OPTION POSITIONING AND TRADING TUTORIAL

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1 OPTION POSITIONING AND TRADING TUTORIAL Binomial Options Pricing, Implied Volatility and Hedging Option Underlying 5/13/2011 Professor James Bodurtha

2 Executive Summary The following paper looks at a number of option related subjects. It begins by covering option pricing and the derivation of implied volatility. It then discusses the Greek option hedge tools and their implementation. The paper concludes with the primary goal of providing results for a managed set of four individual single option portfolios. It is designed to analyze the effectiveness and variability in hedges constructed against changes in the price of underlying securities. To arrive at a model that allows hedge design, I began by collecting market data. For each of the four positions, I assumed a portfolio of 1,000,000 options held from the open on April 1 st, 2011 through to the close on May 6 th, The options selected vary in strike, expiration and type. With the market data available, I created a VBA model to arrive at an option price. This model was used to derive volatility for both the hedges and a basic analysis of variability across options in implied volatility. This analysis resulted in experimental results showing evidence of both the volatility smile and the term structure of implied volatility. With inputs collected, the portfolio results are discussed including the naked position, the delta hedged position and the delta gamma hedged position. Overall, the results of the analysis were quite interesting. Delta hedging presented itself as an extremely effective hedging tool, at least against securities that behave similarly to that selected for this project where the majority of the change in premium is related to change in price. Additionally, the delta gamma hedging appeared to be of rather little value, especially in a portfolio where the delta neutral portfolio is rebalanced frequently. It s most important contributions occurred in cases where underlying price changes were rapid. Isolation of periods where the majority of change in option premium was related to changes in underlying price was most effective in showing the importance of the delta based hedges. 1 P age

3 Introduction The use of derivative financial instruments continues to be extremely important in finance, even following the recent financial crisis. Equity options are a specific form of derivative that establishes a contract between parties over the purchase or sale of an equity asset at a specific price. This price is a function of multiple variables including but not limited to the price of the underlying equity asset, the time remaining until expiration of the contract and volatility. Additionally, the option writer or buyer can engage in various hedges against their exposure to adjust their basic strategy. This paper covers both simple option pricing and the inference of volatility from market prices as well as the more detailed hedging of various option exposures. I have selected two option hedging strategies for comparison against four initial naked option positions: long call in the money (ITM), long put out ofthe money (OTM), short call ITM and short put OTM. The primary goal of this paper is to construct the two hedges, delta neutral and delta gamma neutral, for each naked position, adjust and maintain the hedges with time and comment on their effectiveness and behavior. I begin with a discussion of option pricing and the use of an option pricing model to infer volatility, introduce the Greeks and my underlying price implementation and conclude with a discussion of model results. The MS Excel model used for developing the results presented here is provided separately. Option Pricing and Implied Volatility The price of an option is a function of multiple variables including the price of the underlying security, option volatility, risk free interest rates, time to expiration and underlying yields. Options are most commonly priced according to both the analytical Black Scholes/Merton (BSM) model and the numerical Binomial Options Pricing Model (BOPM). The primary thrust of the option pricing analysis presented here employs the BOPM. The BOPM developed for this project was derived according to the standard Cox, Ross and Rubinstein assumptions. Figure 1 presents the basic graphical representation of the BOPM with up and down steps at each node. The model follows three basic steps. The first is to expand the underlying price tree according to the number of steps desired. More steps generally increases accuracy at the expense of increased time of computation. I found 30 steps to be sufficient for accurate pricing. Figure 1: Binomial Option Pricing Model 2 P age

4 As displayed in Figure 1, up movement factors in price of the underlying instrument,, are calculated according to the u function below while down movements,, are calculated according to the associate d function. = = With these factors determined, the spot price up is equal to = and the spot price down is equal to =. The derived spot prices allow for the determination of option value at the final points in the tree given the values are simply the difference between the spot and the strike for a call and the strike and the spot for a put. The final step involves deriving option values along the tree to the beginning node. = ( ) Each preceding node depends on the probability and valuation of the two following nodes. Probability of an up move is calculated according to the equation above with probability of a down move equal to (1 p). The option value in the preceding node at spot is thus the probability p multiplied by the option value at spot price plus the probability (1 p) of the option value at spot price all discounted to the preceding node. = ( + (1 ) ) This process cascades to the current valuation at node 0. Important to note is that for an American option, as examined in all positions in this report, the value at any node is the maximum of either the binomial value as calculated here or the value if exercised. My VBA implementation of the BOPM appears in the associate excel model and was used to generate the results presented in this report. The specific code appears in Appendix Section I. A single function was created to price both American and European options of both the put and call variety. This VBA was primarily used to generate estimates for implied volatility against market prices for the options selected. Although volatility is not the primary subject of this paper, there were a number of interesting observations in its derivation using the BOPM. The ITM call options of both maturities selected for analysis shown in Figure 5 consistently estimated a slightly lower volatility, in the neighborhood of 2%, than that implied by the deeper OTM puts. This is not surprising. In fact, this is a representation of the results expected due to the volatility smile. The $16 puts are further OTM than the near ATM calls and thus should exhibit higher implied volatility. Figure 2 presents the difference in volatility between the deeper OTM puts and the ITM calls for both maturities. Positions referenced in these charts are explained in detail in Figure 5. 3 P age

5 15.00% 10.00% 5.00% 0.00% 5.00% 10.00% 15.00% Position 2 Position 1 Position 4 Position 3 Figure 2: Implied Volatility Difference Between OTM and Near Money Options by Period Additionally, as the shorter duration options approached expiration in May, generally at around 24 days prior, their implied volatilities began to diverge as much as 10%, from those implied by the one month longer duration options expiring in June. Figure 3 presents the difference in volatility between the puts and calls of both maturities. This again is an expected behavior but interesting to observe in experiment. It is a representation of the term structure of volatility in practice. Given wider scope in this final project, study of the potential for volatility arbitrage against the underlying security would be a useful opportunity. Additionally, greater examination of an implied volatility surface including both strike price and time to maturity would provide for further detail and potentially assist in building improved hedges % 10.00% 5.00% 0.00% 5.00% 10.00% 15.00% Position 3 Position 1 Position 4 Position 2 Figure 3: Implied Volatility Difference Between Earlier and Later Expiring Options by Period 4 P age

