volatility back testing

7/17/2019 Volatility Back Testing

http://slidepdf.com/reader/full/volatility-back-testing 1/30

Date open high low close Ln

2-Jun-14 39761 39920 39560 39724

3-Jun-14 39794 40123 39737 39931 0.005197

4-Jun-14 40000 40108 39930 40014 0.002076

5-Jun-14 39975 40500 39869 40463 0.011159

6-Jun-14 40328 40580 40061 40220 -0.006024

9-Jun-14 40213 40550 40197 40516 0.00733310-Jun-14 40530 40790 40330 40693 0.004359

11-Jun-14 40811 40900 40540 40707 0.000344

12-Jun-14 40700 41401 40579 41359 0.01589

13-Jun-14 41494 42030 41454 42002 0.015427

16-Jun-14 42318 42691 42272 42418 0.00986

17-Jun-14 42257 42675 42010 42627 0.004915

18-Jun-14 42461 42850 42401 42685 0.00136

19-Jun-14 42720 44736 42673 44516 0.042001

20-Jun-14 44633 45110 44250 44912 0.00886

23-Jun-14 44724 45019 44653 44865 -0.00104724-Jun-14 44741 45450 44657 45003 0.003071

25-Jun-14 44770 45300 44631 45152 0.003305

26-Jun-14 44939 45275 44670 45126 -0.000576

27-Jun-14 45275 45355 44918 45097 -0.000643

30-Jun-14 44748 45044 44565 44896 -0.004467

1-Jul-14 45121 45375 44862 44890 -0.000134

2-Jul-14 44888 45155 44500 45052 0.003602

3-Jul-14 44938 44981 44300 44847 -0.004561

4-Jul-14 44861 45179 44843 45048 0.004472

7-Jul-14 44950 44950 44576 44780 -0.005967

8-Jul-14 44792 45127 44661 44823 0.00096

9-Jul-14 44895 45096 44735 44787 -0.000803

10-Jul-14 44900 46395 44840 46242 0.031971

11-Jul-14 46400 46400 45921 46068 -0.00377

14-Jul-14 45851 45851 44885 44912 -0.025414

15-Jul-14 45098 45271 44601 44854 -0.001292

16-Jul-14 44729 44787 44371 44577 -0.006195

17-Jul-14 44700 45838 44642 45579 0.022229

18-Jul-14 45551 45571 44761 44931 -0.014319

21-Jul-14 45011 45535 44975 45174 0.005394

22-Jul-14 45001 45300 44734 45097 -0.001706

23-Jul-14 45100 45166 44878 44928 -0.003755

24-Jul-14 44700 44950 43728 43786 -0.025747

25-Jul-14 43964 44337 43875 44281 0.011242

28-Jul-14 44390 44534 44065 44172 -0.002465

29-Jul-14 44330 44650 44140 44269 0.002194

30-Jul-14 44336 44533 44076 44480 0.004755

31-Jul-14 44355 44800 44272 44399 -0.001823



Ln squae !olatilit" #u" ent" #u" tgt-1 tgt-2 tgt-3 sell ent"

2.70132$-005

4.31155$-006

0.000124514

3.62837$-005

5.37666$-0050.000019002

1.18322$-007

0.0002524916

0.000237998 0.0067496

9.7132E-005 0.006831 42068.91 42143.7 42224.8 42285.5 41935.09

2.41578$-005 0.0066736 42486.386 42562.89 42645.76 42707.77 42349.614

1.84883$-006 0.0067103 42694.137 42769.24 42850.6 42911.48 42559.863

0.0017640928 0.0120474 42752.597 42828.21 42910.13 42971.43 42617.403

7.8435E-005 0.012001 44642.57 44784.2 44937.5 45052.3 44389.43

1.09629$-006 0.0124673 45039.206 45181.5 45335.66 45451.01 44784.7949.43211$-006 0.0122395 44997.006 45144.67 45304.65 45424.35 44732.994

1.09258$-005 0.0123363 45132.992 45278.41 45435.94 45553.81 44873.008

3.31774$-007 0.0125414 45283.454 45430.5 45589.81 45709.01 45020.546

4.13258$-007 0.0127975 45259.563 45408.97 45570.83 45691.94 44992.437

1.99543$-005 0.0132819 45233.203 45385.56 45550.62 45674.13 44960.797

1.78626$-008 0.0133451 45036.728 45194.15 45364.7 45492.31 44755.272

1.29767$-005 0.0036158 45031.378 45189.53 45360.86 45489.06 44748.622

2.07998$-005 0.0029005 45090.444 45133.45 45180.04 45214.9 45013.556

1.99978$-005 0.0032147 44877.698 44912.04 44949.24 44977.08 44816.302

3.56048$-005 0.0036252 45082.176 45120.41 45161.83 45192.82 45013.824

9.21196$-007 0.0034169 44818.312 44861.17 44907.6 44942.34 44741.688

6.45583$-007 0.0034159 44859.144 44899.58 44943.38 44976.15 44786.856

0.0010221165 0.0108688 44823.105 44863.49 44907.25 44939.99 44750.895

1.42122$-005 0.0108192 46360.613 46493.3 46637.04 46744.6 46123.387

0.0006458483 0.0140361 46185.627 46317.21 46459.76 46566.42 45950.373

1.66991$-006 0.0139828 45060.771 45227.19 45407.48 45542.39 44763.229

3.83748$-005 0.0140449 45002.015 45167.59 45346.97 45481.18 44705.985

0.0004941308 0.0157701 44724.755 44890.04 45069.1 45203.08 44429.245

0.0002050368 0.0164036 45748.633 45938.39 46143.97 46297.79 45409.367

2.90922$-005 0.0164802 45104.939 45299.51 45510.3 45668.03 44757.061

2.91035$-006 0.0164928 45349.696 45546.24 45759.16 45918.48 44998.304

1.40964$-005 0.0122612 45272.531 45468.89 45681.61 45840.77 44921.469

0.000662912 0.0141707 45058.006 45203.44 45360.99 45478.87 44797.994

0.0001263727 0.0131333 43932.433 44096.24 44273.7 44406.48 43639.567

6.07419$-006 0.0131357 44418.247 44571.78 44738.1 44862.56 44143.753

4.81168$-006 0.0130814 44308.934 44462.11 44628.06 44752.23 44035.066

0.00002261 0.0105816 44405.667 44558.55 44724.17 44848.1 44132.333

3.32225$-006 0.009755 44591.078 44715.33 44849.94 44950.67 44368.922



sell tgt1 sell tgt2 sell tgt3

41860.3 41779.2 41718.5

42273.11 42190.24 42128.23

42484.76 42403.4 42342.52

42541.79 42459.87 42398.57

44247.8 44094.5 43979.7

44642.5 44488.34 44372.9944585.33 44425.35 44305.65

44727.59 44570.06 44452.19

44873.5 44714.19 44594.99

44843.03 44681.17 44560.06

44808.44 44643.38 44519.87

44597.85 44427.3 44299.69

44590.47 44419.14 44290.94

44970.55 44923.96 44889.1

44781.96 44744.76 44716.92

44975.59 44934.17 44903.18

44698.83 44652.4 44617.66

44746.42 44702.62 44669.85

44710.51 44666.75 44634.01

45990.7 45846.96 45739.4

45818.79 45676.24 45569.58

44596.81 44416.52 44281.61

44540.41 44361.03 44226.82

44263.96 44084.9 43950.92

45219.61 45014.03 44860.21

44562.49 44351.7 44193.97

44801.76 44588.84 44429.52

44725.11 44512.39 44353.23

44652.56 44495.01 44377.13

43475.76 43298.3 43165.52

43990.22 43823.9 43699.44

43881.89 43715.94 43591.77

43979.45 43813.83 43689.9

44244.67 44110.06 44009.33



Date open high low close Ln Ln squae

2-Jun-14 39761 39920 39560 39724

3-Jun-14 39794 40123 39737 39931 0.005197 2.70$-005

4-Jun-14 40000 40108 39930 40014 0.002076 4.31$-006

5-Jun-14 39975 40500 39869 40463 0.011159 0.000125

6-Jun-14 40328 40580 40061 40220 -0.006024 3.63$-005

9-Jun-14 40213 40550 40197 40516 0.007333 5.38$-00510-Jun-14 40530 40790 40330 40693 0.004359 1.90$-005

