 Lexmark International Inc (LXK)………………………………………………… 7

2.3.3 China Automotive System Inc (CAAS)…………………………………………… 8

3 Discussion of the trends of Option Prices…………………………………………………….. 9

4 Discussion of the differences between selected stocks……………………………………….. 9

5 Observation and Analysis for option prices for 15 (working) days……………………………. 10

5.1 Boeing Company (BA)………………………………………………………………….. 11

5.2 Lexmark International Inc (LXK)………………………………………………………. 11

5.3 China Automotive System Inc (CAAS)……………………………………………….. 11

6 Practical news Effects and Expectations on the stock performance……………………….... 12

7 Variety of Option Trading Strategies formed………………………………………………. 13

7.1 Bear Spread with call options………………………………………………………… 13

7.2 Bear Spread with put options………………………………………………………… 14

7.3 Bull Spread with call options………………………………………………………… 15

7.4 Bull Spread with put options…………………………………………………………. 16

7.5 Box Spread………………………………………………………………………........ 17

7.6 Butterfly Spread……………………………………………………………………….. 17

7.7 Inverted Butterfly Spread…………………………………………………………….. 18

7.8 Neutral Calendar Spread………………………………………………………………. 19

7.9 Bearish Calendar Spread………………………………………………………………. 20

7.10 Bullish Calendar Spread……………………………………………………………….. 21

7.11 Reverse Calendar Spread………………………………………………………………. 22

7.12 Straddle, Strip, Strap and Strangle……………………………………………………… 22

Calculation of profits/losses (included in the above sessions)

8 Appendices………………………………………………………………………………………. 26


1. Companies The three stocks chosen are:

Boeing Company with a market cap $48.9 billion

Lexmark international Inc with a market cap $3.54 billion

China Automotive System Inc with a market cap $454.91 million

2. Plots of Option Prices

2.1 Option Price against Time to Maturity

Plot of option price against time to maturity for strike price $60 (Boeing Company )


Plot of option price against time to maturity for strike price $35 (Lexmark international Inc )

Plot of option price against time to maturity for strike price $15 (China Automotive System Inc)


2.2 Plot of option price against strike price

Plot of option price against strike price for maturity 17/09/10 (Boeing Company )

Plot of option price against strike price for maturity 15/10/10 ((Lexmark international Inc )


Plot of option price against strike price for maturity 18//02/11 (China Automotive System Inc)

2.3 Plot of option price against strike price and time to maturity

Note : Some maturities are not included due to the limited options available on those maturities. Some strike price are not included as it is not available on all maturities .

Plot of call option price against strike price and time to maturity for Boeing Company


Plot of put option price against strike price and time to maturity for Boeing Company

Plot of call option price against strike price and time to maturity for Lexmark international Inc


Plot of put option price against strike price and time to maturity for Lexmark international Inc

Plot of call option price against strike price and time to maturity for CAAS


Plot of put option price against strike price and time to maturity for CAAS

3.1 Relationship between Option Prices and Strike prices

For all 3 stocks, call options prices are negatively correlated with the strike prices and put options are,

on the other hand, positively correlated with the strike prices. There is an exponential decreasing or increasing

trend for option prices . This is therefore, consistent with the theory studied. For call options when strike price

increase, the intrinsic value of option max(s-k,0) decrease or stay with 0. Time value of call option decrease

as it is less likely for option to land in the money. is less likely to land in the money. Hence the value

of call options is negatively correlated with strike price. Reverse applies on cases of put option

3.2 Relationship between Option Price and Time to Maturity

Both call and put options price are positively correlated with time to maturity. When time to maturity

increase, the time value of the option also increase as it is more likely to sit in the money. For an

American call or put options, the price of option will definitely increase as time to maturity increase.


4 Differences between three stocks

For Boeing, the exponential distribution trend of option price against strike price is more obvious compare

to the other 2 company. The reason behind this is that for large stocks, it is easier for investors to collect

the information of company in order to predict the price movement . For small stock , due to insufficient

information and investors may hold different opinion on the future price movement.

