Samples and Instructions

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Options - Vanilla
Options - Exotic
Interest rate derivatives and convertible bonds
Employee stock options
Historical volatility, correlation, and price distribution
Probability analysis
Hedging & portfolio insurance; trading profitability
Futures & variance swaps
Value at Risk (VaRtools)
Portfolio analysis
Portfolio asset allocation, optimization & simulation
On-Line data
Utilities
and convertible bonds
relation, and price distribution
urance; trading profitability
n, optimization & simulation
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Historic and Implied Volatility Calculators
HoadleyOptions1
Returns the price and hedge parameters of European
or American options. Uses absolute dates.
Index
Help
Example
Inputs
Calculation_type P
Pricing_model (European or American) 1
Option_type C
Strike 13.00
Spot 12.50
Deal_date 14-Jan-00
Expiry_date 25-Mar-00
Volatility 30%
Risk_free_rate 5.75%
Optional arguments:
Dividend_type D
Dividend_details: Amt Ex-div

Dividend 1 0.20 01-Feb-00
Dividend 2 0.50 01-Mar-00
Binomial_steps 100
Results Calc type Value

Price P #MACRO?
Delta D #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
Theta T #MACRO?
Rho R #MACRO?
http://www.hoadley.net/options
C
P
1
2
3
N
C
D
HoadleyOptions2
or American options. Uses days rather than dates.
Index
Help
Example
Inputs
Calculation_type P
Option_type C
Strike 13.00
Spot 12.50
Days 365
Volatility 30%
Optional arguments:
Dividend_type D
Dividends Amt Ex Div

Dividend 1 0.25 90
Dividend 2 0.50 310
Binomial steps 100
Results Calc Type Value

Price: P #MACRO?
Delta: D #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
Theta T #MACRO?
Rho R #MACRO?
Example with user function in VBA module:

Price: P #VALUE!
Delta: D #VALUE!
Gamma G #VALUE!
Vega V #VALUE!
Theta T #VALUE!
Rho R #VALUE!
C
P
1
2
3
N
C
D
HoadleyImpliedVolatility1
Returns the implied volatility of an option.
Uses absolute dates.
Index
Help
Example
Inputs
Option_type C
Strike 13.00
Spot 12.50
Deal_date 14-Jan-00
Option_price 0.2560
Optional arguments:
Dividend_type D
Amt ex-div
Dividend_details 0.20 01-Feb-00
0.50 01-Mar-00
Binomial_steps 50
Results
Implied volatility #MACRO?
C
P
1
2
3
N
C
D
HoadleyImpliedVolatility2
Returns the implied volatility of an option. Uses days
rather than dates.
Index
Help
Example
Inputs
Option_type C
Strike 13.00
Spot 12.50
Days 365
Option_price 1.205
Optional arguments:
Dividend_type D
Dividends 0.75
Days_to_ex_dates 310
Binomial_steps 50
Results
Used from a worksheet cell: #MACRO?
Used from a VBA module: #VALUE!
C
P
1
2
3
N
C
D
HoadleyPercentToTarget1
Returns the percentage that the underlying spot price
needs to change to produce a target option price.
A target of 100% produces "percent to double".
Index
Help
Example
Inputs
Calculation_type P
Option_type C
Strike 13.00
Spot 12.50
Value_date 14-Jan-00
Volatility 30%
Optional arguments:
Target_percent 100%
Option_price
Dividend_type D
Dividend_details:
Amt Ex-div
Dividend 2 0.50 01-Mar-00
Binomial_steps 50

Percent change in spot price P #MACRO?
Target spot price TSP #MACRO?
Current option price COP #MACRO?

Target option price TOP #MACRO?
C
P
1
2
3
N
C
D
HoadleyPercentToTarget2
Returns the percentage that the underlying spot price
needs to change to produce a target option price.
A target of 100% produces "percent to double".
Help Index
Example
Inputs
Calculation_type P
Option_type C
Strike 13.00
Spot 12.50
Days 365
Volatility 30%
Optional arguments:
Target_percent 100%
Option_price
Dividend_type D
Dividends 0.75
Days_to_ex_dates 310
Binomial steps 50

Percent change in spot price P #MACRO?
Target spot price TSP #MACRO?
Current option price COP #MACRO?