6 Hedging and the Greeks The Greeks are a primary tool used for option exposure hedging against various price sensitivities. There are five major Greeks: delta, gamma, rho, theta and vega and they all appear in analytical form (European) in Figure 4. Delta and gamma apply to changes in the underlying security price. Vega applies to volatility. Theta (gamma proxy under delta neutrality) applies to time decay. Each Greek represents a specific named component of option price movement according to Taylor Series expansion. For purposes of this paper, I examine delta and gamma in detail but introduce all briefly in this section. Greek Call Put Partial Delta = ( ) = [ ( ) 1] Π Gamma Γ= ( ) Γ= ( ) Π Rho Ρ= ( ) Ρ= ( ) Π Theta Θ= ( ) 2 + ( ) ( ) Θ= ( ) 2 + ( ) ( ) Vega = ( ) = ( ) Π Figure 4: Greek Letters Delta is perhaps the most important Greek as the partial derivative of option price with respect to underlying security price. As reported in the associate model, it is the price movement of the option given a $1 change in the underlying security. Purchase of calls and sale of puts both have positive delta between 0 and 1. Sale of calls and purchase of puts both have negative delta between 0 and 1. Movement of delta is generally greatest near the strike price. Gamma represents the rate of change of delta with respect to change in spot price. This essentially measures the curvature of delta. Gamma is primarily useful for delta neutral portfolios as the factor measures the impact of changes in the underlying spot price on the delta neutral portfolio. Generally, if gamma is small, the need to rebalance under delta neutrality is low, and vice versa. However, if large movements between rebalancing are common, gamma can provide significant protection. Rho represents the rate of change of the portfolio value relative to the interest rate. Given the rates in this case are extremely low and essentially unchanging, rho is ignored in this hedging exercise. Theta represents the rate of change of the portfolio value relative to the passage of time. Because the time to expiration is not uncertain, and hedges are primarily useful under uncertainty, hedging using theta is not a normal activity. Theta is not considered herein. Vega is the rate of change of the value of the portfolio value with respect to the volatility of the underlying security. This hedge was not examined for this paper given the concentration on underlying price and desire to delve into greater detail and multiple positions for delta and gamma. That noted it would be the next to be considered. r Π t 5 P age

7 Positions and Hedging Strategy There are many potential option positions to examine. I chose to begin my analysis with the four basic positions: long call, long put, short call and short put. I selected Cisco (CSCO) as the underlying equity. This is due to the stock s market ubiquity and the large number of frequently traded options written against it. In the table below, I introduce these positions as position 1 long call, position 2 long put, position 3 short call and position 4 short put. Position Naked Position Strike Expiry Delta Neutral Hedge Delta Gamma Neutral Hedge 1 Long Call ITM (Buy) $17 06/18/11 Short Underlying Short OTM Put (Position 2) 2 Long Put OTM (Buy) $16 06/18/11 Long Underlying Short ITM Call (Position 1) 3 Short Call ITM (Sell) $17 05/21/11 Long Underlying Long OTM Put (Position 4) 4 Short Put OTM (Sell) $16 05/21/11 Short Underlying Long ITM Call (Position 3) Figure 5: Basic Option Positions and Hedges For each of the four positions, I assume a portfolio of 1,000,000 options held from the open on April 1 st, 2011 through to the close on May 6 th, Positions 1 and 2 expire the day before June 18 th, 2011 and positions 3 and 4 expire the day before May 21 st, Position 1 is a long call ITM at a $17 strike while position 2 is a long put OTM at a $16 strike. Position 3 is a short call ITM at a $17 strike while position 4 is a short put OTM at a $16 strike. Additional assumptions applicable to the remainder of the paper include: 1. Risk free rate (rf) is assumed to be 3 month LIBOR for all four positions. The daily results over the period under study hover between 0.25% and 0.35%. The unusually low rate negates much of the impact from assuming a cost of borrowing. The use of LIBOR is primarily a function of the assumption that these trades are occurring within a larger institution with prime borrowing status. Individual investors may face significantly higher risk free rates. 2. Trades occur at the beginning of the trading day at the open and the end of the trading day at the close at exactly the quoted price. It is assumed that all associate transaction costs are zero. This allows for frequent trading that may be unrealistic in the real world. In such cases hedging against gamma may become more useful. 3. Underlying security yield is 0% given the most recent quarterly dividend was paid on March 29 th, 2011 and the next dividend is not scheduled until the close of the second calendar quarter at the end of June 2011, after all modeled options expire. Additionally, Cisco only recently began to pay dividends in the previous quarter and future payments are quite uncertain. Each of the ultimate hedging strategies implemented against the associate naked position is accounted for above but explained in more detail at a later point. For purposes of this paper, I selected to examine only hedges against underlying price movements, thus the specific hedges noted above. Important for the following analysis is the note that position 2 and position 4 were selected as proper hedges against position 1 and position 3 respectively. The use of position 1 as a hedge against position 2 and position 3 as a hedge against position 4 is primarily for discussion and experimentation purposes and is not designed for optimal results. 6 P age

8 Naked Strategy A naked strategy with respect to options is the purchase or writing of an option without any associate hedge of the option exposure. For purposes of this report, the naked position is tracked daily to compare against the gains made by the hedges against the non hedged exposure. Delta Neutral Hedging Strategy The delta neutral hedging strategy is the primary hedge employed in this paper and essentially requires the finding of the number of asset as noted below that set Π/ equal to zero given a certain number of the basic security. Π = P + =0 Figure 5 presents the delta hedging strategies selected for this paper. Essentially, the number of assets derived from the above equation is long for the purchase of a put and the sale of a call. Alternatively, the number of assets is short for the purchase of a call and the sale of a put. For the purposes of this paper, I primarily focus on call strategy. Given this, the hedges constructed for the OTM puts may be less useful under certain circumstances. Delta Gamma Neutral Hedging Strategy Gamma neutrality attempts to improve the performance of the delta neutral portfolio by measuring the effect of changing prices of the underlying on the existing delta neutrality. This is accomplished for the four basic positions in addition to the delta hedge. It is not expected to be particularly useful over the delta hedge given the frequent rebalancing of the portfolio and relative small price changes observed. The instrument used to achieve gamma neutrality is generally a separate traded option instead of the underlying due to the fact that the underlying security has zero gamma. The number of instruments follows from the following equation. = Γ Γ Generally, this implies that the number of traded options to neutralize the portfolio gamma must be equal to the negative of the gamma of the portfolio divided by the gamma of the traded option. With gamma neutralized using a new option, the delta of the portfolio is no longer neutral. This requires additional delta neutralization activity accomplished in a similar fashion to the original delta neutral hedge. The following section reports the results for the four basic positions including both delta neutral and delta gamma neutral hedges. 7 P age