For a given strike price, the price movement on call and put option price by increasing time to maturity is

not exactly the same. The reason behind this is that investors have different expectation on stock price on

different maturity.

5 Relationship between Option Prices and Stock Prices

Plot of stock price and option price for strike price $60, maturity 21/01/11 (Boeing Company)


Stock price experienced up and down but never stay under $61 during 15 days period. Call options price

seemed positively correlated with the stoke price and put option prices were negatively correlated with the stoke

price. The change in option price was not as big as that of the stock price. This is because for call options,

when stock price increase, the intrinsic value of option max(s-k,0) increase or stay with 0. There possibility

happen that the stock price will be under $60. In that scenario, an increase in stock price does not necessarily

indicate into an increase in option price. Reverse cases applies on put option. So the level of price change in

option price will not be as big as stock price.

Plot of stock price and option price for strike price $35, maturity 21/01/11 (Lexmark international Inc)


Stock prices performed extremely well as there almost no price drop in the 14 days period. Call option

prices are positively correlated with the strike price and put option prices are negatively correlated with the strike

price. Again the performance of call option is not as strong as the stock. The reason behind has been presented

previously.

Plot of stock price and option price for strike price $15, maturity 18/02/11 (China Automotive System)

Stock price experience d up and down but above $ 15 for most of time. Call options prices seemed slightly

positively correlated with the stock price and put options seemed slightly negatively correlated with the stock price.

The reason that the correlation was insignificant is that for a company, the option is traded at a low volume

and frequency , so that the option price remains static and unresponsive despite the change in stock price.


6 Expectation of stock price on Boeing company

It has been 2 years since Boeing delayed its deliver on the 787 aircraft : a

revolutionary high-speed, low fuel-consumption aircraft for the world's airline . This has

cause many airlines to delay or even cancel their 787 orders, or extract penalties

from Boeing for failure to deliver their planes on time . This definitely has done a

lot of damage on the public image of Boeing and operating profit has decreased

for 3 consecutive year. In the first quarter of last financial year, a net loss of

$1.564 billion is reported due to a decline in passenger in airline industry

while the world is recovering from global financial crisis. Recently, Boeing has

walked out from the crisis and has improved in performance. This can be

seen in the last quarter of last financial year, a net profit of $787 million

is reported, a huge improvement from the first quarter(Appendix 1). The increase

in profit should be credited for the increase in orders of airplanes, as Boeing

confirmed a whopping delivery of 124 planets to its customers last quarter , 11

more than the comparable quarter last year . Furthermore, it is amazing that BA

has received 104 more orders of planes in just a week, with all disclosed

orders going to 737’s

We believe BA’s stock price will continue to increase steadily in the

coming years due to the long- awaited arrival of 787 aircraft and recovery

of Boeing from the global financial crisis which supported by Boeing ’s

increasing trend in stock price, start from March 2009 until now. (Appendix 2)

Two trading strategies are suggested for this projected increase in stock price ,

strategies are most likely to earn profit if our expectations are correct. The

first suggestion is to buy a call option and the second one is to form a

strap position (buying 2 call options and buy a put option with same strike

price). We used data from 08/10/2010 with stock price 69.23 and a strike price

of $70 and a maturity ending Jan, 11, 2011. Data used to calculate profits is

shown in figure of Appendix D.

The profit of buying a call option:

Profit = Max [( –70) -3.9, -3.9]

The profit of using strap position:

Profit = 2( –70) –7.8 – 4.85 if ≧ 70,

Profit = (70- ) – 7.8– 4.85 if ≦ 70.


7 Option Trading Strategies

Option trading strategy were created for Boeing company on September 9th 2010 and closed out on

September 23rd 2010 . Profit/ Loss are calculated for each strategy.

