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option-pricing - Strategy01 Stock 80.00 85.00 90.00 95.00...

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Strategy01 Page 1 Stock B-Call Max(0,S-E) Delta Gamma DD DG 80.00 #MACRO? 0.00 -40.00 ### 0.00 ### ### #MACRO? 85.00 #MACRO? 0.00 -35.00 ### #MACRO? ### ### ### #MACRO? 90.00 #MACRO? 0.00 -30.00 ### #MACRO? ### ### ### #MACRO? 95.00 #MACRO? 0.00 -25.00 ### #MACRO? ### ### ### #MACRO? 100.00 #MACRO? 0.00 -20.00 ### #MACRO? ### ### ### #MACRO? 105.00 #MACRO? 0.00 -15.00 ### #MACRO? ### ### ### #MACRO? 110.00 #MACRO? 0.00 -10.00 ### #MACRO? ### ### ### #MACRO? 115.00 #MACRO? 0.00 -5.00 ### #MACRO? ### ### ### #MACRO? 120.00 #MACRO? 0.00 0.00 ### #MACRO? ### ### ### #MACRO? 125.00 #MACRO? 0.00 5.00 ### #MACRO? ### ### ### #MACRO? 130.00 #MACRO? 5.00 10.00 ### #MACRO? ### ### ### #MACRO? 135.00 #MACRO? 10.00 15.00 ### #MACRO? ### ### ### #MACRO? 140.00 #MACRO? 15.00 20.00 ### #MACRO? ### ### ### #MACRO? 145.00 #MACRO? 20.00 25.00 ### #MACRO? ### ### ### #MACRO? 150.00 #MACRO? 25.00 30.00 ### #MACRO? ### ### ### #MACRO? 155.00 #MACRO? 30.00 35.00 ### #MACRO? ### ### ### #MACRO? Stock Profit Option Price Covered Call 80.00 85.00 90.00 95.00 100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 145.00 150.00 155.00 0.00 20.00 40.00 60.00 80.00 100.00 120.00 140.00 160.00 180.00 Option Strategy Stock  B-Call Covered Call Stock Price Value
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Strategy01 Page 2 Rf 2.15% #MACRO? 8000.00 -36% Vol 25.00% #MACRO? 8500.00 -32% T 0.33 #MACRO? 9000.00 -28% E 125 #MACRO? 9500.00 -24% S 125.0000 #MACRO? 10000.00 -20% #MACRO? 10500.00 -16% #MACRO? 11000.00 -12% #MACRO? 11500.00 -8% #MACRO? 12000.00 -4% #MACRO? 12500.00 #MACRO? 13000.00 4% #MACRO? 13500.00 8% #MACRO? 14000.00 12% #MACRO? 14500.00 16% #MACRO? 15000.00 20% #MACRO? 15500.00 24% 155.00
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Risk-Free Page 3 Bid Discount 2.12 Ask Discount 2.11 Average Discount 2.12 Time to Expiration days 22 T-Bill Price 99.8708 Risk-Free Rate 2.15% http://online.wsj.com/mdc/page/marketsdata.html?mod=2_3000
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1/18/2007 10/8/2007 2/7/2007 2/28/2007 3/20/2007 4/10/2007 4/30/2007 5/18/2007 6/8/2007 6/28/2007 7/19/2007 8/8/2007 8/28/2007 9/18/2007 10/26/2007 11/15/2007 12/6/2007 12/27/2007 1/17/2008 2/7/2008 2/28/2008 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% AAPL 15 and 90 Day Volatility Column H Column I Day Annual Standard Deviation