9 Hedging Results Market data and implied volatilities appear in Appendix Section II. For detailed observational data and hedge calculations please see the associate MS Excel model provided separately. The results and discussion for each of the four selected positions appear below. Position 1: Long Call Summary analytical results for Position 1 appear in Appendix Section III. The naked position for long call is generally profitable when the underlying increases in value and lossmaking when the underlying decreases in value. Over the modeling period, the naked position profits by a total of approximately $110,000. We hedge delta exposure by shorting the underlying and hedge gamma exposure by shorting a put. Figure 6 presents the P&L over time for the naked position, the delta hedged position and the delta gamma hedged position. $500,000 $400,000 $300,000 $200,000 $100,000 $ $(100,000) $(200,000) $(300,000) $(400,000) $(500,000) Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Figure 6: Long Call P&L The delta hedge performance is excellent over the period of observation. That noted, the delta gamma neutral results do not appear to be significantly better on a day to day basis. This is likely due to the fact that half day changes in the price of the underlying security were only more than 1% in 20% of observations. Thus the twice daily rebalancing of the portfolio was enough to handle changes in delta, even though we were relatively close to strike. Also obvious is the fact that hedging gains are of by far the greatest magnitude when there are large changes in the naked position. There are a few cases apparent where delta gamma neutrality can improve performance. Please note the period between observations 15 and 20. During this period, the call lost half its premium in a single day. This caused a naked loss of $170,000. Gamma is inherently higher as we near the strike and in this case the gamma hedge was effective over a short period relative to delta given the fact that the underlying was changing in price rapidly. Of note for this position and those following is that the delta gamma hedge only appears useful when there are large price movements. Otherwise, it appears to be 8 P age

10 marginally beneficial and additionally may be the source of enough increase in the vega component of the Taylor Series expansion to cause a net negative position relative to delta neutrality. In this case we benefitted significantly from the gamma hedge likely due to the short of a rapidly declining OTM put. Presented below are summary descriptive statistics for the Long Call hedging exercise. The effectiveness of the hedge can be seen in comparing maximum gains and losses as well as the average P&L. Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Maximum Gain $420,000 $79,434 $141,292 Maximum Loss $(220,000) $(88,551) $(119,611) Average P&L $2,200 $1,677 $3,634 Total P&L $110,000 $83,839 $181,725 Position 2: Long Put Summary analytical results for Position 2 appear in Appendix Section IV. The naked position for long put is generally profitable when the underlying decreases in value and lossmaking when the underlying increases in value. Over the modeling period, the naked position profits by a total of approximately $180,000. We hedge delta exposure by purchasing the underlying and hedge gamma exposure by shorting a call. Figure 7 presents the P&L over time for the naked position, the delta hedged position and the delta gamma hedged position. $500,000 $400,000 $300,000 $200,000 $100,000 $ $(100,000) $(200,000) $(300,000) $(400,000) $(500,000) Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Figure 7: Long Put P&L The first difference noticeable is the degree to which further OTM options experience lower price volatility for the same changes in underlying price as near money options. The delta neutral hedge presents some countervailing action relative to the naked position, but not to the degree of the long call presented earlier. That noted the delta hedge is marginally effective reduces losses over the period by a factor of three. 9 P age

11 Unfortunately, the delta gamma hedge fails under this scenario. Most likely this is the result of using a near money call as the hedging instrument for an OTM put. Even if a strongly OTM call were used as a hedge, the usefulness of gamma hedging would likely be little to none. Presented below are summary descriptive statistics for the Long Put hedging exercise. The effectiveness of the hedge is not clear and most likely a result of the OTM nature of the initial naked position and the poor selection of a gamma hedging instrument. Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Maximum Gain $80,000 $59,958 $86,758 Maximum Loss $(100,000) $(49,704) $(91,365) Average P&L $(3,600) $(1,211) $(1,580) Total P&L $(180,000) $(60,541) $(78,980) Position 3: Short Call Summary analytical results for Position 3 appear in Appendix Section V. The naked position for short call is generally profitable when the underlying decreases in value and lossmaking when the underlying increases in value. Over the modeling period, the naked position profits by a total of approximately $30,000. We hedge delta exposure by purchasing the underlying and hedge gamma exposure by purchasing a put. Figure 8 presents the P&L over time for the naked position, the delta hedged position and the delta gamma hedged position. $500,000 $400,000 $300,000 $200,000 $100,000 $ $(100,000) $(200,000) $(300,000) $(400,000) $(500,000) Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Figure 8: Short Call P&L Over the modeling period, the price of the underlying has increased and the value of the call has decreased. It is expected that a call will increase in value under such a scenario, all things held equal. In this case, time decay has been sufficient to offset both increases in volatility and underlying price to allow us a naked profit. The delta neutral hedge has performed very well in reducing our P&L extremes as is clear from Figure 8. In fact, the summary statistics displayed below show our maximum loss has 10 P age

12 been reduced by a factor of eight while retaining our total naked P&L. The only periods where gains from the delta gamma hedge are evident is during large swings in profitability of the naked position evident between periods five and 10. An interesting observation during this period is the incredible performance of the hedge from periods 33 through 36 given large swings in profitability. This indicates the swing was due to changes in underlying price given our hedge is against price. Observing statistics for this period, we see the volatility and riskfree rate remained constant at 34.2% and 0.27% respectively with a single day of time decay. Otherwise the underlying changed in price by 2.3%. Thus the underlying hedge in place was sufficient to offset the majority of change in the premium composition. Presented below are summary descriptive statistics for the Long Call hedging exercise. In this case, the hedge performs well in reducing gains and losses but the delta gamma neutral hedge fails spectacularly. Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Maximum Gain $260,000 $66,949 $91,163 Maximum Loss $(440,000) $(66,506) $(102,663) Average P&L $600 $662 $(1,666) Total P&L $30,000 $33,114 $(83,280) Position 4: Short Put Summary analytical results for Position 4 appear in Appendix Section VI. The naked position for short put is generally profitable when the underlying increases in value and lossmaking when the underlying decreases in value. Over the modeling period, the naked position profits by a total of approximately $200,000. We hedge delta exposure by shorting the underlying and hedge gamma exposure by purchasing a call. Figure 9 presents the P&L over time for the naked position, the delta hedged position and the delta gamma hedged position. $500,000 $400,000 $300,000 $200,000 $100,000 $ $(100,000) $(200,000) $(300,000) $(400,000) $(500,000) Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Figure 9: Short Put P&L 11 P age