Target option price TOP #MACRO?
C
P
1
2
3
N
C
D
HoadleyImply1
Returns a value for strike, spot, days risk free
rate or volatility implied by either a given option price or
delta. Uses absolute dates.
Help Index
Example
Inputs Results (implied underlying values)
Solve_for S
Pricing_model (European or American) 1 Target_type Target_Value 1 Strike
Option_type P 1 Option price #MACRO? #MACRO?
Strike 100.00 2 Delta #MACRO? #MACRO?
Spot 98.70 Seed_v
Value_date 20-Dec-03
Expiry_date 30-Jun-04 (actual days: 193)
Volatility 30%
Target_type
Target_Value
Seed_value
Dividend_type D
Dividend Details Amt Ex-div

1.50 01-Feb-04
1.80 01-Jun-04
Binomial_steps 100
1
2
3
C
P
N
C
D
Solve_for
2 Spot 3 Days 4 Vol'tilty 5 Rate
#MACRO? #MACRO? #MACRO? ###
#MACRO? #MACRO? ###
Seed_value (optional)
200
HoadleyImply2
Returns a value for strike, spot, days risk free
rate or volatility implied by either a given option price or
Delta. Uses days.
Help Index
Example
Inputs Results (implied underlying values)
Solve_for Solv
Pricing_model (European or American) 1 Target_type Target_Value 1 Strike
Option_type P 1 Option price #MACRO? #MACRO?
Strike 60.00 2 Delta #MACRO? #MACRO?
Spot 58.00 Seed_valu
Days_to_expiry 120
Volatility 30%
Target_type
Target_Value
Seed_value
Dividend_type D
Dividends 1.5
Days_to_ex_dates 25
Binomial_steps 100
1
2
3
C
P
N
C
D
Solve_for
2 Spot 3 Days 4 Vol'tilty 5 Rate
#MACRO? #MACRO? #MACRO? ###
#MACRO? #MACRO? ###
Seed_value (optional)
50
HoadleyBinomialTS
Option pricing, "greeks" and implied volatility with time dependent interest
rates and yields. ("Term Structure")
This function is only available in the full version of the add-in
Help Index
Example
Inputs
Calculation_type
Pricing_model (2=American; 3=European) 2
Option_type P
Strike 100.00
Spot 100.00
Days 1,825
Volatility 20.0%
Term Stucture Years Rate Div Yield

0.0 2.00% 2.00%
2.0 3.00% 2.50%
4.0 4.00% 3.00%
5.0 5.00% 3.50%
Optional arguments:
Dividend_type D
Dividend details Amt Days to Ex

Dividend 1 2.00 23
Dividend 2 3.00 383
Dividend 3 3.00 743
Dividend 4 4.00 1,103
Dividend 5 4.00 1,463
Dividend 6 4.00 1,823
Option_price
Binomial_steps 200
Days_to_exercise
2
3
C
P
N
D
C
Results Pricing Comparison
Normal Pricing
Calc (Constant with Term
Type Rates) Structure
Constant interest rate used for normal pricing: 5.0%
Constant yield used for normal pricing: 3.5%
Price P #MACRO? #MACRO?
Delta D #MACRO? #MACRO?
Gamma G #MACRO? #MACRO?
Vega V #MACRO? #MACRO?
Implied Volatility (using above price) IV #MACRO?
For European options on assets which do not pay discrete dividends, or for
Americal calls on assets with no dividends (discrete or continuously compounded),
HoadleyBinomialTS will return the same results as HoadleyOptions2 (with very slight
differences due to the discrete approximations inherent in binomial trees).
For European options paying discrete dividends, American Puts with or without
dividends, or American calls with discrete or continuous dividends,
HoadleyBinomialTS may return significantly different results from the HoadleyOptions2
function depending on steepness of yield curve, and assumptions regarding the
constant rate and dividend yield used in HoadleyOptions2.
This can be demonstrated by changing the pricing_model and dividend_type

arguments on this sheet.
See Help for more information.