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AAPL Page 5 Date Open High Low Close Adj Close 9/7/2006 70.6 73.48 70.25 72.8 72.80 9/8/2006 73.37 73.57 71.91 72.52 72.52 -0.39% 9/11/2006 72.43 73.73 71.42 72.5 72.50 -0.03% 9/12/2006 72.81 73.45 71.45 72.63 72.63 0.18% 9/13/2006 72.85 74.32 72.3 74.2 74.20 2.14% 9/14/2006 73.72 74.67 73.46 74.17 74.17 -0.04% 9/15/2006 74.6 74.98 73.29 74.1 74.10 -0.09% 9/18/2006 73.8 74.86 73.3 73.89 73.89 -0.28% 9/19/2006 74.1 74.36 72.8 73.77 73.77 -0.16% 9/20/2006 74.38 75.68 74.22 75.26 75.26 2.00% 9/21/2006 75.25 76.06 74.02 74.65 74.65 -0.81% 9/22/2006 74.3 74.34 72.58 73 73.00 -2.24% 9/25/2006 73.81 75.86 73.72 75.75 75.75 3.70% 9/26/2006 76.18 77.78 76.1 77.61 77.61 2.43% 9/27/2006 77.17 77.47 75.82 76.41 76.41 -1.56% 9/28/2006 77.02 77.48 75.95 77.01 77.01 0.78% 30% 9/29/2006 77.11 77.52 76.68 76.98 76.98 -0.04% 30% 10/2/2006 75.1 75.87 74.3 74.86 74.86 -2.79% 34% 10/3/2006 74.45 74.95 73.19 74.08 74.08 -1.05% 34% 10/4/2006 74.1 75.46 73.16 75.38 75.38 1.74% 34% 10/5/2006 74.53 76.16 74.13 74.83 74.83 -0.73% 34% 10/6/2006 74.42 75.04 73.81 74.22 74.22 -0.82% 34% 10/9/2006 73.8 75.08 73.53 74.63 74.63 0.55% 34% ### 74.54 74.58 73.08 73.81 73.81 -1.10% 35% ### 73.42 73.98 72.6 73.23 73.23 -0.79% 33% ### 73.61 75.39 73.6 75.26 75.26 2.73% 36% ### 75.63 76.88 74.74 75.02 75.02 -0.32% 34% ### 75.19 75.88 74.79 75.4 75.40 0.51% 29% ### 75.04 75.27 74.04 74.29 74.29 -1.48% 27% ### 74.75 75.37 73.91 74.53 74.53 0.32% 26% ### 79.26 79.95 78.16 78.99 78.99 5.81% 39% ### 78.97 79.99 78.67 79.95 79.95 1.21% 39% ### 79.99 81.9 79.75 81.46 81.46 1.87% 37% ### 81.21 81.68 80.2 81.05 81.05 -0.50% 36% ### 81.35 82 81.01 81.68 81.68 0.77% 36% ### 81.9 82.6 81.13 82.19 82.19 0.62% 35% ### 81.75 82.45 80.01 80.41 80.41 -2.19% 37% ### 79.99 80.9 79.5 80.42 80.42 0.01% 37% ### 81.45 81.68 80.23 81.08 81.08 0.82% 36% 11/1/2006 81.1 81.38 78.36 79.16 79.16 -2.40% 39% 11/2/2006 78.92 79.32 78.5 78.98 78.98 -0.23% 37% 11/3/2006 79.36 79.53 77.79 78.29 78.29 -0.88% 37% 11/6/2006 78.95 80.06 78.43 79.71 79.71 1.80% 38% 11/7/2006 80.45 81 80.13 80.51 80.51 1.00% 37% 11/8/2006 80.02 82.69 79.89 82.45 82.45 2.38% 38% 11/9/2006 82.9 84.69 82.12 83.34 83.34 1.07% 27% ### 83.55 83.6 82.5 83.12 83.12 -0.26% 26% ### 83.22 84.45 82.64 84.35 84.35 1.47% 26% ### 84.8 85 83.9 85 85.00 0.77% 26% ### 85.05 85.9 84 84.05 84.05 -1.12% 27% ### 84.87 86.3 84.62 85.61 85.61 1.84% 28% ### 85.14 85.94 85 85.85 85.85 0.28% 24%