11-Jun-14 40811 40900 40540 40707 0.000344 1.18$-007

12-Jun-14 40700 41401 40579 41359 0.01589 0.000252

13-Jun-14 41494 42030 41454 42002 0.015427 0.000238

16-Jun-14 42318 42691 42272 42418 0.00986 1E-004

17-Jun-14 42257 42675 42010 42627 0.004915 2.42$-005

18-Jun-14 42461 42850 42401 42685 0.00136 1.85$-006

19-Jun-14 42720 44736 42673 44516 0.042001 0.001764

20-Jun-14 44633 45110 44250 44912 0.00886 8E-005

23-Jun-14 44724 45019 44653 44865 -0.001047 1.10$-00624-Jun-14 44741 45450 44657 45003 0.003071 9.43$-006

25-Jun-14 44770 45300 44631 45152 0.003305 1.09$-005

26-Jun-14 44939 45275 44670 45126 -0.000576 3.32$-007

27-Jun-14 45275 45355 44918 45097 -0.000643 4.13$-007

30-Jun-14 44748 45044 44565 44896 -0.004467 2.00$-005

1-Jul-14 45121 45375 44862 44890 -0.000134 1.79$-008

2-Jul-14 44888 45155 44500 45052 0.003602 1.30$-005

3-Jul-14 44938 44981 44300 44847 -0.004561 2.08$-005

4-Jul-14 44861 45179 44843 45048 0.004472 2.00$-005

7-Jul-14 44950 44950 44576 44780 -0.005967 3.56$-005

8-Jul-14 44792 45127 44661 44823 0.00096 9.21$-007

9-Jul-14 44895 45096 44735 44787 -0.000803 6.46$-007

10-Jul-14 44900 46395 44840 46242 0.031971 0.001022

11-Jul-14 46400 46400 45921 46068 -0.00377 1.42$-005

14-Jul-14 45851 45851 44885 44912 -0.025414 0.000646

15-Jul-14 45098 45271 44601 44854 -0.001292 1.67$-006

16-Jul-14 44729 44787 44371 44577 -0.006195 3.84$-005

17-Jul-14 44700 45838 44642 45579 0.022229 0.000494

18-Jul-14 45551 45571 44761 44931 -0.014319 0.000205

21-Jul-14 45011 45535 44975 45174 0.005394 2.91$-005

22-Jul-14 45001 45300 44734 45097 -0.001706 2.91$-006

23-Jul-14 45100 45166 44878 44928 -0.003755 1.41$-005

24-Jul-14 44700 44950 43728 43786 -0.025747 0.000663

25-Jul-14 43964 44337 43875 44281 0.011242 0.000126

28-Jul-14 44390 44534 44065 44172 -0.002465 6.07$-006

29-Jul-14 44330 44650 44140 44269 0.002194 4.81$-006

30-Jul-14 44336 44533 44076 44480 0.004755 2.26$-005

31-Jul-14 44355 44800 44272 44399 -0.001823 3.32$-006



!olatilit" #u" ent" #u" tgt-1 tgt-2 tgt-3 sell ent" sell tgt1 sell tgt2

0.00675

0.00683 42068.9 42143.7 42224.8 42285.5 41935.1 41860.3 41779.2

0.006674 42486.39 42562.89 42645.76 42707.77 42349.61 42273.11 42190.24

0.00671 42694.14 42769.24 42850.6 42911.48 42559.86 42484.76 42403.4

0.012047 42752.6 42828.21 42910.13 42971.43 42617.4 42541.79 42459.87

0.012 44642.6 44784.2 44937.5 45052.3 44389.4 44247.8 44094.5

0.012467 45039.21 45181.5 45335.66 45451.01 44784.79 44642.5 44488.340.012239 44997.01 45144.67 45304.65 45424.35 44732.99 44585.33 44425.35

0.012336 45132.99 45278.41 45435.94 45553.81 44873.01 44727.59 44570.06

0.012541 45283.45 45430.5 45589.81 45709.01 45020.55 44873.5 44714.19

0.012798 45259.56 45408.97 45570.83 45691.94 44992.44 44843.03 44681.17

0.013282 45233.2 45385.56 45550.62 45674.13 44960.8 44808.44 44643.38

0.013345 45036.73 45194.15 45364.7 45492.31 44755.27 44597.85 44427.3

0.003616 45031.38 45189.53 45360.86 45489.06 44748.62 44590.47 44419.14

0.0029 45090.44 45133.45 45180.04 45214.9 45013.56 44970.55 44923.96

0.003215 44877.7 44912.04 44949.24 44977.08 44816.3 44781.96 44744.76

0.003625 45082.18 45120.41 45161.83 45192.82 45013.82 44975.59 44934.17

0.003417 44818.31 44861.17 44907.6 44942.34 44741.69 44698.83 44652.4

0.003416 44859.14 44899.58 44943.38 44976.15 44786.86 44746.42 44702.62

0.010869 44823.1 44863.49 44907.25 44939.99 44750.9 44710.51 44666.75

0.010819 46360.61 46493.3 46637.04 46744.6 46123.39 45990.7 45846.96

0.014036 46185.63 46317.21 46459.76 46566.42 45950.37 45818.79 45676.24

0.013983 45060.77 45227.19 45407.48 45542.39 44763.23 44596.81 44416.52

0.014045 45002.02 45167.59 45346.97 45481.18 44705.98 44540.41 44361.03

0.01577 44724.76 44890.04 45069.1 45203.08 44429.24 44263.96 44084.9

0.016404 45748.63 45938.39 46143.97 46297.79 45409.37 45219.61 45014.03

0.01648 45104.94 45299.51 45510.3 45668.03 44757.06 44562.49 44351.7

0.016493 45349.7 45546.24 45759.16 45918.48 44998.3 44801.76 44588.84

0.012261 45272.53 45468.89 45681.61 45840.77 44921.47 44725.11 44512.39

0.014171 45058.01 45203.44 45360.99 45478.87 44797.99 44652.56 44495.01

0.013133 43932.43 44096.24 44273.7 44406.48 43639.57 43475.76 43298.3

0.013136 44418.25 44571.78 44738.1 44862.56 44143.75 43990.22 43823.9

0.013081 44308.93 44462.11 44628.06 44752.23 44035.07 43881.89 43715.94

0.010582 44405.67 44558.55 44724.17 44848.1 44132.33 43979.45 43813.83

0.009755 44591.08 44715.33 44849.94 44950.67 44368.92 44244.67 44110.06



sell tgt3

41718.5

42128.23

42342.52

42398.57

43979.7

44372.9944305.65

44452.19

44594.99

44560.06

44519.87

44299.69

44290.94

44889.1

44716.92

44903.18

44617.66

44669.85

44634.01

45739.4

45569.58

44281.61

44226.82

43950.92

44860.21

44193.97

44429.52

44353.23

44377.13

43165.52

43699.44

43591.77

43689.9

44009.33




2-Jun-14 25834 25889 25690 25749

3-Jun-14 25740 25900 25680 25820 0.002754 7.58$-006

4-Jun-14 25810 25949 25801 25857 0.001432 2.05$-006

5-Jun-14 25840 25999 25760 25975 0.004553 2.07$-005

6-Jun-14 25936 25988 25755 25863 -0.004321 1.87$-005

9-Jun-14 25825 26010 25811 25982 0.004591 2.11$-00510-Jun-14 25984 26164 25951 26139 0.006024 3.63$-005