13 Results under this scenario are quite poor. The poor nature of the delta gamma hedge is evident from the large price changes in the underlying that occurred between periods 25 and 27. In this case, the delta gamma hedge provided no improved performance over the delta hedge with respect to P&L, even in a case where price of the underlying changed by close to 2%. Overall, total P&L declined as each hedge was added. Delta neutrality provided some benefit, but delta gamma neutrality wiped out the strong profits of the naked position while increasing maximum loss levels. Presented below are summary descriptive statistics for the Short Put hedging exercise. The effectiveness of the hedge is not clear and most likely a result of the OTM nature of the initial naked position and the poor selection of a gamma hedging instrument. Naked P&L Delta Neutral P&L Delta Gamma Neutral P&L Maximum Gain $80,000 $64,081 $85,641 Maximum Loss $(70,000) $(47,941) $(90,242) Average P&L $4,000 $1,530 $301 Total P&L $200,000 $76,481 $15,058 Concluding Remarks Although not unexpected, delta neutral hedging, especially when rebalanced twice daily as in this particular model, provides for an extremely effective neutralizing effect. In fact, the need for gamma as an additional hedge when rebalancing at such a frequent rate is not clear, at least for the modeled portfolio of options. It might be necessary to seek a more volatile underlying asset with respect to price to gain an improved appreciation for the usefulness of gamma. Additionally, a reconstruction of the model would include an ability to adjust the frequency of hedge rebalancing. This would provide a clearer picture of the degree to which gamma effectiveness improves as rebalancing frequency decreases. This might better reflect the real world where transaction costs prevent such frequent rebalancing. In considering other further study following this work, I would like to begin by looking at the impact of variations in implied volatility both due to the volatility smile and the term structure of volatility. Additionally, I would prefer to reconstruct my long put and short put positions with options closer to the money to examine the true effectiveness of a delta neutral and gamma neutral hedge under those scenarios. Finally, I would prefer to construct an additional vega hedge given an improved understanding of volatility and the potential that the gamma hedges are being offset by increases in vega. 12 P age

14 Appendix Section I: Excel VBA Binomial Option Pricing Model Implementation (This section provides the excel vba function used to calculate prices and/or infer volatilities against market prices in the excel model designed for use in this analysis. The function works against both American and European options and calculates results for both calls and puts.) ' This function returns the price of a European or American put or call option using the binomial option pricing model ' Variables ' callput "call" for a call and "put" for a put ' spot spot price of underlying security ' strike strike price of option ' maturity time to maturity of the option in days ' rf risk free rate ' vol volatility of option ' optiontype "European" for European and "American" for American ' steps number of binomial expansions ' yield yield of the underlying prior to option maturity (if no dividend is paid before expiration equal to zero) Public Function Option_(callPut, spot, strike, maturity, rf, vol, optiontype, steps, yield) As Double ' assign spot to second variable spot0 = spot ' determine if the option is a call or put If callput = "put" Then callput = 1 Else callput = 1 End If ' calculate length of the discrete time steps dt = maturity / steps ' calculate binomial tree parameters ' up movement u = Exp(vol * dt ^ 0.5) ' down movement d = Exp( vol * dt ^ 0.5) 'probability of up movement p1 = (u Exp((rF yield) * dt)) / (u d) 'probability of down movement p2 = 1 p1 ' instantiate matrix according to number of steps and set initial value ReDim spotmatrix(1 To steps + 1, 1 To steps + 1) spotmatrix(1, 1) = spot0 ' populate matrix For i = 1 To UBound(spotMatrix, 1) 1 spotmatrix(1, i + 1) = spotmatrix(1, i) * Exp(vol * dt ^ 0.5) For j = 2 To i + 1 spotmatrix(j, i + 1) = spotmatrix(j 1, i) * Exp( vol * dt ^ 0.5) Next j 13 P age

15 Next i ' instantiate second matrix ReDim cmatrix(1 To steps + 1, 1 To steps + 1) ' populate second matrix For i = 1 To steps + 1 cmatrix(i, steps + 1) = Application.Max(callPut * (spotmatrix(i, steps + 1) strike), 0) Next i For i = UBound(spotMatrix, 2) 1 To 1 Step 1 For j = 1 To i presentvalue = Exp( rf * dt) * (p2 * cmatrix(j, i + 1) + p1 * cmatrix(j + 1, i + 1)) thenvalue = callput * (spotmatrix(j, i) strike) ' differentiate according to option type If ExerciseType = "american" Then cmatrix(j, i) = Application.Max(presentValue, thenvalue) Else cmatrix(j, i) = Application.Max(presentValue, 0) End If Next j Next i ' return result Option_ = cmatrix(1, 1) End Function 14 P age