7.1 Bear Spread using Call Options.

How to form this strategy : buy a call with strike and write a call with strike where > ;

Maturity are the same for 2 calls;

Outcome of this strategy : Both upside profit and downside risk are limited;

When to use this strategy : Investor anticipates a decrease in stock price.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 62.5 for $ 4.8 and

write a call option with strike price $ 57.5 for $ 8.6. So we receive $ 3.8 on Sep 9th

The profit/loss diagram of this strategy is shown below,

The existing position is closed out on Sep 23rd 2010 by purchasing a call option with strike price $ 57.5

for $ 7.75 and shorting a call option with strike price $ 62.5 for $ 3.9. There is therefore a loss of

$ 0.05 from simple calculation.


7.2 Bear Spread using Put Options.

How to form this strategy : buy a put with strike and write a put with strike where < ;

Maturity is the same for 2 puts;


When to use this strategy : Investor anticipate a decrease in stock price.

The maturity we choose is 19 Nov 2010. We buy a put option with strike price $ 62.5 for $ 3.02 and

write a call option with strike price $ 57.5 for $ 1.69. So we pay $ 1.33 on Sep 9th

The profit/loss diagram of this strategy is as following,

The existing position is closed out on Sep 23rd 2010 by purchase a put option with strike price $ 57.5

for $ 1.3 and write a put option with strike price $ 62.5 for $ 2.77. There is thus a profit of $ 0.14.

7.3 Bull Spread using Call Options

How to form this strategy : buy a call with strike and write a call with strike where >

Maturity are the same for 2 calls;


When to use this strategy : Investor anticipate an increase in stock price.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 57.5 for $ 8.6 and

write a call option with strike price $ 62.5 for $ 4.8. So we pay $ 3.8 on Sep 9th


The profit/loss diagram of this strategy is as following,

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 62.5

for $ 3.9 and write a call option with strike price $ 57.5 for $ 7.75. There is a profit of $ 0.05

7.4 Bull spread using put option.

How to form this strategy : buy a put with strike and write a put with strike where > .

Maturity are the same for 2 puts

Outcome of this strategy : Both upside profit and downside risk are limited

When to use this strategy : Investor anticipate an increase in stock price

The maturity we choose is 19 Nov 2010. We buy a put option with strike price $ 57.5 for $ 1.69

and write a put option with strike price $ 62.5 for $ 3.02 . So we receive $ 1.33 on Sep 9th


The profit/loss diagram of this strategy is shown below


for $ 2.77 and write a put option with strike price $ 57.5 for $ 1.3. There is a loss of $ 0.14

7.5 Box Spread

How to form this strategy : buy a call with strike , write a put with strike write a call with strike

, buy a put with strike where > . Maturity are the same for 2 calls and 2 puts;

Outcome of this strategy : Payoff is the same for all stock prices;

When to use this strategy : Investor want to fix their payoff at one level

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 57.5 for $ 8.6, buy

a put option with strike price $ 62.5 for $ 3.02, write a call option with strike price $ 62.5 for $ 4.8 ,

write a put option with strike price $ 57.5 for $ 1.69. So we pay $ 5.13 on Sep 9th

The profit/loss diagram of this strategy is as follows



for $ 3.9, purchase a call option with strike price $ 62.5 for $ 1.3, write a put option with strike price

$ 62.5 for $ 2.77, write a call option with strike price $ 57.5 for $ 7.75 . There is a profit of 0.19

7.6 Butterfly Spread

How to form this strategy : buy a call with strike , buy a call with strike write 2 calls with strike

, where < < and is close to current stock price . Maturity are the same for 4 calls;

Outcome of this strategy : Profit if stock price is not volatile, otherwise suffer a loss;

When to use this strategy : Investor anticipate a small volatility on stock price.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $ 60 for $ 6.15, buy

a call option with strike price $ 70 for $ 1.31, write 2 call options with strike price $ 65 for $ 3.27 .