11-Jun-14 26189 26199 25956 26073 -0.002528 6.39$-006

12-Jun-14 26077 26360 25980 26330 0.009809 9.62$-005

13-Jun-14 26362 26660 26321 26627 0.011217 0.000126

16-Jun-14 26650 27035 26650 26831 0.00763 6E-005

17-Jun-14 26775 26904 26550 26839 0.000298 8.89$-008

18-Jun-14 26787 26964 26690 26826 -0.000484 2.35$-007

19-Jun-14 26827 27653 26800 27611 0.028843 0.000832

20-Jun-14 27636 27820 27468 27668 0.00206 4E-006

23-Jun-14 27616 27746 27572 27678 0.000361 1.31$-00724-Jun-14 27641 27870 27585 27731 0.001913 3.66$-006

25-Jun-14 27700 27820 27587 27751 0.000721 5.20$-007

26-Jun-14 27703 27748 27490 27667 -0.003032 9.19$-006

27-Jun-14 27705 27799 27605 27672 0.000181 3.27$-008

30-Jun-14 27632 27850 27561 27776 0.003751 1.41$-005

1-Jul-14 27867 27940 27730 27746 -0.001081 1.17$-006

2-Jul-14 27799 27800 27532 27663 -0.002996 8.98$-006

3-Jul-14 27564 27634 27363 27464 -0.00722 5.21$-005

4-Jul-14 27487 27595 27451 27557 0.003381 1.14$-005

7-Jul-14 27482 27522 27382 27490 -0.002434 5.93$-006

8-Jul-14 27507 27629 27381 27519 0.001054 1.11$-006

9-Jul-14 27545 27698 27544 27613 0.00341 1.16$-005

10-Jul-14 27655 28589 27500 28496 0.031477 0.000991

11-Jul-14 28528 28528 28231 28356 -0.004925 2.43$-005

14-Jul-14 28221 28304 27726 27762 -0.02117 0.000448

15-Jul-14 27857 27948 27587 27648 -0.004115 1.69$-005

16-Jul-14 27667 27735 27583 27676 0.001012 1.02$-006

17-Jul-14 27745 28398 27743 28199 0.018721 0.00035

18-Jul-14 28158 28179 27917 27993 -0.007332 5.38$-005

21-Jul-14 28015 28217 27983 28087 0.003352 1.12$-005

22-Jul-14 28070 28087 27812 27895 -0.006859 4.71$-005

23-Jul-14 27924 27995 27852 27882 -0.000466 2.17$-007

24-Jul-14 27850 27850 27602 27626 -0.009224 8.51$-005

25-Jul-14 27661 27965 27651 27938 0.01123 0.000126

28-Jul-14 28000 28035 27880 27926 -0.00043 1.85$-007

29-Jul-14 28000 28090 27825 27866 -0.002151 4.63$-006

30-Jul-14 27853 27979 27723 27934 0.002437 5.94$-006

31-Jul-14 27805 27956 27752 27818 -0.004161 1.73$-005




0.004829

0.00496 26657.3 26691.3 26728.1 26755.6 26596.7 26562.7 26525.9

0.005046 26862.42 26897.57 26935.64 26964.13 26799.58 26764.43 26726.36

0.005245 26870.96 26906.71 26945.45 26974.43 26807.04 26771.29 26732.55

0.008826 26859.2 26896.35 26936.59 26966.69 26792.8 26755.65 26715.41

0.00895 27668.5 27732.8 27802.5 27854.7 27553.5 27489.2 27419.5

0.009187 27726.41 27791.75 27862.54 27915.51 27609.59 27544.25 27473.460.008808 27738.01 27805.14 27877.86 27932.28 27617.99 27550.86 27478.14

0.008931 27788.64 27853.13 27922.98 27975.26 27673.36 27608.87 27539.02

0.009099 27809.49 27874.92 27945.81 27998.84 27692.51 27627.08 27556.19

0.009093 27726.41 27792.87 27864.87 27918.74 27607.59 27541.13 27469.13

0.009026 27731.38 27797.81 27869.78 27923.63 27612.62 27546.19 27474.22

0.009059 27835.16 27901.35 27973.05 28026.69 27716.84 27650.65 27578.95

0.00215 27805.32 27871.68 27943.56 27997.35 27686.68 27620.32 27548.44

0.003051 27677.04 27692.74 27709.75 27722.48 27648.96 27633.26 27616.25

0.003317 27483.78 27505.9 27529.86 27547.8 27444.22 27422.1 27398.14

0.003248 27578.57 27602.71 27628.85 27648.41 27535.43 27511.29 27485.15

0.003269 27511.07 27534.65 27560.19 27579.3 27468.93 27445.35 27419.81

0.003433 27540.23 27563.98 27589.72 27608.97 27497.77 27474.02 27448.28

0.010549 27635.37 27660.39 27687.5 27707.78 27590.63 27565.61 27538.5

0.010852 28566.94 28646.31 28732.28 28796.61 28425.06 28345.69 28259.72

0.013142 28428.62 28509.87 28597.88 28663.73 28283.38 28202.13 28114.12

0.013176 27848.1 27944.42 28048.77 28126.85 27675.9 27579.58 27475.23

0.01293 27733.97 27830.14 27934.32 28012.28 27562.03 27465.86 27361.68

0.014108 27760.45 27854.93 27957.28 28033.86 27591.55 27497.07 27394.72

0.014382 28292.89 28397.92 28511.7 28596.84 28105.11 28000.08 27886.3

0.014383 28088.01 28194.3 28309.45 28395.6 27897.99 27791.7 27676.55

0.014652 28182.34 28288.99 28404.53 28490.99 27991.66 27885.01 27769.47

0.010002 27991.46 28099.37 28216.26 28303.73 27798.54 27690.63 27573.74

0.010211 27947.82 28021.44 28101.2 28160.88 27816.18 27742.56 27662.8

0.00874 27692.57 27767.04 27847.72 27908.09 27559.43 27484.96 27404.28

0.00859 27995.62 28060.09 28129.92 28182.17 27880.38 27815.91 27746.08

0.008651 27982.61 28045.94 28114.54 28165.87 27869.39 27806.06 27737.46

0.006003 27922.89 27986.53 28055.48 28107.07 27809.11 27745.47 27676.52

0.00571 27973.57 28017.84 28065.8 28101.69 27894.43 27850.16 27802.2



sell tgt3

26498.4

26697.87

26703.57

26685.31

27367.3

27420.4927423.72

27486.74

27503.16

27415.26

27420.37

27525.31

27494.65

27603.52

27380.2

27465.59

27400.7

27429.03

27518.22

28195.39

28048.27

27397.15

27283.72

27318.14

27801.16

27590.4

27683.01

27486.27

27603.12

27343.91

27693.83

27686.13

27624.93

27766.31




2-Jun-14 25834 25889 25690 25749

3-Jun-14 25740 25900 25680 25820 0.002754 7.58$-006

4-Jun-14 25810 25949 25801 25857 0.001432 2.05$-006

5-Jun-14 25840 25999 25760 25975 0.004553 2.07$-005

6-Jun-14 25936 25988 25755 25863 -0.004321 1.87$-005

9-Jun-14 25825 26010 25811 25982 0.004591 2.11$-00510-Jun-14 25984 26164 25951 26139 0.006024 3.63$-005

11-Jun-14 26189 26199 25956 26073 -0.002528 6.39$-006

12-Jun-14 26077 26360 25980 26330 0.009809 9.62$-005

13-Jun-14 26362 26660 26321 26627 0.011217 0.000126

16-Jun-14 26650 27035 26650 26831 0.00763 6E-005

17-Jun-14 26775 26904 26550 26839 0.000298 8.89$-008

18-Jun-14 26787 26964 26690 26826 -0.000484 2.35$-007

19-Jun-14 26827 27653 26800 27611 0.028843 0.000832

20-Jun-14 27636 27820 27468 27668 0.00206 4E-006

23-Jun-14 27616 27746 27572 27678 0.000361 1.31$-00724-Jun-14 27641 27870 27585 27731 0.001913 3.66$-006