16 Section II: Cisco (CSCO) Equity and Option Data and Derived Volatility Date Time Equity Call $17 06/18 Call $17 06/18 Volatility Put $16 06/18 Put $16 06/18 Volatility Call $17 05/21 Call $17 05/21 Volatility Put $16 05/21 Put $16 05/21 Volatility 0 4/1 Open $17.29 $ % $ % $ % $ % 1 4/1 Close $17.04 $ % $ % $ % $ % 2 4/4 Open $17.01 $ % $ % $ % $ % 3 4/4 Close $17.06 $ % $ % $ % $ % 4 4/5 Open $17.16 $ % $ % $ % $ % 5 4/5 Close $17.22 $ % $ % $ % $ % 6 4/6 Open $17.44 $ % $ % $ % $ % 7 4/6 Close $18.07 $ % $ % $ % $ % 8 4/7 Open $18.16 $ % $ % $ % $ % 9 4/7 Close $17.91 $ % $ % $ % $ % 10 4/8 Open $17.97 $ % $ % $ % $ % 11 4/8 Close $17.65 $ % $ % $ % $ % 12 4/11 Open $17.71 $ % $ % $ % $ % 13 4/11 Close $17.47 $ % $ % $ % $ % 14 4/12 Open $17.50 $ % $ % $ % $ % 15 4/12 Close $17.44 $ % $ % $ % $ % 16 4/13 Open $17.50 $ % $ % $ % $ % 17 4/13 Close $17.25 $ % $ % $ % $ % 18 4/14 Open $17.15 $ % $ % $ % $ % 19 4/14 Close $17.17 $ % $ % $ % $ % 20 4/15 Open $17.19 $ % $ % $ % $ % 21 4/15 Close $17.03 $ % $ % $ % $ % 22 4/18 Open $16.88 $ % $ % $ % $ % 23 4/18 Close $16.73 $ % $ % $ % $ % 24 4/19 Open $16.65 $ % $ % $ % $ % 25 4/19 Close $16.61 $ % $ % $ % $ % 26 4/20 Open $16.90 $ % $ % $ % $ % 27 4/20 Close $16.93 $ % $ % $ % $ % 28 4/21 Open $16.94 $ % $ % $ % $ % 29 4/21 Close $16.94 $ % $ % $ % $ % 30 4/25 Open $16.93 $ % $ % $ % $ % 31 4/25 Close $17.10 $ % $ % $ % $ % 32 4/26 Open $17.21 $ % $ % $ % $ % 33 4/26 Close $17.52 $ % $ % $ % $ % 34 4/27 Open $17.60 $ % $ % $ % $ % 35 4/27 Close $17.19 $ % $ % $ % $ % 36 4/28 Open $17.19 $ % $ % $ % $ % 37 4/28 Close $17.29 $ % $ % $ % $ % 38 4/29 Open $17.32 $ % $ % $ % $ % 39 4/29 Close $17.52 $ % $ % $ % $ % 40 5/2 Open $17.51 $ % $ % $ % $ % 41 5/2 Close $17.58 $ % $ % $ % $ % 42 5/3 Open $17.53 $ % $ % $ % $ % 43 5/3 Close $17.41 $ % $ % $ % $ % 44 5/4 Open $17.37 $ % $ % $ % $ % 45 5/4 Close $17.47 $ % $ % $ % $ % 46 5/5 Open $17.48 $ % $ % $ % $ % 47 5/5 Close $17.48 $ % $ % $ % $ % 48 5/6 Open $17.63 $ % $ % $ % $ % 49 5/6 Close $17.56 $ % $ % $ % $ % 15 P age

17 Section III: Position 1 Long Call Period to Period Parameters and P&L Date Time Equity Option Naked P&L Delta Shares Short Delta Neutral P&L Gamma Puts Short Delta Shares Short Delta Gamma P&L 0 4/1 Open $17.29 $0.93 $ (584,004) $ (1,410,142) (356,782) $ 1 4/1 Close $17.04 $0.85 $(80,000) (534,103) $66,043 (1,203,147) (342,589) $98, /4 Open $17.01 $0.85 $ (528,847) $16,061 (1,129,821) (320,218) $50, /4 Close $17.06 $0.86 $10,000 (537,799) $(16,405) (1,189,113) (330,832) $(32,391) 4 4/5 Open $17.16 $0.90 $40,000 (556,944) $(13,742) (1,256,965) (331,918) $(23,018) 5 4/5 Close $17.22 $0.95 $50,000 (568,017) $16,623 (1,256,225) (322,258) $9, /6 Open $17.44 $1.10 $150,000 (607,393) $25,076 (1,282,325) (284,907) $42, /6 Close $18.07 $1.52 $420,000 (710,864) $37,384 (1,479,143) (233,443) $(39,499) 8 4/7 Open $18.16 $1.60 $80,000 (721,188) $16,071 (1,482,023) (222,816) $9, /7 Close $17.91 $1.43 $(170,000) (681,380) $10,347 (1,423,590) (270,042) $(52,494) 10 4/8 Open $17.97 $1.44 $10,000 (695,220) $(30,836) (1,485,594) (277,118) $(47,018) 11 4/8 Close $17.65 $1.23 $(210,000) (643,249) $12,518 (1,378,741) (288,231) $86, /11 Open $17.71 $1.18 $(50,000) (664,120) $(88,551) (1,546,394) (322,074) $(119,611) 13 4/11 Close $17.47 $1.10 $(80,000) (613,885) $79,434 (1,344,583) (303,358) $141, /12 Open $17.50 $1.09 $(10,000) (621,640) $(28,375) (1,393,630) (308,106) $(24,008) 15 4/12 Close $17.44 $1.08 $(10,000) (608,610) $27,340 (1,333,085) (303,683) $31, /13 Open $17.50 $1.12 $40,000 (619,048) $3,524 (1,365,696) (308,738) $(28,006) 17 4/13 Close $17.25 $0.95 $(170,000) (573,880) $(15,197) (1,266,369) (312,796) $48, /14 Open $17.15 $0.96 $10,000 (554,256) $67,426 (1,131,531) (294,729) $73, /14 Close $17.17 $0.90 $(60,000) (558,556) $(71,048) (1,247,590) (322,882) $(76,922) 20 4/15 Open $17.19 $0.88 $(20,000) (563,056) $(31,134) (1,283,260) (323,152) $(12,618) 21 4/15 Close $17.03 $0.76 $(120,000) (530,051) $(29,874) (1,257,855) (345,264) $(16,645) 22 4/18 Open $16.88 $0.72 $(40,000) (499,925) $39,543 (1,116,581) (327,764) $78, /18 Close $16.73 $0.61 $(110,000) (464,410) $(34,978) (1,192,206) (392,637) $(75,117) 24 4/19 Open $16.65 $0.60 $(10,000) (451,238) $27,183 (1,064,412) (360,286) $70, /19 Close $16.61 $0.54 $(60,000) (435,804) $(41,921) (1,113,736) (384,731) $(38,129) 26 4/20 Open $16.90 $0.69 $150,000 (501,908) $23,646 (1,160,274) (332,374) $23, /20 Close $16.93 $0.67 $(20,000) (506,748) $(35,024) (1,221,617) (342,298) $(33,370) 28 4/21 Open $16.94 $0.70 $30,000 (510,050) $24,966 (1,149,299) (311,290) $58, /21 Close $16.94 $0.69 $(10,000) (509,522) $(9,967) (1,180,323) (322,965) $(21,438) 30 4/25 Open $16.93 $0.68 $(10,000) (507,385) $(4,871) (1,140,368) (307,041) $21, /25 Close $17.10 $0.77 $90,000 (544,628) $3,778 (1,242,589) (301,709) $(14,187) 32 4/26 Open $17.21 $0.79 $20,000 (570,411) $(39,873) (1,384,528) (314,535) $(48,188) 33 4/26 Close $17.52 $1.02 $230,000 (634,064) $53,210 (1,455,473) (273,654) $11, /27 Open $17.60 $1.07 $50,000 (649,297) $(684) (1,477,845) (263,454) $(8,002) 35 4/27 Close $17.19 $0.85 $(220,000) (563,457) $46,254 (1,274,789) (303,580) $36, /28 Open $17.19 $0.90 $50,000 (562,356) $50,037 (1,167,397) (267,172) $88, /28 Close $17.29 $0.90 $ (584,850) $(56,199) (1,329,928) (294,129) $(82,897) 38 4/29 Open $17.32 $0.94 $40,000 (589,731) $22,493 (1,278,237) (265,554) $53, /29 Close $17.52 $1.02 $80,000 (633,742) $(37,908) (1,461,522) (281,132) $(91,000) 40 5/2 Open $17.51 $1.03 $10,000 (629,690) $16,379 (1,425,127) (274,990) $19, /2 Close $17.58 $1.06 $30,000 (645,301) $(14,037) (1,477,173) (271,803) $(19,016) 42 5/3 Open $17.53 $1.06 $ (631,589) $32,307 (1,395,717) (261,620) $45, /3 Close $17.41 $0.98 $(80,000) (608,771) $(4,168) (1,343,564) (263,096) $27, /4 Open $17.37 $0.98 $ (598,307) $24,391 (1,265,720) (251,978) $34, /4 Close $17.47 $1.02 $40,000 (620,238) $(19,792) (1,379,658) (270,285) $(57,629) 46 5/5 Open $17.48 $0.98 $(40,000) (627,424) $(46,162) (1,451,387) (270,524) $(21,253) 47 5/5 Close $17.48 $1.00 $20,000 (624,148) $20,041 (1,418,263) (276,865) $(8,968) 48 5/6 Open $17.63 $1.07 $70,000 (657,851) $(23,582) (1,520,300) (261,449) $(22,545) 49 5/6 Close $17.56 $1.04 $(30,000) (657,851) $16,092 (1,520,300) (261,449) $34, Final $110,000 (584,004) 83, , P age