So we pay $ 0.92 on Sep 9th


The existing position is closed out on Sep 23rd 2010 by purchase 2 call options with strike price $ 65 for

$ 2.4, write a call option with strike price $ 60 for $ 5.5, write a call option with strike price $ 70 for

$ 0.76 . There is a profit of 0.54

7.7 Inverted Butterfly Spread

How to form this strategy : buy 2 calls with strike , write a call with strike write 1 call with strike

, where < < and is close to current stock price. Maturity are the same for 4 calls;

Outcome of this strategy : Profit if stock price is volatile, otherwise suffer a loss;


When to use this strategy : Investor anticipate a large volatility on stock price, but uncertain about the

direction of movement.

The maturity we choose is 19 Nov 2010. We buy 2 call options with strike price $ 65 for $ 3.27,

write a call option with strike price $ 60 for $ 6.15, write a call option with strike price $ 70 for $ 1.31,

So we receive $ 0.92 on Sep 9th

The profit/loss diagram of this strategy is shown below,

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 60 for

$5.5, purchase a call option with strike price $70 for $ 0.76 , write 2 call option with strike price $ 65 for

$2.4. There is a loss of 0.54

7.8 Neutral Calendar Spread

How to form this strategy : sell a call with strike , buy a call with strike for a longer maturity ,

so the maturity of 2 options are different. Strike price is close to current stock price;

Outcome of this strategy : Profit if stock price is around , otherwise suffer a loss;

When to use this strategy : Investor anticipate a small volatility on stock price.


We write a call with strike price $65, matures at 19/11/2010 for $3.27, buy a call with strike price $ 65, matures

at 21/01/2011 for $4.85. So we pay $1.58 on Sep 9th 2010.


The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $ 65, matures

at 19/11/2010 for $2.4, write a call option with strike price $65, matures at 21/01/2011 for $3.95 . There is a

loss of 0.03

7.9 Bearish Calendar Spread


so the maturity of 2 options are different. Strike price is lower than current stock price;


When to use this strategy : Investor anticipate a decrease on stock price.

We write a call with strike price $60, matures at 19/11/2010 for $6.15, buy a call with strike price $ 60, matures

at 21/01/2011 for $8. So we pay $1.85 on Sep 9th 2010.




at 19/11/2010 for $ 5.5, write a call option with strike price $60, matures at 21/01/2011 for $ 6.9 . There is a

loss of 0.45

7.10 Bullish Calendar Spread


so the maturity of 2 options are different. Strike price is higher than current stock price;


When to use this strategy : Investor anticipate a decrease on stock price.

We write a call with strike price $70, matures at 19/11/2010 for $1.31, buy a call with strike price $70, matures

at 21/01/2011 for $2.68. So we pay $1.37 on Sep 9th 2010.


The profit/loss diagram of this strategy is as following

The existing position is closed out on Sep 23rd 2010 by purchase a call option with strike price $70, matures

at 19/11/2010 for $ 0.76, write a call option with strike price $70, matures at 21/01/2011 for $ 1.94 . There is

a loss of 0.19

7.11 Reverse Calendar Spread

How to form this strategy : buy a call with strike , sell a call with strike for a longer maturity ,

so the maturity of 2 options are different. Strike price is close to current stock price;

Outcome of this strategy : Profit if stock price is well above or well below , otherwise suffer a loss.;

When to use this strategy : Investor anticipate a large volatility on stock price, but uncertain about the .

direction of movement

We buy a call with strike price $65, matures at 19/11/2010 for $3.27, write a call with strike price $ 65, matures

at 21/01/2011 for $4.85. So we receive $1.58 on Sep 9th 2010.




at 21/01/2010 for $3.95, write a call option with strike price $65, matures at 19/11/2011 for $2.4 . There is a

profit of 0.03

7.12 Straddle

How to form this strategy : buy a call with strike , buy a put with strike , Maturity are the same

for call and put;

Outcome of this strategy : Profit if stock price is well above or well below , otherwise suffer a loss;

When to use this strategy : Investor anticipate a large volatility on stock price, but uncertain about the

direction of movement.

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $65 for $ 3.27 and

buy a put option with strike price $65 for $ 4.2 So we pay $ 7.47 on Sep 9th

.