25-Jun-14 27700 27820 27587 27751 0.000721 5.20$-007

26-Jun-14 27703 27748 27490 27667 -0.003032 9.19$-006

27-Jun-14 27705 27799 27605 27672 0.000181 3.27$-008

30-Jun-14 27632 27850 27561 27776 0.003751 1.41$-005

1-Jul-14 27867 27940 27730 27746 -0.001081 1.17$-006

2-Jul-14 27799 27800 27532 27663 -0.002996 8.98$-006

3-Jul-14 27564 27634 27363 27464 -0.00722 5.21$-005

4-Jul-14 27487 27595 27451 27557 0.003381 1.14$-005

7-Jul-14 27482 27522 27382 27490 -0.002434 5.93$-006

8-Jul-14 27507 27629 27381 27519 0.001054 1.11$-006

9-Jul-14 27545 27698 27544 27613 0.00341 1.16$-005

10-Jul-14 27655 28589 27500 28496 0.031477 0.000991

11-Jul-14 28528 28528 28231 28356 -0.004925 2.43$-005

14-Jul-14 28221 28304 27726 27762 -0.02117 0.000448

15-Jul-14 27857 27948 27587 27648 -0.004115 1.69$-005

16-Jul-14 27667 27735 27583 27676 0.001012 1.02$-006

17-Jul-14 27745 28398 27743 28199 0.018721 0.00035

18-Jul-14 28158 28179 27917 27993 -0.007332 5.38$-005

21-Jul-14 28015 28217 27983 28087 0.003352 1.12$-005

22-Jul-14 28070 28087 27812 27895 -0.006859 4.71$-005

23-Jul-14 27924 27995 27852 27882 -0.000466 2.17$-007

24-Jul-14 27850 27850 27602 27626 -0.009224 8.51$-005

25-Jul-14 27661 27965 27651 27938 0.01123 0.000126

28-Jul-14 28000 28035 27880 27926 -0.00043 1.85$-007

29-Jul-14 28000 28090 27825 27866 -0.002151 4.63$-006

30-Jul-14 27853 27979 27723 27934 0.002437 5.94$-006

31-Jul-14 27805 27956 27752 27818 -0.004161 1.73$-005




0.004829

0.00496 26657.3 26691.3 26728.1 26755.6 26596.7 26562.7 26525.9

0.005046 26862.42 26897.57 26935.64 26964.13 26799.58 26764.43 26726.36

0.005245 26870.96 26906.71 26945.45 26974.43 26807.04 26771.29 26732.55

0.008826 26859.2 26896.35 26936.59 26966.69 26792.8 26755.65 26715.41

0.00895 27668.5 27732.8 27802.5 27854.7 27553.5 27489.2 27419.5

0.009187 27726.41 27791.75 27862.54 27915.51 27609.59 27544.25 27473.460.008808 27738.01 27805.14 27877.86 27932.28 27617.99 27550.86 27478.14

0.008931 27788.64 27853.13 27922.98 27975.26 27673.36 27608.87 27539.02

0.009099 27809.49 27874.92 27945.81 27998.84 27692.51 27627.08 27556.19

0.009093 27726.41 27792.87 27864.87 27918.74 27607.59 27541.13 27469.13

0.009026 27731.38 27797.81 27869.78 27923.63 27612.62 27546.19 27474.22

0.009059 27835.16 27901.35 27973.05 28026.69 27716.84 27650.65 27578.95

0.00215 27805.32 27871.68 27943.56 27997.35 27686.68 27620.32 27548.44

0.003051 27677.04 27692.74 27709.75 27722.48 27648.96 27633.26 27616.25

0.003317 27483.78 27505.9 27529.86 27547.8 27444.22 27422.1 27398.14

0.003248 27578.57 27602.71 27628.85 27648.41 27535.43 27511.29 27485.15

0.003269 27511.07 27534.65 27560.19 27579.3 27468.93 27445.35 27419.81

0.003433 27540.23 27563.98 27589.72 27608.97 27497.77 27474.02 27448.28

0.010549 27635.37 27660.39 27687.5 27707.78 27590.63 27565.61 27538.5

0.010852 28566.94 28646.31 28732.28 28796.61 28425.06 28345.69 28259.72

0.013142 28428.62 28509.87 28597.88 28663.73 28283.38 28202.13 28114.12

0.013176 27848.1 27944.42 28048.77 28126.85 27675.9 27579.58 27475.23

0.01293 27733.97 27830.14 27934.32 28012.28 27562.03 27465.86 27361.68

0.014108 27760.45 27854.93 27957.28 28033.86 27591.55 27497.07 27394.72

0.014382 28292.89 28397.92 28511.7 28596.84 28105.11 28000.08 27886.3

0.014383 28088.01 28194.3 28309.45 28395.6 27897.99 27791.7 27676.55

0.014652 28182.34 28288.99 28404.53 28490.99 27991.66 27885.01 27769.47

0.010002 27991.46 28099.37 28216.26 28303.73 27798.54 27690.63 27573.74

0.010211 27947.82 28021.44 28101.2 28160.88 27816.18 27742.56 27662.8

0.00874 27692.57 27767.04 27847.72 27908.09 27559.43 27484.96 27404.28

0.00859 27995.62 28060.09 28129.92 28182.17 27880.38 27815.91 27746.08

0.008651 27982.61 28045.94 28114.54 28165.87 27869.39 27806.06 27737.46

0.006003 27922.89 27986.53 28055.48 28107.07 27809.11 27745.47 27676.52

0.00571 27973.57 28017.84 28065.8 28101.69 27894.43 27850.16 27802.2



sell tgt3

26498.4

26697.87

26703.57

26685.31

27367.3

27420.4927423.72

27486.74

27503.16

27415.26

27420.37

27525.31

27494.65

27603.52

27380.2

27465.59

27400.7

27429.03

27518.22

28195.39

28048.27

27397.15

27283.72

27318.14

27801.16

27590.4

27683.01

27486.27

27603.12

27343.91

27693.83

27686.13

27624.93

27766.31



Date $%pi" &pen 'igh Low L()

4-*a"-15 30-Jul-15 18730 18850 18600 18752.05

5-*a"-15 30- Jul-15 18676.05 18799.95 18650 18697.2

6-*a"-15 30-Jul-15 18610 18610 17965.6 18000

7-*a"-15 30-Jul-15 17868.45 17933.9 17455 17540

8-*a"-15 30-Jul-15 17770 18090.65 17675.9 17940

11-*a"-15 30-Jul-15 18050 18393.05 18010 1834412-*a"-15 30-Jul-15 18248.6 18250 17743.35 17760

13-*a"-15 30-Jul-15 17814.25 18287.1 17792.3 18261.55

14-*a"-15 30-Jul-15 18180.2 18319.1 17926.45 18298

15-*a"-15 30- Jul-15 18349.65 18383.15 18213.1 18300

18-*a"-15 30- Jul-15 18351.85 18555.4 18320 18520.05

19-*a"-15 30-Jul-15 18440.05 18658.25 18403.35 18495

20-*a"-15 30-Jul-15 18556.75 18715 18556.75 18641

21-*a"-15 30-Jul-15 18677.15 18700 18501.05 18647.75

22-*a"-15 30-Jul-15 18640 18837.95 18439.55 18500

25-*a"-15 30-Jul-15 18470.7 18566.65 18386 1840926-*a"-15 30-Jul-15 18330.15 18440.45 18315.95 18430