HoadleyTrinomialTS
Option pricing, "greeks" and implied volatility with time dependent interest rates, yields and volatilities.
This function is only available in the full version of the add-in purchased under a commercial license.
Help Index
Example
Inputs
Calculation_type
Option_type P
Strike 100.00
Spot 100.00
Days 1,825
Volatility term structure Years Volatility

0.0 35.00%
0.5 30.00%
1.0 25.00%
2.0 23.00%
5.0 17.00%
Yield Term Stucture Years RF Rate Div Yield

0.0 2.00% 2.00%
2.0 3.00% 2.50%
4.0 4.00% 3.00%
5.0 5.00% 3.50%
Optional arguments:
Dividend_type D

Dividend 1 2.00 23
Dividend 2 3.00 383
Dividend 3 3.00 743
Dividend 4 4.00 1,103
Dividend 5 4.00 1,463
Dividend 6 4.00 1,823
Option_price
Trinomial_steps 200
Days_to_exercise
Example 2: Both risk free and risky rates specified

Inputs
Calculation_type
Option_type C
Strike 100.00
Spot 105.00
Days 720
Volatility term structure Years Volatility
0.0 30.00%
Yield Term Stucture Years RF Rate Div Yield Risky Rate

0.0 2.00% 2.00% 5.00%
1.8 3.00% 2.50% 5.50%
Optional arguments:
Dividend_type D

Dividend 1 2.00 80
Dividend 2 3.00 370
Option_price
Trinomial_steps 200
Days_to_exercise
2
3
C
P
N
D
C
ds and volatilities.
a commercial license.

Price P #MACRO?
Delta D #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
Implied Volatility (using above price) IV #MACRO?
See comments on the HoadleyBinomialTS sample sheet regarding

comparison with normal option pricing.
The HoadleyBinomialTS function will return the same results as the

HoadleyTrinomialTS function if the volatility used as input to the
HoadleyBinomialTS function is the implied volatility produced by the
HoadleyTrinomialTS function.
See Help for additional information.

Price P #MACRO?
Delta D #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
This example illustrates using two interest rates: the risk free rate
and a risky rate.
The risk free rate defines the expected return of the underlying asset
in a risk-neutral world. The risky rate is used to discount the
expected option payoff.
HoadleyOptionsNLN
Returns an European or American option price based on a Non LogNormal underlying price
distribution. Uses Rubinstein implied binomial trees to account for skewness & kurtosis.
Index
Help
Example
Inputs
Calculation_type P
Pricing_model (European or American) 1 Volatility Smile
26%
Option_type C
Strike 20.00
Spot 20.00 25%
Volatility
Days 182.5
Volatility 25% 24%
Risk_free_rate 5%
23%
Optional arguments:
Dividend_type (optional) D
22%
Dividends (optional) 0.50
Days_to_ex_dates (optional) 20.0
21%
Skewness (0ptional) -0.5 20%

Kurtosis (optional) 1.8 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
. 0 . 5 .0 .5 .0 . 5 . 0 . 5 . 0 . 5 . 0 . 5 . 0 . 5 . 0
15 15 16 16 17 17 18 18 19 19 20 20 21 21 22 2
Strike
Binomial_steps (optional) 100
Results - Calculation of volatility smile