The existing position is closed out on Sep 23rd 2010 by write a call option with strike price $ 65 for $2.4,

write a put option with strike price $65 for $ 3.65 , There is a loss of 1.42

7.13 Strip

How to form this strategy : buy a call with strike , buy 2 puts with strike , Maturity are the same

for call and 2 puts;

Outcome of this strategy : Most profit if stock price is well below , less profit if stock price well above

, otherwise suffer a loss;

When to use this strategy : Investor anticipate a large volatility on stock price, a decrease in stock price is

more likely than an increase;

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $65 for $ 3.27 and

buy 2 put options with strike price $65 for $ 4.2. So we pay $ 11.67 on Sep 9th



The existing position is closed out on Sep 23rd 2010 by write a call option with strike price $ 65 for $2.4,

write 2 put options with strike price $65 for $3.65 , There is a loss of 1.97

7.14 Strap

How to form this strategy : buy 2 call with strike , buy a put with strike , Maturity are the same

for 2 calls and put;

Outcome of this strategy : Most profit if stock price is well above , less profit if stock price well below

, otherwise suffer a loss;

When to use this strategy : Investor anticipate a large volatility on stock price, a increase in stock price is

more likely than an decrease;

The maturity we choose is 19 Nov 2010. We buy 2 call options with strike price $65 for $ 3.27 and

buy a put option with strike price $65 for $ 4.2. So we pay $ 10.74 on Sep 9th



The existing position is closed out on Sep 23rd 2010 by write 2 call options with strike price $ 65 for $2.4,

write 1 put options with strike price $65 for $3.65 , There is a loss of 2.29

7.15 Strangle

How to form this strategy : buy a call with strike , buy a put with strike where > . Maturity are the same for call and put.;

Outcome of this strategy : Profit if stock price is well above or well below , otherwise suffer a loss.

Similar strategy to straddle but with less upside and downside;

When to use this strategy : Investor anticipate a large volatility on stock price but uncertain about the

direction of movement;

The maturity we choose is 19 Nov 2010. We buy a call option with strike price $67.5 for $ 2.29 and

buy a put option with strike price $62.5 for $ 3.02 So we pay $ 5.31 on Sep 9th



The existing position is closed out on Sep 23rd 2010 by write a call option with strike price $ 67.5 for $ 1.46,