27-*a"-15 30-Jul-15 18329 18629.9 18300.7 18615

28-*a"-15 30-Jul-15 18649.2 18722 18501 18589

29-*a"-15 30-Jul-15 18591.95 18860.35 18559.7 18842.5

1-Jun-15 30-Jul-15 18869.8 18944 18701 18720

2-Jun-15 30-Jul-15 18745.05 18753 17975 18007.65

3-Jun-15 30-Jul-15 17950 18000 17646.65 17861

4-Jun-15 30-Jul-15 17790.05 17905 17565 17825

5-Jun-15 30- Jul-15 17787.15 17899.95 17568.8 17600

8-Jun-15 30-Jul-15 17448.3 17666 17415.7 17464.1

9-Jun-15 30-Jul-15 17451 17618.9 17447 17541

10-Jun-15 30-Jul-15 17589.15 17834.4 17584.55 17745.75

11-Jun-15 30- Jul-15 17845.5 17879.65 17304.35 17320

12-Jun-15 30-Jul-15 17294.35 17605 17215 17566.3

15-Jun-15 30- Jul-15 17543.7 17623.05 17390.55 17462

16-Jun-15 30-Jul-15 17394.7 17700.5 17345.05 17684.2

17-Jun-15 30-Jul-15 17710.55 17749.8 17549.7 17592.8

18-Jun-15 30-Jul-15 17650 17806.05 17625.55 17745

19-Jun-15 30-Jul-15 17701 17964 17701 17960

22-Jun-15 30-Jul-15 17980.1 18424.9 17979.6 18384.7

23-Jun-15 30-Jul-15 18395.6 18515 18295 18424

24-Jun-15 30-Jul-15 18408.3 18530 18327 18340

25-Jun-15 30-Jul-15 18350 18559.9 18310 18525

26-Jun-15 30-Jul-15 18475 18475 18170 18357.2

29-Jun-15 30-Jul-15 18003.5 18272 17791.1 18240

30-Jun-15 30- Jul-15 18191.05 18349.9 18040.55 18280

1-Jul-15 30-Jul-15 18284.5 18615.6 18230.15 18550

2-Jul-15 30-Jul-15 18610 18627.75 18491.7 18579.8



3-Jul-15 30-Jul-15 18540 18750 18518 18750



Ln Ln squae !olatilit" #u" ent" #u" tgt-1 tgt-2 tgt-3 sell ent"

-0.002929 8.58$-006

-0.038002 0.001444

-0.025888 0.00067

0.022549 0.000508

0.02227 0.000496-0.032354 0.001047

0.027849 0.000776

0.001994 3.98$-006

0.000109 1.19$-008 0.023303#u" ent" #u" tgt-1 tgt-2 tgt-3 sell ent"

0.01195 0.00014 0.02375 18400.6 18513.2 18635.2 18726.5 18199.4

-0.001354 1.83$-006 0.019899 18623.87 18740 18865.82 18959.96 18416.23

0.007863 6.18$-005 0.01708 18581.86 18679.02 18784.28 18863.04 18408.14

0.000362 1.31$-007 0.016202 18716.14 18800.19 18891.25 18959.38 18565.86

-0.00795 6E-005 0.01523 18719.1 18798.8 18885.2 18949.9 18576.4

-0.004931 2.43$-005 0.010169 18566.51 18640.9 18721.5 18781.8 18433.490.00114 1.30$-006 0.005678 18453.18 18502.6 18556.14 18596.2 18364.82

0.009988 9.98$-005 0.006347 18454.7 18482.32 18512.25 18534.65 18405.3

-0.001398 1.95$-006 0.006412 18642.88 18674.07 18707.86 18733.15 18587.12

0.013545 0.000183 0.006706 18617.13 18648.59 18682.68 18708.19 18560.87

-0.006522 4.25$-005 0.007167 18872.32 18905.68 18941.82 18968.86 18812.68

-0.038796 0.001505 0.014099 18751.66 18787.09 18825.46 18854.17 18688.34

-0.008177 6.69$-005 0.014072 18067.57 18134.6 18207.21 18261.54 17947.73

-0.002018 4.07$-006 0.014047 17920.32 17986.67 18058.55 18112.34 17801.68

-0.012703 0.000161 0.014306 17884.09 17950.19 18021.81 18075.39 17765.91

-0.007752 6.01$-005 0.014155 17659.42 17725.9 17797.91 17851.79 17540.58

0.004394 1.93$-005 0.01355 17522.44 17587.7 17658.4 17711.3 17405.76

0.011605 0.000135 0.014674 17597.09 17659.84 17727.81 17778.68 17484.91

-0.024284 0.00059 0.014123 17807.21 17875.95 17950.43 18006.16 17684.29

0.01412 0.0002 0.01595 17377.7 17442.3 17512.3 17564.6 17262.3

-0.005955 3.55$-005 0.011381 17632.44 17706.43 17786.59 17846.57 17500.16

0.012644 0.00016 0.012261 17508.9 17561.37 17618.21 17660.74 17415.1

-0.005182 2.69$-005 0.012327 17735.37 17792.61 17854.62 17901.02 17633.03

0.008614 7.42$-005 0.011982 17643.98 17701.23 17763.26 17809.67 17541.62

0.012043 0.000145 0.012007 17795.18 17851.31 17912.12 17957.62 17694.82

0.02337 0.00055 0.01361 18010.9 18067.8 18129.5 18175.6 17909.1

0.002135 4.56$-006 0.013437 18443.74 18509.78 18581.32 18634.85 18325.66

-0.00457 2.09$-005 0.009711 18482.43 18547.78 18618.59 18671.57 18365.57

0.010037 0.000101 0.009429 18382.03 18429.05 18479.98 18518.09 18297.97

-0.009099 8.28$-005 0.009908 18566.22 18612.33 18662.29 18699.67 18483.78

-0.006405 4.10$-005 0.010198 18400.12 18448.14 18500.16 18539.08 18314.28

0.002191 4.80$-006 0.009759 18283.9 18333 18386.2 18426.01 18196.1

0.014662 0.000215 0.010233 18322.1 18369.2 18420.22 18458.39 18237.9

0.001605 2.58$-006 0.009948 18594.8 18644.91 18699.19 18739.81 18505.2





18086.8 17964.8 17873.5

18300.1 18174.28 18080.14

18310.98 18205.72 18126.96

18481.81 18390.75 18322.62

18496.7 18410.3 18345.6

18359.1 18278.5 18218.218315.4 18261.86 18221.8

18377.68 18347.75 18325.35

18555.93 18522.14 18496.85

18529.41 18495.32 18469.81

18779.32 18743.18 18716.14

18652.91 18614.54 18585.83

17880.7 17808.09 17753.76

17735.33 17663.45 17609.66

17699.81 17628.19 17574.61

17474.1 17402.09 17348.21

17340.5 17269.8 17216.9

17422.16 17354.19 17303.32

17615.55 17541.07 17485.34

17197.7 17127.7 17075.4

17426.17 17346.01 17286.03

17362.63 17305.79 17263.26

17575.79 17513.78 17467.38

17484.37 17422.34 17375.93

17638.69 17577.88 17532.38

17852.2 17790.5 17744.4

18259.62 18188.08 18134.55

18300.22 18229.41 18176.43

18250.95 18200.02 18161.91

18437.67 18387.71 18350.33

18266.26 18214.24 18175.32

18147 18093.8 18053.99

18190.8 18139.78 18101.61

18455.09 18400.81 18360.19



18487.38 18434.52 18394.97



Date $%pi" &pen 'igh Low L() Ln

29-May-15 27-Aug-15 8,399.00 8,544.25 8,390.00 8,540.00

1-Jun-15 27-Aug-15 8,521.00 8,557.50 8,504.90 8,504.90 -0.004119

2-Jun-15 27-Aug-15 8,505.05 8,505.05 8,300.00 8,310.00 -0.023183

3-Jun-15 27-Aug-15 8,300.00 8,307.00 8,186.45 8,233.45 -0.009254

4-Jun-15 27-Aug-15 8,237.05 8,250.00 8,145.00 8,236.00 0.00031

5-Jun-15 27-Aug-15 8,198.00 8,292.90 8,191.90 8,202.15 -0.004118

8-Jun-15 27-Aug-15 8,170.05 8,211.00 8,121.05 8,128.05 -0.009075

9-Jun-15 27-Aug-15 8,121.75 8,146.95 8,090.00 8,107.45 -0.002538

10-Jun-15 27-Aug-15 8,114.00 8,236.45 8,113.60 8,206.70 0.012168

11-Jun-15 27-Aug-15 8,181.00 8,250.00 8,034.30 8,048.20 -0.019502

12-Jun-15 27-Aug-15 8,025.00 8,075.25 8,017.75 8,068.60 0.00253

15-Jun-15 27-Aug-15 8,040.00 8,144.95 8,030.00 8,084.65 0.001987

16-Jun-15 27-Aug-15 8,058.15 8,142.00 8,028.00 8,138.35 0.0066217-Jun-15 27-Aug-15 8,160.00 8,203.00 8,123.55 8,148.55 0.001253