18 Section IV: Position 2 Long Put Period to Period Parameters and P&L Date Time Equity Option Naked P&L Delta Shares Long Delta Neutral P&L Gamma Puts Short Delta Shares Long Delta Gamma P&L 0 4/1 Open $17.29 $0.37 $ 253,012 $ (709,149) 414,146 $ 1 4/1 Close $17.04 $0.41 $40, ,744 $(23,271) (831,154) 443,922 $(70,103) 2 4/4 Open $17.01 $0.39 $(20,000) 283,423 $(28,563) (885,096) 468,080 $(41,909) 3 4/4 Close $17.06 $0.39 $ 278,218 $14,151 (840,963) 452,269 $28, /5 Open $17.16 $0.37 $(20,000) 264,063 $7,802 (795,567) 443,087 $19, /5 Close $17.22 $0.36 $(10,000) 256,528 $5,825 (796,036) 452,162 $(7,396) 6 4/6 Open $17.44 $0.29 $(70,000) 222,180 $(13,582) (779,834) 473,666 $(33,540) 7 4/6 Close $18.07 $0.21 $(80,000) 157,824 $59,958 (676,067) 480,592 $30, /7 Open $18.16 $0.20 $(10,000) 150,346 $4,194 (674,753) 486,624 $(6,669) 9 4/7 Close $17.91 $0.28 $80, ,691 $42,403 (702,450) 478,635 $35, /8 Open $17.97 $0.28 $ 186,537 $11,369 (673,131) 467,974 $33, /8 Close $17.65 $0.29 $10, ,054 $(49,704) (725,299) 466,548 $(58,128) 12 4/11 Open $17.71 $0.30 $10, ,274 $22,529 (646,666) 429,464 $86, /11 Close $17.47 $0.31 $10, ,615 $(40,000) (743,725) 456,562 $(91,365) 14 4/12 Open $17.50 $0.30 $(10,000) 221,082 $(3,247) (717,551) 446,058 $17, /12 Close $17.44 $0.31 $10, ,805 $(3,280) (750,139) 456,542 $(22,895) 16 4/13 Open $17.50 $0.32 $10, ,066 $23,653 (732,227) 453,284 $21, /13 Close $17.25 $0.33 $10, ,002 $(46,531) (789,659) 453,169 $(35,402) 18 4/14 Open $17.15 $0.35 $20, ,469 $(4,716) (883,758) 489,829 $(57,957) 19 4/14 Close $17.17 $0.35 $ 258,805 $5,192 (801,546) 447,708 $67, /15 Open $17.19 $0.33 $(20,000) 251,821 $(14,841) (779,265) 438,770 $10, /15 Close $17.03 $0.36 $30, ,486 $(10,308) (795,004) 421,393 $12, /18 Open $16.88 $0.37 $10, ,543 $(31,191) (895,591) 447,728 $(62,624) 23 4/18 Close $16.73 $0.45 $80, ,337 $35,950 (838,781) 389,539 $67, /19 Open $16.65 $0.44 $(10,000) 338,484 $(36,368) (939,486) 423,932 $(59,166) 25 4/19 Close $16.61 $0.45 $10, ,442 $(3,561) (897,879) 391,299 $35, /20 Open $16.90 $0.35 $(100,000) 286,462 $156 (861,865) 432,577 $(21,072) 27 4/20 Close $16.93 $0.34 $(10,000) 280,201 $(1,425) (818,587) 414,817 $28, /21 Open $16.94 $0.31 $(30,000) 270,852 $(27,216) (870,096) 443,792 $(47,650) 29 4/21 Close $16.94 $0.32 $10, ,624 $9,983 (847,226) 431,680 $18, /25 Open $16.93 $0.30 $(20,000) 269,247 $(22,754) (876,910) 444,931 $(18,624) 31 4/25 Close $17.10 $0.27 $(30,000) 242,807 $15,755 (804,771) 438,301 $12, /26 Open $17.21 $0.25 $(20,000) 227,178 $6,693 (722,268) 411,989 $38, /26 Close $17.52 $0.21 $(40,000) 188,018 $30,411 (687,062) 435,641 $(8,019) 34 4/27 Open $17.60 $0.20 $(10,000) 178,269 $5,029 (676,661) 439,354 $5, /27 Close $17.19 $0.28 $80, ,141 $6,898 (784,444) 442,001 $(24,398) 36 4/28 Open $17.19 $0.25 $(30,000) 228,861 $(30,015) (856,607) 481,718 $(69,263) 37 4/28 Close $17.29 $0.25 $ 221,161 $22,872 (751,920) 439,760 $71, /29 Open $17.32 $0.22 $(30,000) 207,750 $(23,379) (782,327) 461,362 $(40,289) 39 4/29 Close $17.52 $0.22 $ 192,355 $41,537 (684,218) 433,618 $71, /2 Open $17.51 $0.22 $ 192,958 $(1,936) (701,692) 441,848 $(13,140) 41 5/2 Close $17.58 $0.21 $(10,000) 184,002 $3,495 (676,969) 436,849 $13, /3 Open $17.53 $0.21 $ 187,445 $(9,212) (716,478) 452,520 $(31,080) 43 5/3 Close $17.41 $0.21 $ 195,820 $(22,505) (744,289) 453,102 $(19,516) 44 5/4 Open $17.37 $0.21 $ 199,078 $(7,845) (790,064) 472,701 $(25,996) 45 5/4 Close $17.47 $0.22 $10, ,907 $29,895 (724,817) 449,559 $45, /5 Open $17.48 $0.20 $(20,000) 186,390 $(18,053) (688,996) 432,293 $15, /5 Close $17.48 $0.22 $20, ,214 $19,988 (705,088) 440,079 $6, /6 Open $17.63 $0.19 $(30,000) 171,972 $(730) (657,765) 432,711 $15, /6 Close $17.56 $0.19 $ 171,972 $(12,049) (683,606) 432,711 $(22,631) 50 Final $(180,000) (60,541) (78,980) 17 P age