Gap between strike prices: 0.50
Strike prices 15.00 15.50 16.00 16.50 17.00 17.50 18.00
Non-log normal price ### ### ### ### ### ### ###
Log normal option price ### ### ### ### ### ### ###
Implied volatility ### ### ### ### ### ### ###
Notes:
1. The non-log normal and log normal prices are shown above for interest only. They are not
used in calculating the volatility smile.
2. You can use Excel solver to simultaneously calculate the "true" volatility, skewness and
kurtosis from observed market option prices by minimizing the sum of the squares of the
differences between the non-log normal prices and the market prices.
"True" volatility: 25% 25% 25% 25% 25% 25% 25%
C
P
1
2
3
N
C
D
Volatility Smile
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
. 5 . 0 . 5 .0 . 5 . 0 . 5 . 0 . 5 . 0 . 5 . 0 . 5 .0 .5
18 19 19 20 20 21 21 22 22 23 23 24 24 25 25
Strike
18.50 19.00 19.50 20.00 20.50 21.00 21.50 22.00 22.50 23.00 23.50
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
25% 25% 25% 25% 25% 25% 25% 25% 25% 25% 25%
24.00 24.50 25.00 25.50
### ### ### ###
### ### ### ###
### ### ### ###
25% 25% 25% 25%
HoadleySABRBlackVol
Returns the Black-76 equivalent volatility calculated using the SABR
stochastic volatility model.
Index
Help
Example
Inputs
Underlying_type S 41% Volatility Smile from SABR Model
Strike
Underlying_price 97.04 40%
Days 365
Volatility
40%
Volatility_ATM 40%
Risk_free_rate 5.0% 39%
Beta 1 39%
VolVol 75%
Correlation -0.25 38%
38%
Optional argument
37%
Dividend_yield 2.0%
37%
36%
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
. 0 . 0 .0 . 0 . 0 . 0 . 0 .0 . 0 . 0 .0 .0 .0 . 0 .0 . 0 .0 . 0
60 65 70 75 80 85 90 95 100 105 110 115 120 125 130 135 140 145 1
Strike
Results 1: Calculation of volatility smile using Black-76 equivalent volatility

Gap between strike prices: 5
Strike prices 60.00 65.00 70.00 75.00 80.00 85.00 90.00 95.00
Black-76 equivalent volatility ### ### ### ### ### ### ### ###
Forward price:
Results 2: Using HoadleySABRCalibrate to recover VolVol and correlation
Correl- Iter-
VolVol and correlation equal the VolVol and correlation used to VolVol ation ations Sum
calculate the Black-76 equivalent volatility in "Results 1" ### ### ### ###
40% 40% 40% 40% 40% 40% 40% 40%
F
S
mile from SABR Model
00 00 00 00 00 00 00 00 00 00 00 00 00
5. 10. 15. 20. 25. 30. 35. 40. 45. 50. 55. 60. 65.
1 1 1 1 1 1 1 1 1 1 1 1
Strike
ATM
100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 145.00 150.00 155.00
### ### ### ### ### ### ### ### ### ### ### ###
###
40% 40% 40% 40% 40% 40% 40% 40% 40% 40% 40% 40%
160.00 165.00
### ###
40% 40%
HoadleySABROption
Returns the option value and greeks for an option using the SABR stochastic volatility model.
Index
Help
Example
Inputs This example calculates futures option values and Greeks for a rang
Calculation_type 1. Using the SABR Stochastic volatility model
Option_type C 2. Using the Black-76 model (which is the Black-Scholes model with
Underlying_type F volatility used in the Black-76 model is the Black-76 equivalent volati
Strike
The example illustrates that:
Underlying_price 100.00 1. The option values are the same for both methods (by definition)
Days 182.5 2. Some Greeks will be different. In particular delta and gamma will
Volatility_ATM 30% using the SABR model captures the dynamics of the volatility smile.
Risk_free_rate 4.50% improve the effectiveness of portfolio hedging.
Beta 0.5
VolVol 150%
Correlation -0.55
Optional argument
Dividend_yield
Results Calc Type

Strike
Black-76 equivalent volatility
Option value P Value using SABR

P Value using HoadleyOptions2 & Black-76 Volatility
Delta D Delta using SABR

D Delta using HoadleyOptions2 & Black-76 Volatility
Gamma G Gamma using SABR

G Gamma using HoadleyOptions2 & Black-76 Volatility
Vega V Vega using SABR

V Vega using HoadleyOptions2 & Black-76 Volatility
Theta T Theta using SABR

T Theta using HoadleyOptions2 & Black-76 Volatility
Rho (Futures option) R Rho using SABR

