Ily vola tility in ca lenda r da ys da ily vola

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Unformatted text preview: ding Da ys) Horiz on (in Ca lenda r Da ys) Horiz on (in Tra ding Da ys) Option # 26 T (DTM) 43 X (Strike) 1135 C (opt price) 26 .54 1137.14 r q d 0.0006 82% 0.0056 9 7% 0.04 6 4 11 Position -1 1.50% 1.81% 14 10 Delta -0.51724 0 Gamma -0.003554 10-day 1% $VaR Gamma-Based 216 .38 Cornish-Fisher 121.4 4 Approximations -7.4 8879 2 ### -1.237724 Delta-Based 78.11 -0.6 22356 -0.754 253 0.9 734 4 6 1.4 04 737 1.14 04 54 -0.84 9 759 -0.1319 21 -2.16 889 0 -0.2314 30 -0.8056 87 2.713714 -0.7826 18 0.0379 15 -0.36 3858 -0.76 6 9 20 -1.14 9 738 -1.29 6 9 53 -0.381159 0.384 9 4 6 0.4 76 6 30 -0.24 189 4 -0.6 586 08 -0.7004 31 2.0384 50 -0.7139 87 -0.386 09 9 -0.9 9 4 29 8 -0.9 4 6 76 1 -0.576 9 37 -1.16 6 79 5 0.4 23213 0.102804 0.16 014 4 -0.316 6 78 -1.130252 0.4 21206 -1.859 26 2 -0.06 6 56 5 -0.86 9 127 0.56 2809 -0.6 289 6 1 0.514 16 7 -2.04 274 3 1.222218 -0.51224 8 0.6 26 54 0 0.54 054 0 1.79 3210 0.280124 -0.526 6 9 3 0.785114 1.7379 6 3 -1.06 2310 1.089 052 1.17789 6 1.6 326 52 0.188883 0.04 319 6 -0.0506 25 2.12739 9 0.285539 1.89 76 6 1 0.9 09 34 0 -1.079 550 -0.09 24 27 0.39 716 7 1.315809 0.525374 -0.219 26 8 1.759 136 0.4 36 806 -0.1289 89 0.087203 0.279 806 -0.770106 -1.28184 6 0.04 5570 -1.09 1823 -0.6 56 9 9 4 1.034 218 0.33014 0 0.012508 0.173718 -1.6 55103 0.811310 1.000210 0.527572 -2.4 4 39 58 0.8129 04 -0.511027 0.54 506 1 1.379 9 31 0.29 14 4 1 -1.4 709 6 7 -1.6 29 4 6 9 1.2886 6 3 1.26 56 6 2 -0.135781 0.3259 4 2 -0.8509 6 6 0.0306 4 2 -1.24 4 312 1.29 4 829 -0.125826 -0.59 7113 -0.09 719 1 -0.89 74 9 2 -1.079 138 0.7589 37 -1.084 356 -2.012857 -1.09 6 278 -0.4 229 6 3 0.26 2822 0.577750 -0.333212 -1.337012 1.2304 9 4 2.029 36 5 0.34 09 04 -0.859 34 7 -0.0706 29 0.4 6 76 51 0.029 188 -1.0029 88 -0.6 9 8283 0.719 131 -0.182501 -0.532502 0.34 6 178 -0.6 5036 4 0.9 16 76 8 -0.4 6 024 0 1.074 6 29 -0.206 826 -0.136 9 38 -1.718886 -0.6 4 4 9 85 -3.16 9 6 9 8 0.84 5705 -0.852287 0.884 4 06 0.39 9 9 00 0.4 6 24 52 -0.2214 6 3 0.6 12729 -0.139 255 0.9 79 853 -0.56 56 80 -0.816 103 -0.027580 0.86 189 6 0.230723 -0.587358 0.6 3176 1 0.8804 55 0.2829 11 0.874 16 1 1.06 1774 0.9 26 24 3 0.24 039 8 0.2724 16 -0.6 4 734 2 0.6 2886 8 -0.4 16 029 0.4 234 6 4 -0.701214 0.4 234 6 4 1.24 9 305 0.036 383 -0.6 53770 -0.3224 75 -0.252700 0.6 056 37 -0.5074 56 0.9 4 56 83 -1.755552 0.04 6 9 4 9 -0.09 8114 1.106 800 -1.16 9 215 -0.029 725 0.0179 4 0 -2.818706 -0.56 236 1 -0.039 139 0.56 4 24 4 -0.37384 8 1.0116 29 0.2334 74 0.6 0554 6 0.4 9 704 1 -0.76 5176 -0.6 8526 1 0.236 6 20 0.274 4 81 0.136 783 -0.075538 1.271824 0.9 6 9 39 9 -0.289 9 24 -0.7186 35 -1.74 809 9 0.3814 88 0.012126 1.739 008 0.316 115 -0.153173 1.27889 5 -1.255503 2.054 59 4 -0.322233 0.9 9 7816 1.4 816 58 0.87304 0 -0.833300 -1.34 774 8 -0.387336 1.6 4 8518 -0.9 02307 -0.754 355 1.3706 77 -0.583817 -1.108356 -1.2254 53 1.537587 0.59 8119 0.26 6 228 -0.09 0353 0.59 3551 -0.2186 4 1 -0.9 02078 0.1884 15 1.508079 1.550184 1.386 502 -1.126 782 -1.4 1819 8 0.706 9 00 1.1059 55 -0.9 39 4 81 -1.16 24 23 0.56 74...
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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