19 Section V: Position 3 Short Call Period to Period Parameters and P&L Date Time Equity Option Naked P&L Delta Shares Long Delta Neutral P&L Gamma Puts Long Delta Shares Long Delta Gamma P&L 0 4/1 Open $17.29 $0.89 $ 585,486 $ 1,401, ,292 $ 1 4/1 Close $17.04 $0.73 $160, ,468 $13,587 1,259, ,271 $(40,986) 2 4/4 Open $17.01 $0.74 $(10,000) 525,265 $(25,982) 1,178, ,338 $(61,130) 3 4/4 Close $17.06 $0.73 $10, ,654 $36,226 1,282, ,657 $63, /5 Open $17.16 $0.76 $(30,000) 558,881 $23,528 1,367, ,822 $(7,469) 5 4/5 Close $17.22 $0.86 $(100,000) 569,880 $(66,506) 1,283, ,853 $(47,281) 6 4/6 Open $17.44 $0.98 $(120,000) 616,505 $5,334 1,401, ,425 $18, /6 Close $18.07 $1.42 $(440,000) 731,406 $(51,644) 1,629, ,596 $10, /7 Open $18.16 $1.47 $(50,000) 750,772 $15,776 1,686, ,993 $18, /7 Close $17.91 $1.32 $150, ,916 $(37,745) 1,545, ,904 $(22,285) 10 4/8 Open $17.97 $1.30 $20, ,787 $62,007 1,683, ,302 $44, /8 Close $17.65 $1.11 $190, ,745 $(42,622) 1,489, ,514 $(33,117) 12 4/11 Open $17.71 $1.10 $10, ,264 $49,420 1,607, ,589 $20, /11 Close $17.47 $0.97 $130, ,683 $(33,070) 1,445, ,829 $(30,131) 14 4/12 Open $17.50 $0.95 $20, ,966 $38,698 1,539, ,568 $46, /12 Close $17.44 $0.97 $(20,000) 616,503 $(58,201) 1,385, ,123 $(91,113) 16 4/13 Open $17.50 $0.94 $30, ,291 $66,949 1,547, ,030 $54, /13 Close $17.25 $0.81 $130, ,106 $(29,616) 1,389, ,492 $(20,282) 18 4/14 Open $17.15 $0.77 $40, ,625 $(17,949) 1,275, ,543 $(48,220) 19 4/14 Close $17.17 $0.75 $20, ,044 $31,076 1,351, ,459 $36, /15 Open $17.19 $0.75 $ 566,287 $11,184 1,381, ,232 $3, /15 Close $17.03 $0.63 $120, ,091 $29,357 1,326, ,790 $8, /18 Open $16.88 $0.58 $50, ,060 $(29,098) 1,163, ,176 $(63,528) 23 4/18 Close $16.73 $0.48 $100, ,727 $26,459 1,198, ,534 $62, /19 Open $16.65 $0.47 $10, ,000 $(25,848) 1,010, ,081 $(102,663) 25 4/19 Close $16.61 $0.41 $60, ,296 $42,731 1,150, ,399 $91, /20 Open $16.90 $0.52 $(110,000) 489,960 $9,539 1,360, ,566 $37, /20 Close $16.93 $0.54 $(20,000) 498,695 $(5,333) 1,327, ,578 $(35,419) 28 4/21 Open $16.94 $0.53 $10, ,604 $14,954 1,359, ,686 $4, /21 Close $16.94 $0.52 $10, ,971 $9,967 1,369, ,845 $(3,655) 30 4/25 Open $16.93 $0.53 $(10,000) 498,023 $(15,033) 1,315, ,517 $(18,364) 31 4/25 Close $17.10 $0.63 $(100,000) 545,250 $(15,369) 1,393, ,629 $(27,024) 32 4/26 Open $17.21 $0.65 $(20,000) 578,412 $39,942 1,588, ,756 $43, /26 Close $17.52 $0.87 $(220,000) 655,713 $(40,730) 1,717, ,490 $(15,083) 34 4/27 Open $17.60 $0.95 $(80,000) 670,850 $(27,586) 1,719, ,791 $(8,603) 35 4/27 Close $17.19 $0.69 $260, ,154 $(15,092) 1,458, ,956 $(6,542) 36 4/28 Open $17.19 $0.69 $ 569,154 $(37) 1,458, ,956 $(57) 37 4/28 Close $17.29 $0.77 $(80,000) 593,268 $(23,122) 1,463, ,282 $(38,605) 38 4/29 Open $17.32 $0.75 $20, ,068 $37,759 1,575, ,852 $30, /29 Close $17.52 $0.87 $(120,000) 655,502 $974 1,713, ,517 $35, /2 Open $17.51 $0.89 $(20,000) 648,921 $(26,598) 1,652, ,788 $(29,080) 41 5/2 Close $17.58 $0.90 $(10,000) 673,868 $35,382 1,793, ,275 $52, /3 Open $17.53 $0.90 $ 654,058 $(33,738) 1,671, ,566 $(46,369) 43 5/3 Close $17.41 $0.77 $130, ,394 $51,470 1,744, ,716 $39, /4 Open $17.37 $0.77 $ 619,776 $(25,417) 1,647, ,027 $(36,265) 45 5/4 Close $17.47 $0.81 $(40,000) 649,635 $21,937 1,773, ,911 $31, /5 Open $17.48 $0.81 $ 653,064 $6,454 1,791, ,212 $9, /5 Close $17.48 $0.82 $(10,000) 651,450 $(10,042) 1,777, ,616 $(45,886) 48 5/6 Open $17.63 $0.90 $(80,000) 697,782 $17,675 1,968, ,322 $35, /6 Close $17.56 $0.86 $40, ,782 $(8,890) 1,881, ,322 $(5,691) 50 Final $30,000 33,114 (83,280) 18 P age