18-Jun-15 27-Aug-15 8,171.10 8,248.45 8,171.10 8,220.35 0.00877

19-Jun-15 27-Aug-15 8,249.80 8,310.00 8,239.85 8,309.15 0.010745

22-Jun-15 27-Aug-15 8,319.00 8,436.90 8,312.90 8,418.60 0.013086

23-Jun-15 27-Aug-15 8,421.45 8,463.00 8,395.20 8,447.95 0.00348

24-Jun-15 27-Aug-15 8,459.00 8,480.00 8,390.00 8,395.00 -0.006288

25-Jun-15 27-Aug-15 8,400.00 8,479.95 8,390.65 8,471.35 0.009054

26-Jun-15 27-Aug-15 8,432.35 8,450.00 8,377.50 8,414.30 -0.00675729-Jun-15 27-Aug-15 8,283.50 8,366.70 8,228.35 8,363.00 -0.006115

30-Jun-15 27-Aug-15 8,399.90 8,419.85 8,323.00 8,416.00 0.006317

1-Jul-15 27-Aug-15 8,419.70 8,513.10 8,393.70 8,489.90 0.008743

2-Jul-15 27-Aug-15 8,499.00 8,510.00 8,461.30 8,471.65 -0.002152

3-Jul-15 27-Aug-15 8,466.40 8,535.00 8,450.00 8,534.45 0.007386

6-Jul-15 27-Aug-15 8,455.90 8,584.00 8,426.70 8,573.00 0.004507

7-Jul-15 27-Aug-15 8,580.00 8,596.00 8,521.00 8,567.00 -0.0007

8-Jul-15 27-Aug-15 8,489.55 8,500.00 8,385.00 8,411.00 -0.018377

9-Jul-15 27-Aug-15 8,419.25 8,455.00 8,376.50 8,394.00 -0.002023

10-Jul-15 27-Aug-15 8,405.25 8,438.60 8,367.20 8,414.00 0.00238

13-Jul-15 27-Aug-15 8,436.80 8,530.00 8,398.05 8,520.85 0.012619

14-Jul-15 27-Aug-15 8,515.55 8,539.50 8,479.55 8,494.00 -0.003156

15-Jul-15 27-Aug-15 8,512.05 8,587.00 8,512.00 8,583.90 0.010528

16-Jul-15 27-Aug-15 8,581.05 8,670.00 8,581.05 8,666.35 0.009559



17-Jul-15 27-Aug-15 8,670.65 8,686.00 8,645.10 8,666.00 -4.0$-005

20-Jul-15 27-Aug-15 8,670.55 8,684.00 8,615.00 8,660.00 -0.000693

21-Jul-15 27-Aug-15 8,672.10 8,683.95 8,569.00 8,581.80 -0.009071

22-Jul-15 27-Aug-15 8,550.00 8,699.75 8,545.05 8,683.00 0.011723

23-Jul-15 27-Aug-15 8,687.00 8,705.45 8,622.00 8,643.10 -0.004606

24-Jul-15 27-Aug-15 8,625.00 8,639.00 8,566.55 8,583.00 -0.006978

27-Jul-15 27-Aug-15 8,547.70 8,550.00 8,409.15 8,412.40 -0.020077

28-Jul-15 27-Aug-15 8,422.90 8,452.45 8,376.00 8,397.60 -0.001761

29-Jul-15 27-Aug-15 8,414.00 8,427.00 8,380.55 8,423.40 0.003068

30-Jul-15 27-Aug-15 8,451.00 8,499.50 8,430.10 8,469.95 0.005511

31-Jul-15 27-Aug-15 8,483.40 8,579.95 8,477.65 8,571.70 0.011941

3-Aug-15 27-Aug-15 8,558.00 8,590.00 8,550.00 8,561.95 -0.001138

4-Aug-15 27-Aug-15 8,570.00 8,577.80 8,450.00 8,544.20 -0.002075

5-Aug-15 27-Aug-15 8,556.00 8,618.00 8,551.00 8,595.00 0.005928

6-Aug-15 27-Aug-15 8,594.40 8,641.05 8,566.50 8,613.90 0.002197

7-Aug-15 27-Aug-15 8,599.00 8,619.00 8,575.20 8,599.00 -0.001731

10-Aug-15 27-Aug-15 8,588.90 8,647.90 8,503.00 8,521.30 -0.009077

11-Aug-15 27-Aug-15 8,545.30 8,560.00 8,461.50 8,494.00 -0.003209

12-Aug-15 27-Aug-15 8,452.30 8,457.00 8,355.00 8,368.20 -0.014921

13-Aug-15 27-Aug-15 8,405.05 8,445.00 8,357.00 8,404.05 0.004275

14-Aug-15 27-Aug-15 8,444.90 8,553.00 8,402.10 8,545.20 0.016656

17-Aug-15 27-Aug-15 8,529.15 8,540.55 8,411.00 8,485.00 -0.0070718-Aug-15 27-Aug-15 8,504.95 8,531.95 8,437.25 8,480.00 -0.000589

19-Aug-15 27-Aug-15 8,460.00 8,534.65 8,426.75 8,468.00 -0.001416

20-Aug-15 27-Aug-15 8,468.00 8,506.35 8,358.40 8,388.00 -0.009492

21-Aug-15 27-Aug-15 0.00 0.00 0.00 0.00 $+502



Ln squae !olatilit" #u" ent" #u" tgt-1 tgt-2 tgt-3 sell ent" sell tgt1

1.70$-005

0.000537

8.56$-005

9.59$-008

1.70$-005

8.24$-005

6.44$-006

0.000148

0.00038 0.009907

6E-006 0.0103 8067.02 8088.07 8110.87 8127.94 8029.38 8008.33

3.95$-006 0.008474 8088.221 8110.171 8133.949 8151.741 8048.979 8027.029

4.38$-005 0.00865 8100.818 8118.905 8138.498 8153.159 8068.482 8050.395

1.57$-006 0.008675 8154.964 8173.549 8193.683 8208.749 8121.736 8103.151

8E-005 0.00912 8165.23 8183.89 8204.11 8219.24 8131.87 8113.21

0.000115 0.009 8238.052 8257.855 8279.307 8295.359 8202.648 8182.845

0.000171 0.00937 8326.799 8346.542 8367.93 8383.934 8291.501 8271.758

1.21$-005 0.008936 8437.217 8458.042 8480.603 8497.484 8399.983 8379.158

3.95$-005 0.005511 8465.765 8485.694 8507.283 8523.437 8430.135 8410.206

8.20$-005 0.005607 8405.918 8418.131 8431.361 8441.261 8384.082 8371.869

4.57$-005 0.006757 8482.561 8495.101 8508.687 8518.852 8460.139 8447.5993.74$-005 0.00745 8427.717 8442.726 8458.985 8471.151 8400.883 8385.874

3.99$-005 0.007486 8377.704 8394.152 8411.971 8425.304 8348.296 8331.848

7.64$-005 0.007484 8430.868 8447.501 8465.519 8479.002 8401.132 8384.499

4.63$-006 0.007205 8504.894 8521.668 8539.839 8553.435 8474.906 8458.132

5.45$-005 0.006424 8486.055 8502.169 8519.626 8532.689 8457.245 8441.131

2.03$-005 0.006467 8547.389 8561.864 8577.544 8589.277 8521.511 8507.036

4.90$-007 0.005922 8586.084 8600.721 8616.577 8628.442 8559.916 8545.279

0.000338 0.008242 8578.973 8592.367 8606.878 8617.735 8555.027 8541.6334.09$-006 0.007992 8427.361 8445.663 8465.49 8480.326 8394.639 8376.337