write a put option with strike price $ 62.5 for $ 2.77 , There is a loss of 1.08


Appendices

Appendix A

Appendix B


Appendix C

Sep, 23, 2010 stock price 63.9

Call

Options Expire at close Friday, January 21, 2011

Strike Symbol Last Chg Bid Ask Vol Open Int

12.5 BA110122C00012500 59.41 0 51.05 51.65 0 5

20 BA110122C00020000 51.8 0 43.55 44.15 0 4

22.5 BA110122C00022500 42.46 0 41.05 41.7 12 28

25 BA110122C00025000 44.85 0 38.55 39.25 3 8

30 BA110122C00030000 32.95 0 33.65 34.3 1 205

35 BA110122C00035000 30.15 0 28.7 29.45 2 125

40 BA110122C00040000 23.53 0 24.05 24.6 23 1,162

45 BA110122C00045000 19 0 19.25 19.4 4 7,733

50 BA110122C00050000 15.3 0 14.65 14.8 17 3,921

52.5 BA110122C00052500 12.5 0 12.5 12.6 5 78

55 BA110122C00055000 10.29 0 10.4 10.55 2 2,991

57.5 BA110122C00057500 8.8 0 8.5 8.6 2 290

60 BA110122C00060000 6.9 0 6.75 6.85 1 9,938

62.5 BA110122C00062500 5.25 0 5.2 5.3 30 8,704

65 BA110122C00065000 3.95 0 3.85 3.95 83 5,046

67.5 BA110122C00067500 2.8 0 2.79 2.82 99 1,935

70 BA110122C00070000 1.94 0 1.94 1.96 283 8,069

72.5 BA110122C00072500 1.26 0 1.29 1.32 26 2,160

75 BA110122C00075000 0.83 0 0.84 0.86 30 7,467

80 BA110122C00080000 0.35 0 0.32 0.36 1 4,656

85 BA110122C00085000 0.14 0 0.12 0.14 7 5,610

90 BA110122C00090000 0.06 0 0.06 0.07 2 1,525

95 BA110122C00095000 0.04 0 0.01 0.05 20 1,346

100 BA110122C00100000 0.12 0 N/A 0.05 63 1,233

105 BA110122C00105000 0.11 0 N/A 0.05 1 599

110 BA110122C00110000 0.02 0 N/A 0.03 10 1,261


Put

Options Expire at close Friday, January 21, 2011


5 BA110122P00005000 0.03 0 N/A 0.04 0 1,210

7.5 BA110122P00007500 0.01 0 N/A 0.04 10 423

10 BA110122P00010000 0.04 0 N/A 0.03 0 522

12.5 BA110122P00012500 0.02 0 N/A 0.03 21 816

15 BA110122P00015000 0.03 0 N/A 0.04 1 579

17.5 BA110122P00017500 0.05 0 N/A 0.04 10 221

20 BA110122P00020000 0.06 0 0.01 0.04 1 320

22.5 BA110122P00022500 0.05 0 0.03 0.06 70 736

25 BA110122P00025000 0.1 0 0.06 0.08 3 1,076

30 BA110122P00030000 0.14 0 0.13 0.16 147 6,906

35 BA110122P00035000 0.27 0 0.25 0.27 257 4,316

40 BA110122P00040000 0.45 0 0.41 0.44 2 3,086

45 BA110122P00045000 0.69 0 0.68 0.71 901 9,921

50 BA110122P00050000 1.14 0 1.15 1.17 128 5,255

52.5 BA110122P00052500 1.5 0 1.49 1.53 73 1,869

55 BA110122P00055000 1.95 0 1.95 1.98 53 9,777

57.5 BA110122P00057500 2.55 0 2.53 2.56 185 4,597

60 BA110122P00060000 3.25 0 3.25 3.35 24 14,450

62.5 BA110122P00062500 4.15 0 4.2 4.3 17 3,553

65 BA110122P00065000 5.05 0 5.35 5.45 25 4,055

67.5 BA110122P00067500 6.65 0 6.75 6.85 15 2,293

70 BA110122P00070000 8.46 0 8.4 8.5 9 5,766

72.5 BA110122P00072500 10.85 0 10.25 10.35 2 161

75 BA110122P00075000 13.95 0 12.3 12.4 10 4,468

80 BA110122P00080000 16.35 0 16.8 17.05 11 448

85 BA110122P00085000 24.5 0 21.15 21.9 2 901

90 BA110122P00090000 27.15 0 26.15 26.8 9 191

95 BA110122P00095000 30.7 0 31.15 31.6 102 282

100 BA110122P00100000 35.7 0 36.15 36.7 102 254

105 BA110122P00105000 38.1 0 41.2 41.6 38 293

110 BA110122P00110000 49.7 0 46.45 46.6 11 305


Appendix D

Oct, 8, 2010 stock price 69.23


Appendix E

Date on September 9, 2010

Call Options (Expire at close

Friday, November,2010)


40 BA101120C00040000 24.05 0 N/A N/A 1 1

45 BA101120C00045000 24.9 0 N/A N/A 54 80

50 BA101120C00050000 13.6 0 N/A N/A 2 147

52.5 BA101120C00052500 16.9 0 N/A N/A 10 7

55 BA101120C00055000 11.1 0 N/A N/A 4 454

57.5 BA101120C00057500 8.6 0 N/A N/A 10 203

60 BA101120C00060000 6.15 0 N/A N/A 10 919

62.5 BA101120C00062500 4.8 0 N/A N/A 42 1,084

65 BA101120C00065000 3.27 0 N/A N/A 61 1,737

67.5 BA101120C00067500 2.29 0 N/A N/A 152 2,548

70 BA101120C00070000 1.31 0 N/A N/A 183 3,728

72.5 BA101120C00072500 0.74 0 N/A N/A 38 1,996

75 BA101120C00075000 0.44 0 N/A N/A 240 3,183

Put Options (Expire at close

Friday, November,2010)