R Rho using HoadleyOptions2 & Black-76 Volatility
C
P
F
S
ues and Greeks for a range of strikes using two methods:
del
Black-Scholes model with the dividend yield set equal to the risk free rate). The
Black-76 equivalent volatility calculated using the HoadleySABRBlackVol function.
methods (by definition)

ular delta and gamma will be significantly different as the way they are calculated
ics of the volatility smile. This illustrates the potential of the SABR model to
ging.
Results by Strike
60.00 70.00 80.00 90.00 100.00 110.00 120.00 130.00 140.00 150.00 160.00
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ### ### ###
HoadleySABRCalibrate
Calibrates the SABR model with market data. The function returns the volatility
of the volatility (VolVol) and the correlation of the volatility with the underlying.
Index
Help
Example
Inputs
Underlying_type S Market IV vs SABR Calibrated Volati
Market_strikes 80%
Market_vols
Underlying_price 871.63 70%
Days 60
Volatility
60%
Volatility_ATM 41.0%
Risk_free_rate 2.00% 50%
Beta 1
40%
Optional argument
Dividend_yield 3.00% 30%
20%
Results From Calibration
10%
Sum of
Squared 0%
VolVol Correlation Iterations Differences
475
625
645
665
685
705
725
825
845
865
885
905
520
540
585
745
765
785
805
925
### #MACRO? #MACRO? #MACRO? Strikes
Option Type Call
Market Inputs SABR vs Black-Scholes

Implied SABR Actual Mkt SABR Black-76 SABR
Strike Volatility Black Vol Option Price Option Price Delta Delta
475.00 67.9% #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
510.00 #MACRO? #MACRO? #MACRO?
Call
Put
rket IV vs SABR Calibrated Volatility
Market
Volatility
1005
1025
685
705
725
825
845
865
885
905
965
1045
1065
1085
1105
1125
1175
745
765
785
805
925
945
985
Strikes
This example is the S&P 500 index option chain (SPX)

traded on CBOE. The data is from 23rd December
2008 for expiry 21st February 2009.
The implied volatility (column C) was calculated by

the Hoadley Implied Volatility Calculator. The strikes
and IVs were copied and pasted from the IV
Calculator volatility surface sheet. Interpolated
volatilities (ie where there were no trades) have
been removed. Very low strikes and very high
strikes have also been removed as the options are
very thinly traded and the data unreliable.
At the time this snapshot was taken volatility ATM

was unusually high.
The chart shows that the SABR model provides a

good fit to the market data especially near the
money. This is true for any value of beta (between 0
and 1).
The deltas near the money are significantly different

from Black-Scholes deltas because, unlike Black-
Scholes/Black-76 the SABR model takes into account
the dynamics of the volatility smile. Although not
shown here the same is true for gamma.
The SABR model, providing a self-consistent model

across all strikes, is therefore likely to provide a
and 1).
The deltas near the money are significantly different

from Black-Scholes deltas because, unlike Black-
Scholes/Black-76 the SABR model takes into account
the dynamics of the volatility smile. Although not
shown here the same is true for gamma.
The SABR model, providing a self-consistent model

across all strikes, is therefore likely to provide a
better basis for hedging option portfolio risk than
the Black-Scholes model with different volatilities for
each strike.
ATM
Early Exercise Class
Returns all optimal early exercise points for a range of
spot prices for a given option specification. Only
relevant for American options.
Index
Help
Example:
Inputs Results
Option dates:
Deal date 13-Sep-01
Expiry date 20-Dec-01
Ex-dividend date 1: 03-Oct-01
Ex-dividend date 2: 31-Oct-01
Inputs:
Option_type C Optimal
Strike 17.50 Spot Early Exercise Option Price
Days_to_expiry 98 Price Threshold at Threshold
Volatility 33.9% 20.50 On 02-Oct-01
Risk_free_rate 5.00% 21.00 On 02-Oct-01
21.50 On 02-Oct-01
Dividend_type D
Div 1 Div 2 19.50 On 30-Oct-01
Dividends 0.25 0.5 20.00 On 30-Oct-01
Days_to_ex_dates 20 48 20.50 On 30-Oct-01
21.00 On 30-Oct-01
Current stock price: 17.65 21.50 On 30-Oct-01
Range of spot prices to be searched: 13.50