5.66$-006 0.007744 8409.833 8427.544 8446.731 8461.087 8378.167 8360.456

0.000159 0.008473 8429.377 8446.578 8465.213 8479.156 8398.623 8381.422

9.96$-006 0.008142 8537.888 8556.948 8577.596 8593.046 8503.812 8484.752

0.000111 0.008715 8510.321 8528.579 8548.359 8563.159 8477.679 8459.421

9.14$-005 0.008904 8601.556 8621.306 8642.702 8658.712 8566.244 8546.494



1.63$-009 0.00886 8684.562 8704.934 8727.004 8743.518 8648.138 8627.766

4.80$-007 0.00886 8684.12 8704.39 8726.348 8742.779 8647.88 8627.61

8.23$-005 0.006824 8678.107 8698.362 8720.305 8736.724 8641.893 8621.638

0.000137 0.007226 8595.62 8611.079 8627.827 8640.358 8567.98 8552.521

2.12$-005 0.007693 8697.808 8714.373 8732.319 8745.747 8668.192 8651.627

4.87$-005 0.007427 8658.792 8676.346 8695.363 8709.592 8627.408 8609.854

0.000403 0.009917 8598.044 8614.872 8633.103 8646.745 8567.956 8551.128

3.10$-006 0.009032 8432.088 8454.111 8477.97 8495.823 8392.712 8370.689

9.41$-006 0.008272 8415.5 8435.523 8457.215 8473.446 8379.7 8359.677

3.04$-005 0.008679 8439.844 8458.24 8478.168 8493.08 8406.956 8388.56

0.000143 0.009812 8487.298 8506.704 8527.728 8543.458 8452.602 8433.196

1.30$-006 0.009408 8591.549 8613.754 8637.808 8655.807 8551.851 8529.646

4.31$-006 0.008401 8580.96 8602.225 8625.263 8642.501 8542.94 8521.675

3.51$-005 0.008657 8561.14 8580.09 8600.62 8615.981 8527.26 8508.31

4.82$-006 0.008384 8612.56 8632.204 8653.485 8669.409 8577.44 8557.796

3.00$-006 0.004479 8630.945 8650.011 8670.667 8686.123 8596.855 8577.789

8.24$-005 0.005672 8608.09 8618.258 8629.274 8637.516 8589.91 8579.742

1.03$-005 0.005836 8532.707 8545.468 8559.292 8569.636 8509.893 8497.132

0.000223 0.007381 8505.698 8518.784 8532.96 8543.567 8482.302 8469.216

1.83$-005 0.006136 8382.776 8399.081 8416.746 8429.963 8353.624 8337.319

0.000277 0.00855 8416.219 8429.832 8444.58 8455.615 8391.881 8378.268

5.00$-005 0.00881 8562.442 8581.729 8602.624 8618.259 8527.958 8508.671

3.47$-007 0.008492 8502.642 8522.378 8543.758 8559.756 8467.358 8447.622

2.01$-006 0.008393 8496.995 8516.006 8536.601 8552.012 8463.005 8443.994

9.01$-005 0.008723 8484.772 8503.535 8523.861 8539.069 8451.228 8432.465

$+502 $+502 8405.269 8424.586 8445.513 8461.172 8370.731 8351.414



sell tgt2 sell tgt3

7985.53 7968.46

8003.251 7985.459

8030.802 8016.141

8083.017 8067.951

8092.99 8077.86

8161.393 8145.341

8250.37 8234.366

8356.597 8339.716

8388.617 8372.463

8358.639 8348.739

8434.013 8423.8488369.615 8357.449

8314.029 8300.696

8366.481 8352.998

8439.961 8426.365

8423.674 8410.611

8491.356 8479.623

8529.423 8517.558

8527.122 8516.2658356.51 8341.674

8341.269 8326.913

8362.787 8348.844

8464.104 8448.654

8439.641 8424.841

8525.098 8509.088



8605.696 8589.182

8605.652 8589.221

8599.695 8583.276

8535.773 8523.242

8633.681 8620.253

8590.837 8576.608

8532.897 8519.255

8346.83 8328.977

8337.985 8321.754

8368.632 8353.72

8412.172 8396.442

8505.592 8487.593

8498.637 8481.399

8487.78 8472.419

8536.515 8520.591

8557.133 8541.677

8568.726 8560.484

8483.308 8472.964

8455.04 8444.433

8319.654 8306.437

8363.52 8352.485

8487.776 8472.141

8426.242 8410.244

8423.399 8407.988

8412.139 8396.931

8330.487 8314.828



NIFTY 29-May-15 27-Aug-15 8,399.00 8,544.25 8,390.00

NIFTY 1-Jun-15 27-Aug-15 8,521.00 8,557.50 8,504.90

NIFTY 2-Jun-15 27-Aug-15 8,505.05 8,505.05 8,300.00

NIFTY 3-Jun-15 27-Aug-15 8,300.00 8,307.00 8,186.45

NIFTY 4-Jun-15 27-Aug-15 8,237.05 8,250.00 8,145.00

NIFTY 5-Jun-15 27-Aug-15 8,198.00 8,292.90 8,191.90

NIFTY 8-Jun-15 27-Aug-15 8,170.05 8,211.00 8,121.05

NIFTY 9-Jun-15 27-Aug-15 8,121.75 8,146.95 8,090.00

NIFTY 10-Jun-15 27-Aug-15 8,114.00 8,236.45 8,113.60

NIFTY 11-Jun-15 27-Aug-15 8,181.00 8,250.00 8,034.30

NIFTY 12-Jun-15 27-Aug-15 8,025.00 8,075.25 8,017.75

NIFTY 15-Jun-15 27-Aug-15 8,040.00 8,144.95 8,030.00

NIFTY 16-Jun-15 27-Aug-15 8,058.15 8,142.00 8,028.00

NIFTY 17-Jun-15 27-Aug-15 8,160.00 8,203.00 8,123.55

NIFTY 18-Jun-15 27-Aug-15 8,171.10 8,248.45 8,171.10

NIFTY 19-Jun-15 27-Aug-15 8,249.80 8,310.00 8,239.85

NIFTY 22-Jun-15 27-Aug-15 8,319.00 8,436.90 8,312.90

NIFTY 23-Jun-15 27-Aug-15 8,421.45 8,463.00 8,395.20

NIFTY 24-Jun-15 27-Aug-15 8,459.00 8,480.00 8,390.00

NIFTY 25-Jun-15 27-Aug-15 8,400.00 8,479.95 8,390.65

NIFTY 26-Jun-15 27-Aug-15 8,432.35 8,450.00 8,377.50

NIFTY 29-Jun-15 27-Aug-15 8,283.50 8,366.70 8,228.35NIFTY 30-Jun-15 27-Aug-15 8,399.90 8,419.85 8,323.00

NIFTY 1-Jul-15 27-Aug-15 8,419.70 8,513.10 8,393.70

NIFTY 2-Jul-15 27-Aug-15 8,499.00 8,510.00 8,461.30

NIFTY 3-Jul-15 27-Aug-15 8,466.40 8,535.00 8,450.00

NIFTY 6-Jul-15 27-Aug-15 8,455.90 8,584.00 8,426.70

NIFTY 7-Jul-15 27-Aug-15 8,580.00 8,596.00 8,521.00

NIFTY 8-Jul-15 27-Aug-15 8,489.55 8,500.00 8,385.00

NIFTY 9-Jul-15 27-Aug-15 8,419.25 8,455.00 8,376.50NIFTY 10-Jul-15 27-Aug-15 8,405.25 8,438.60 8,367.20