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AAPL Page 6 ### 85.4 87 85.2 86.47 86.47 0.72% 24% ### 87.42 88.6 87.11 88.6 88.60 2.43% 26% ### 88.99 90.75 87.85 90.31 90.31 1.91% 22% ### 89.53 93.08 89.5 91.63 91.63 1.45% 21% ### 92.51 93.16 89.5 89.54 89.54 -2.31% 25% ### 90.36 91.97 89.91 91.81 91.81 2.50% 26% ### 93 93.15 90.25 91.8 91.80 -0.01% 26% ### 92.21 92.68 91.06 91.66 91.66 -0.15% 26% 12/1/2006 91.8 92.33 90.1 91.32 91.32 -0.37% 26% 12/4/2006 91.88 92.05 90.5 91.12 91.12 -0.22% 26% 12/5/2006 91.65 92.33 90.87 91.27 91.27 0.16% 26% 12/6/2006 90.64 91.39 89.67 89.83 89.83 -1.59% 28% 12/7/2006 90.03 90.5 86.9 87.04 87.04 -3.16% 32% 12/8/2006 87.23 89.39 87 88.26 88.26 1.39% 31% ### 88.9 89.3 88.05 88.75 88.75 0.55% 31% ### 88.61 88.84 85.53 86.14 86.14 -2.98% 35% ### 87.95 89.07 87.15 89.05 89.05 3.32% 37% ### 89.05 90 88.26 88.55 88.55 -0.56% 36% ### 89.02 89.22 87.33 87.72 87.72 -0.94% 35% ### 87.63 88 84.59 85.47 85.47 -2.60% 35% ### 84.73 86.68 83.62 86.31 86.31 0.98% 33% ### 86.47 86.67 84.74 84.76 84.76 -1.81% 33% ### 84.7 85.48 82.2 82.9 82.90 -2.22% 34% ### 83.46 84.04 81.6 82.2 82.20 -0.85% 34% ### 82.15 82.57 80.89 81.51 81.51 -0.84% 34% ### 78.15 82 76.77 81.52 81.52 0.01% 34% ### 80.22 81.25 79.65 80.87 80.87 -0.80% 34% ### 83.95 85.4 83.36 84.84 84.84 4.79% 41% 1/3/2007 86.29 86.58 81.9 83.8 83.80 -1.23% 40% 1/4/2007 84.05 85.95 83.82 85.66 85.66 2.20% 42% 1/5/2007 85.77 86.2 84.4 85.05 85.05 -0.71% 40% 1/8/2007 85.96 86.53 85.28 85.47 85.47 0.49% 35% 1/9/2007 86.45 92.98 85.15 92.57 92.57 7.98% 54% 1/10/2007 94.75 97.8 93.45 97 97.00 4.67% 58% 1/11/2007 95.94 96.78 95.1 95.8 95.80 -1.24% 56% 1/12/2007 94.59 95.06 93.23 94.62 94.62 -1.24% 57% 1/16/2007 95.68 97.25 95.45 97.1 97.10 2.59% 56% 1/17/2007 97.56 97.6 94.82 94.95 94.95 -2.24% 56% 1/18/2007 92.1 92.11 89.05 89.07 89.07 -6.39% 66% 39.36% 1/19/2007 88.63 89.65 88.12 88.5 88.50 -0.64% 66% 39.38% 1/22/2007 89.14 89.16 85.65 86.79 86.79 -1.95% 67% 39.62% 1/23/2007 85.73 87.51 85.51 85.7 85.70 -1.26% 68% 39.73% 1/24/2007 86.68 87.15 86.08 86.7 86.70 1.16% 64% 39.58% 1/25/2007 87.11 88.5 86.03 86.25 86.25 -0.52% 63% 39.60% 1/26/2007 87.11 87.37 84.99 85.38 85.38 -1.01% 63% 39.67% 1/29/2007 86.3 86.65 85.53 85.94 85.94 0.65% 63% 39.67% 1/30/2007 86.43 86.49 85.25 85.55 85.55 -0.45% 63% 39.69% 1/31/2007 84.86 86 84.35 85.73 85.73 0.21% 46% 39.51% 2/1/2007 86.23 86.27 84.74 84.74 84.74
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