14.00
14.50
15.00
15.50
16.00
16.50
17.00
17.50
18.00
18.50
19.00
19.50
20.00
20.50
21.00
21.50
C
P
N
C
D
Probability
Option Price of reaching
at Threshold Threshold
3.0000 2.6%
3.5000 1.2%
4.0000 0.5%
2.0000 17.3%
2.5000 12.5%
3.0000 8.8%
3.5000 6.0%
4.0000 4.0%
HoadleyBarrier1
Returns the option price, hedge parameter or implied
volatility of an European or American single barrier option.
Index
Help
Example
Inputs
Calc_type P
Option_type P
Barrier_type DI
Strike 100.00
Spot 100.00
Barrier 80.00
Days_to_expiry 365
Volatility 25%
Interest_rate 6.00%
Optional arguments:
Dividend_type N
Dividends 2.30
Days_to_ex 122
Rebate 0.00
Option_price
Tri_steps 300
Discrete_monitoring C
Trading_days 250
Max_steps 1300

Option price P #MACRO?
Delta D #MACRO?
Gamma G #MACRO?
Theta T #MACRO?
C
P
1
2
3
N
C
D
UI
UO
DI
DO
C
D
W
M
HoadleyBarrier2
Returns the option price, hedge parameter or implied
volatility of a European or American double barrier option.
Index
Help
Example
Example
Calc_type P
Option_type P
Barrier_type I
Strike 100.00
Spot 100.00
Upper_barrier 110.00
Lower_barrier 80.00
Days_to_expiry 365.0
Volatility 25%
Interest_rate 6.00%
Optional arguments:
Dividend_type N
Dividends 2.30
Days_to_ex 122
Rebate 0.00
Option_price
Tri_steps 300
Trading_days 250
Max_steps 1300

Option price: P #MACRO?
Delta: D #MACRO?
Gamma G #MACRO?
Theta T #MACRO?
C
P
1
2
3
N
C
D
O
I
C
D
W
M
HoadleyBasketOption
Returns the price of a European option on a basket of underlying assets. The
price is calculated analytically, not by simulation.
This function is only available in the full version of the add-in.
Index
Help
Example
Inputs
Option_type P
Value_date 05-Sep-03
Expiry_date 05-Sep-04
Risk_rate 5.50%
Strike 730,000.00
PG IBM GE MSFT
Corr_matrix PG 1.00 0.30 0.20 0.20
(correlation matrix) IBM 1.00 0.25 0.30
GE 1.00 0.20
MSFT 1.00
PG IBM GE MSFT
Volatilities 27% 25% 33% 34%
Prices 91.43 87.91 31.32 28.43
No_units 2500 1750 5400 6300
div_yields 2.10% 3.00% 1.30% 0.00%
Results - 1
Option value #MACRO?
Results - 2
Comparison with at-the-money options on the individual assets. The basket option
will be cheaper. Hedging currency exposures and other risks can therefore be
done more cheaply than by purchasing individual options.
PG IBM GE MSFT
Individual option strikes (ATM) 228,575 153,843 169,128 179,109
Individual option values ### ### ### #MACRO?
Strike for basket 730,655
Total of individual option values #MACRO?