NIFTY 13-Jul-15 27-Aug-15 8,436.80 8,530.00 8,398.05

NIFTY 14-Jul-15 27-Aug-15 8,515.55 8,539.50 8,479.55

NIFTY 15-Jul-15 27-Aug-15 8,512.05 8,587.00 8,512.00

NIFTY 16-Jul-15 27-Aug-15 8,581.05 8,670.00 8,581.05

NIFTY 17-Jul-15 27-Aug-15 8,670.65 8,686.00 8,645.10



NIFTY 20-Jul-15 27-Aug-15 8,670.55 8,684.00 8,615.00

NIFTY 21-Jul-15 27-Aug-15 8,672.10 8,683.95 8,569.00

NIFTY 22-Jul-15 27-Aug-15 8,550.00 8,699.75 8,545.05

NIFTY 23-Jul-15 27-Aug-15 8,687.00 8,705.45 8,622.00

NIFTY 24-Jul-15 27-Aug-15 8,625.00 8,639.00 8,566.55

NIFTY 27-Jul-15 27-Aug-15 8,547.70 8,550.00 8,409.15

NIFTY 28-Jul-15 27-Aug-15 8,422.90 8,452.45 8,376.00

NIFTY 29-Jul-15 27-Aug-15 8,414.00 8,427.00 8,380.55

NIFTY 30-Jul-15 27-Aug-15 8,451.00 8,499.50 8,430.10

NIFTY 31-Jul-15 27-Aug-15 8,483.40 8,579.95 8,477.65

NIFTY 3-Aug-15 27-Aug-15 8,558.00 8,590.00 8,550.00

NIFTY 4-Aug-15 27-Aug-15 8,570.00 8,577.80 8,450.00

NIFTY 5-Aug-15 27-Aug-15 8,556.00 8,618.00 8,551.00

NIFTY 6-Aug-15 27-Aug-15 8,594.40 8,641.05 8,566.50

NIFTY 7-Aug-15 27-Aug-15 8,599.00 8,619.00 8,575.20

NIFTY 10-Aug-15 27-Aug-15 8,588.90 8,647.90 8,503.00

NIFTY 11-Aug-15 27-Aug-15 8,545.30 8,560.00 8,461.50

NIFTY 12-Aug-15 27-Aug-15 8,452.30 8,457.00 8,355.00

NIFTY 13-Aug-15 27-Aug-15 8,405.05 8,445.00 8,357.00

NIFTY 14-Aug-15 27-Aug-15 8,444.90 8,553.00 8,402.10

NIFTY 17-Aug-15 27-Aug-15 8,529.15 8,540.55 8,411.00

NIFTY 18-Aug-15 27-Aug-15 8,504.95 8,531.95 8,437.25NIFTY 19-Aug-15 27-Aug-15 8,460.00 8,534.65 8,426.75

NIFTY 20-Aug-15 27-Aug-15 8,468.00 8,506.35 8,358.40



8,540.00 8,533.60 2,511 5,320.34 31,600 31,600

8,504.90 8,510.75 1,253 2,670.59 37,650 6,050

8,310.00 8,310.60 5,784 12,179.09 97,825 60,175

8,233.45 8,223.20 6,902 14,202.17 141,450 43,625

8,236.00 8,228.00 6,105 12,522.99 154,700 13,250

8,202.15 8,202.45 3,004 6,184.99 156,375 1,675

8,128.05 8,126.95 2,516 5,124.03 160,425 4,050

8,107.45 8,115.95 2,054 4,167.32 164,275 3,850

8,206.70 8,202.15 3,275 6,706.56 167,325 3,050

8,048.20 8,045.15 3,373 6,840.51 179,675 12,350

8,068.60 8,058.50 3,475 6,991.49 189,100 9,425

8,084.65 8,090.00 2,918 5,900.88 191,500 2,400

8,138.35 8,126.85 2,565 5,181.50 191,375 -125

8,148.55 8,154.25 3,201 6,528.30 202,850 11,475

8,220.35 8,218.40 13,075 26,881.76 373,675 170,825

8,309.15 8,297.65 4,488 9,290.36 401,000 27,325

8,418.60 8,416.30 7,288 15,273.04 455,800 54,800

8,447.95 8,443.50 6,760 14,259.41 505,125 49,325

8,395.00 8,407.75 7,285 15,385.41 572,925 67,800

8,471.35 8,452.15 11,194 23,613.61 725,675 152,750

8,414.30 8,416.25 14,733 30,986.78 783,150 57,475

8,363.00 8,354.15 14,065 29,144.64 806,000 22,8508,416.00 8,410.80 11,031 23,094.27 841,375 35,375

8,489.90 8,490.70 13,241 28,019.00 890,725 49,350

8,471.65 8,474.70 13,780 29,228.45 1,018,825 128,100

8,534.45 8,523.65 15,045 32,006.02 1,048,150 29,325

8,573.00 8,575.05 19,762 42,021.03 1,115,275 67,125

8,567.00 8,554.80 15,043 32,216.14 1,194,800 79,525

8,411.00 8,418.70 24,769 52,247.12 1,253,725 58,925

8,394.00 8,387.10 13,802 28,999.81 1,275,275 21,5508,414.00 8,423.65 14,898 31,303.29 1,315,775 40,500

8,520.85 8,518.95 17,243 36,551.62 1,394,000 78,225

8,494.00 8,506.40 12,743 27,101.02 1,472,850 78,850

8,583.90 8,579.50 12,182 26,095.70 1,527,000 54,150

8,666.35 8,661.25 29,791 64,314.55 1,567,875 40,875

8,666.00 8,662.10 15,837 34,308.01 1,609,400 41,525



8,660.00 8,665.80 18,994 41,046.86 1,715,075 105,675

8,581.80 8,580.60 22,715 48,977.94 1,766,325 51,250

8,683.00 8,685.55 50,547 109,262.74 2,287,550 521,225

8,643.10 8,642.70 35,275 76,365.26 2,550,750 263,200

8,583.00 8,576.50 57,212 123,099.06 3,027,925 477,175

8,412.40 8,415.95 172,037 364,256.19 5,135,300 2,107,375

8,397.60 8,393.05 275,834 580,451.85 9,628,750 4,493,450

8,423.40 8,417.95 236,654 497,012.61 1,26,17,550 2,988,800

8,469.95 8,461.75 383,055 810,626.05 1,66,04,575 3,987,025

8,571.70 8,569.65 423,825 904,830.74 1,72,58,700 654,125

8,561.95 8,561.70 210,651 451,382.70 1,68,53,800 -404,900

8,544.20 8,547.55 574,620 1,224,384.86 1,60,57,275 -796,525

8,595.00 8,592.65 300,424 645,409.47 1,66,52,500 595,225

8,613.90 8,615.00 301,655 648,715.50 1,68,81,375 228,875

8,599.00 8,594.10 224,960 483,513.09 1,68,27,750 -53,625

8,521.30 8,544.30 371,638 798,076.17 1,65,79,700 -248,050

8,494.00 8,490.80 417,001 886,528.18 1,65,43,700 -36,000

8,368.20 8,365.45 518,433 1,090,022.04 1,60,20,800 -522,900

8,404.05 8,381.00 462,054 970,976.52 1,56,91,650 -329,150

8,545.20 8,542.70 534,397 1,135,252.52 1,50,56,050 -635,600

8,485.00 8,488.05 449,746 953,819.50 1,44,95,725 -560,325

8,480.00 8,481.70 374,699 794,706.03 1,42,53,925 -241,8008,508.80 8,505.40 380,585 807,874.50 1,44,14,875 160,950

8,388.00 8,380.05 571,472 1,203,992.76 1,46,58,075 243,200



8,433.65

8,433.40

8,236.45

8,135.10

8,130.65

8,114.70

8,044.15

8,022.40

8,124.45

7,965.35

7,982.90

8,013.90

8,047.30

8,091.55

8,174.60

8,224.95

8,353.10

8,381.55

8,360.85

8,398.00

8,381.10

8,318.408,368.50

8,453.05

8,444.90

8,484.90

8,522.15

8,510.80

8,363.05

8,328.558,360.55

8,459.65

8,454.10

8,523.80

8,608.05

8,609.85



8,603.45

8,529.45

8,633.50

8,589.80

8,521.55

8,361.00

8,337.00

8,375.05

8,421.80

8,532.85

8,543.05

8,516.90

8,567.95

8,588.65

8,564.60

8,525.60

8,462.35

8,349.45

8,355.85

8,518.55

8,477.30

8,466.558,495.15

-

volatility back testing

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