35 BA101120P00035000 0.12 0 N/A N/A 30 2,683

40 BA101120P00040000 0.2 0 N/A N/A 100 779

45 BA101120P00045000 0.37 0 N/A N/A 15 1,305

50 BA101120P00050000 0.66 0 N/A N/A 82 1,881

52.5 BA101120P00052500 1 0 N/A N/A 20 726

55 BA101120P00055000 1.16 0 N/A N/A 121 1,970

57.5 BA101120P00057500 1.69 0 N/A N/A 44 1,284

60 BA101120P00060000 2.17 0 N/A N/A 61 2,329

62.5 BA101120P00062500 3.02 0 N/A N/A 19 3,239

65 BA101120P00065000 4.2 0 N/A N/A 17 2,654

67.5 BA101120P00067500 5.41 0 N/A N/A 60 1,926

70 BA101120P00070000 7.59 0 N/A N/A 10 629

72.5 BA101120P00072500 10.35 0 N/A N/A 10 505

75 BA101120P00075000 11.45 0 N/A N/A 5 405

80 BA101120P00080000 17.24 0 N/A N/A 3 405


Appendix F

Date on September 23, 2010

Call Options Expire at close Friday, November 19, 2010


40 BA101120C00040000 24.05 0 N/A N/A 1 1

45 BA101120C00045000 19.9 0 N/A N/A 5 85

50 BA101120C00050000 14.5 0 N/A N/A 6 147

52.5 BA101120C00052500 10.5 0 N/A N/A 1 8

55 BA101120C00055000 9.55 0 N/A N/A 5 459

57.5 BA101120C00057500 7.75 0 N/A N/A 19 264

60 BA101120C00060000 5.5 0 N/A N/A 96 1,167

62.5 BA101120C00062500 3.9 0 N/A N/A 29 1,206

65 BA101120C00065000 2.4 0 N/A N/A 346 2,468

67.5 BA101120C00067500 1.46 0 N/A N/A 233 3,711

70 BA101120C00070000 0.76 0 N/A N/A 68 4,483

72.5 BA101120C00072500 0.4 0 N/A N/A 19 2,236

75 BA101120C00075000 0.2 0 N/A N/A 46 3,198

80 BA101120C00080000 0.06 0 N/A N/A 2 1,968

85 BA101120C00085000 0.04 0 N/A N/A 1 1,460

Put Options Expire at close Friday, November 19, 2010


35 BA101120P00035000 0.1 0 N/A N/A 4 2,688

40 BA101120P00040000 0.12 0 N/A N/A 5 784

45 BA101120P00045000 0.22 0 N/A N/A 5 1,361

50 BA101120P00050000 0.44 0 N/A N/A 55 2,309

52.5 BA101120P00052500 0.65 0 N/A N/A 24 804

55 BA101120P00055000 0.9 0 N/A N/A 541 2,823

57.5 BA101120P00057500 1.3 0 N/A N/A 86 1,616

60 BA101120P00060000 1.84 0 N/A N/A 147 2,759

62.5 BA101120P00062500 2.77 0 N/A N/A 173 3,560

65 BA101120P00065000 3.65 0 N/A N/A 53 2,674

67.5 BA101120P00067500 5.5 0 N/A N/A 16 1,926

70 BA101120P00070000 7.45 0 N/A N/A 60 708

72.5 BA101120P00072500 10 0 N/A N/A 27 518

75 BA101120P00075000 11.45 0 N/A N/A 5 405

80 BA101120P00080000 16.9 0 N/A N/A 11 405

85 BA101120P00085000 18.2 0 N/A N/A 8 61

fins 3635 assignment

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