Basket option value #MACRO?
C
P
HoadleyBasketSim
Returns the price of European and American basket options using Monte Carlo
simulation. The delta of the European option is also returned.
Index
Help
Example
Inputs
calculation_type D
Option_type P
Value_date 05-Sep-03
Expiry_date 05-Sep-04
Days_to_Epiry 366
Risk_rate 5.50%
Strike 730,000
PG IBM GE MSFT
Corr_matrix PG 1.00 0.30 0.20 0.20
(correlation matrix) IBM 1.00 0.25 0.30
GE 1.00 0.20
MSFT 1.00
PG IBM GE MSFT
Volatilities 27% 25% 33% 34%
Prices 91.43 87.91 31.32 28.43
No_units 2500 1750 5400 6300
div_yields 2.10% 3.00% 1.30% 0.00%
Iterations 10,000
Time_steps 20
Results
Correlation matrix positive definite? #MACRO?
European option value 42,321

American option value 45,555
European delta -0.38
Note: this example calls the function from a macro rather than directly from the
worksheet. The reasons why this is the recommended approach are outlined
in the help file documentation for this function.
P
D
C
P
HoadleyDelayedStart
Returns the value, and hedge parameters of an
European or American delayed start (forward start) option.
This function is only available in the full version
of the add-in.
Index
Help
Example
Inputs
Calculation_type P
Option_type C
Moneyness_ratio 0.90
Spot 100.00
Days_to_strike_set 87.00
Days_to_expiry 182.5
Volatility 25%
Optional arguments:
Dividend_type D

Dividend 1 3.00 53
Dividend 2 3.00 150
Binomial steps 200

Price: P ###
Delta: D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
1
2
3
C
P
N
C
D
HoadleySpreadOption
Returns the value, hedge parameters or implied
correlation of an European or American spread option.
Uses modified Black or three dimensional binomial trees.
of the add-in.
Index
Help
Example
Inputs
Calculation_type P
Pricing_model 1
Option_type P
Price_1 103
Price_2 100
Strike 2
Days 365
Volatility_1 20%
Volatility_2 30%
Risk_free_rate 5%
Div_yield_1 5%
Div_yield_2 5%
Correlation 0.43
Optional arguments:
Qty_1 1
Qty_2 1
Option_price
Binomial_steps 50

Price P #MACRO?
Delta asset 1 D1 #MACRO?
Delta asset 2 D2 #MACRO?
Gamma asset 1 G1 #MACRO?
Gamma asset 2 G2 #MACRO?
Cross Gamma GC #MACRO?
Vega asset 1 V1 #MACRO?
Vega asset 2 V2 #MACRO?
Theta T #MACRO?
Rho R #MACRO?
Rho on forward contracts RF #MACRO?
Implied correlation IC #MACRO?
1
2
3
C
P
### HoadleyAsianA
Returns the price and hedge parameters for an European
style Asian athithmetic average price option using an
analytic approximation.
of the add-in.
Index
Help
Example
Inputs
Calculation_type P
Option_type P
Strike 50
Spot 50
Days_remaining 220
Volatility 30%
Risk_free_rate 5%
Div_yield 2%
Optional arguments:
Original_days 365
Average_price 53
Days_to_1st_av
Days_between_avs 7
Num_averages

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Rho R ###
C
P
HoadleyAsianB
or American style arithmetic average price Asian option
using a binomial tree.
of the add-in.
Index
Help
Example
Inputs
Pricing_model 3
Option_type C
Strike 50
Spot 50
Days_remaining 220
Volatility 30%
Risk_free_rate 5%
Div_yield 3%
Optional arguments:
Original_days 365
Average_price 53
Binomial_steps 50
Results Value
Option price (European) ###
Price using HoadleyAsianA (for comparison) ###
C
P
2
3
HoadleyQuantoOption
or American quanto options.
of the add-in.
Index
Help
Example
Inputs
Calculation_type P
Option_type C
Strike 1200.00
Asset_price 1235.00
Days 430
Asset_vol 25%
Currency_vol 12%
Correlation 0.2
Domestic_rate 5%
Foreign_rate 3%
Exchange rate 0.75
Dividend_yield 2%
Optional argument:
Binomial steps 100