20 Section VI: Position 4 Short Put Period to Period Parameters and P&L Date Time Equity Option Naked P&L Delta Shares Short Delta Neutral P&L Gamma Puts Long Delta Shares Short Delta Gamma P&L 0 4/1 Open $17.29 $0.30 $ (235,704) $ 713,621 (417,815) $ 1 4/1 Close $17.04 $0.32 $(20,000) (263,074) $38, ,136 (422,058) $29, /4 Open $17.01 $0.30 $20,000 (260,761) $27, ,452 (445,662) $48, /4 Close $17.06 $0.31 $(10,000) (258,551) $(23,019) 779,573 (417,582) $(53,758) 4 4/5 Open $17.16 $0.26 $50,000 (234,646) $24, ,390 (408,760) $5, /5 Close $17.22 $0.26 $ (229,657) $(14,062) 778,885 (443,871) $34, /6 Open $17.44 $0.22 $40,000 (197,941) $(10,509) 713,494 (439,873) $(14,666) 7 4/6 Close $18.07 $0.14 $80,000 (130,479) $(44,689) 613,739 (448,892) $(7,844) 8 4/7 Open $18.16 $0.13 $10,000 (123,302) $(1,734) 592,816 (445,070) $(11,419) 9 4/7 Close $17.91 $0.17 $(40,000) (149,402) $(9,166) 647,032 (453,515) $13, /8 Open $17.97 $0.15 $20,000 (138,575) $11, ,975 (431,693) $(29,077) 11 4/8 Close $17.65 $0.20 $(50,000) (175,610) $(5,647) 671,511 (441,683) $19, /11 Open $17.71 $0.17 $30,000 (159,001) $19, ,098 (422,569) $(13,713) 13 4/11 Close $17.47 $0.21 $(40,000) (191,482) $(1,829) 691,698 (432,092) $18, /12 Open $17.50 $0.21 $ (189,371) $(5,732) 649,493 (413,056) $(32,502) 15 4/12 Close $17.44 $0.20 $10,000 (189,256) $21, ,010 (445,122) $59, /13 Open $17.50 $0.18 $20,000 (175,819) $8, ,320 (412,541) $(39,683) 17 4/13 Close $17.25 $0.23 $(50,000) (217,746) $(6,034) 719,842 (416,865) $13, /14 Open $17.15 $0.23 $ (225,381) $21, ,816 (435,507) $34, /14 Close $17.17 $0.23 $ (223,846) $(4,493) 740,087 (415,221) $(28,853) 20 4/15 Open $17.19 $0.22 $10,000 (218,720) $5, ,683 (409,812) $(2,742) 21 4/15 Close $17.03 $0.24 $(20,000) (239,653) $15, ,122 (397,491) $(6,238) 22 4/18 Open $16.88 $0.25 $(10,000) (258,894) $25, ,611 (421,261) $47, /18 Close $16.73 $0.32 $(70,000) (300,771) $(31,149) 834,239 (373,511) $(53,896) 24 4/19 Open $16.65 $0.28 $40,000 (300,994) $64, ,848 (426,625) $85, /19 Close $16.61 $0.34 $(60,000) (324,695) $(47,941) 869,565 (358,518) $(90,242) 26 4/20 Open $16.90 $0.27 $70,000 (263,536) $(24,141) 734,973 (360,107) $(32,438) 27 4/20 Close $16.93 $0.24 $30,000 (249,709) $22, ,093 (375,564) $26, /21 Open $16.94 $0.23 $10,000 (245,380) $7, ,362 (368,125) $(3,746) 29 4/21 Close $16.94 $0.22 $10,000 (241,633) $10, ,352 (365,155) $2, /25 Open $16.93 $0.22 $ (242,104) $2, ,096 (378,545) $13, /25 Close $17.10 $0.17 $50,000 (202,838) $8, ,682 (391,316) $20, /26 Open $17.21 $0.15 $20,000 (181,157) $(2,299) 629,552 (364,140) $(30,967) 33 4/26 Close $17.52 $0.11 $40,000 (138,262) $(16,147) 582,180 (381,743) $9, /27 Open $17.60 $0.11 $ (134,192) $(11,052) 581,445 (390,063) $5, /27 Close $17.19 $0.17 $(60,000) (193,987) $(4,973) 685,574 (390,197) $3, /28 Open $17.19 $0.17 $ (193,987) $12 685,574 (390,197) $ /28 Close $17.29 $0.14 $30,000 (169,024) $10, ,525 (405,513) $26, /29 Open $17.32 $0.13 $10,000 (161,081) $4, ,545 (383,943) $(20,872) 39 4/29 Close $17.52 $0.12 $10,000 (143,888) $(22,206) 583,685 (382,607) $(22,826) 40 5/2 Open $17.51 $0.12 $ (144,482) $1, ,063 (392,638) $16, /2 Close $17.58 $0.12 $ (140,629) $(10,105) 557,443 (375,643) $(31,515) 42 5/3 Open $17.53 $0.12 $ (142,759) $7, ,405 (391,392) $25, /3 Close $17.41 $0.13 $(10,000) (155,223) $7, ,379 (363,748) $(23,662) 44 5/4 Open $17.37 $0.13 $ (157,786) $6, ,805 (376,083) $20, /4 Close $17.47 $0.12 $10,000 (146,532) $(5,769) 563,779 (366,251) $(19,082) 46 5/5 Open $17.48 $0.12 $ (145,826) $(1,456) 558,267 (364,584) $(5,097) 47 5/5 Close $17.48 $0.10 $20,000 (133,691) $20, ,635 (366,528) $25, /6 Open $17.63 $0.09 $10,000 (119,525) $(10,045) 507,923 (354,419) $(19,992) 49 5/6 Close $17.56 $0.10 $(10,000) (119,525) $(1,626) 531,438 (354,419) $2, Final $0.30 $200,000 76,481 15, P age