Price: P #MACRO?
Delta: D #MACRO?
Gamma G #MACRO?
Theta T #MACRO?
1
2
3
C
P
HoadleyQuantoBarrier1
Returns the option price & hedge parameter of an
European or American single barrier quanto option.
of the add-in.
Index
Help
Example
Inputs
Calc_type P
Option_type P
Barrier_type DI
Strike 100.00
Asset_price 100.00
Barrier 80.00
Days_to_expiry 365
Asset_vol 25%
Currency_vol 15%
Correlation -0.3
Domestic_rate 5.00%
Foreign_rate 6.00%
Exchange rate 1.20
Dividend_yield 3.00%
Optional arguments:
Rebate 0.00
Tri_steps 300
Trading_days 250
Max_steps 1300

Delta D #MACRO?
Gamma G #MACRO?
Theta T #MACRO?
1
2
3
C
P
UI
UO
DI
DO
C
D
W
M
HoadleyQuantoAsianA
style Asian athithmetic average price quanto option
using an analytic approximation.
of the add-in.
Index
Help
Example
Inputs
Calculation_type P
Option_type P
Strike 50
asset_price 50
Days_remaining 220
Asset_vol 30%
Currency_vol 13%
Correlation 0.3
Domestic_rate 3%
Foreign_rate 5%
Exchange rate 0.8
Div_yield 2%
Optional arguments:
Original_days 365
Average_price 53
Days_to_1st_av
Days_between_avs 7
Num_averages

Price P ###
Delta D ###
Gamma G ###
C
P
HoadleyQuantoAsianB
or American style arithmetic average price Asian quanto option
using a binomial tree.
of the add-in.
Index
Help
Example
Inputs
Pricing_model 3
Option_type C
Strike 50
Spot 50
Days_remaining 220
Asset_vol 25%
Currency_vol 12%
Correlation -0.2
Domestic_rate 5%
Foreign_rate 3%
Exchange rate 1.2
Div_yield 3%
Optional arguments:
Original_days 365
Average_price 53
Binomial_steps 50
Results Value
Option price (European) ###
Price using HoadleyQuantoAsianA (for comparison) ###
2
3
C
P
HoadleyBinCN
Returns the price and hedge parameters for a binary cash or nothing
option
Index
Help
Example
Inputs
Calc_type
Option_type C
Strike 100
Spot 102
Payout 5.00
Days_toExpiry 420
Volatility 20%
Interest_rate 4.75%
Optional arguments:
Results 1 Calc_type Value

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
Results 2 Value
Asset or nothing call ###
Cash or nothing call with payout = strike ###
Asset or nothing minus cash or nothing ###

=European call ###
C
P
HoadleyBinAN
Returns the price and hedge parameters for a binary asset or
nothing option
Index
Help
Example
Inputs
Calc_type
Option_type C
Strike 100
Spot 102
Days_toExpiry 420
Volatility 20%
Interest_rate 4.75%
Optional arguments:

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
C
P
HoadleyBin1CN
Returns the price and hedge parameters for a binary single barrier
one touch cash or nothing option.
Index
Help
Example
Inputs
Calc_type
Barrier_type UI
Spot 102
Barrer 120
Payout 5.00
Payout_time E
Days_toExpiry 420
Volatility 20%
Interest_rate 4.75%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
UI
UO
DI
DO
H
E
C
D
W
M
HoadleyBin1AN
Returns the price and hedge parameters for a binary single barrier
one touch asset or nothing option.
Help
Index
Example
Inputs
Calc_type
Barrier_type DI
Spot 102
Barrier 90
Payout_time E
Days_toExpiry 420
Volatility 20%
Interest_rate 4.75%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
UI
UO
DI
DO
H
E
C
D
W
M
HoadleyBin1CNCP
Returns the price and hedge parameters for a single barrier
one touch cash or nothing call or put option.
Index
Help
Example
Inputs
Calc_type
Option_type C
Barrier_type UI
Strike 100
Spot 102
Barrier 130
Payout 5.00
Days_to_expiry 365
Volatility 20.00%
Interest_rate 5.50%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
UI
UO
DI
DO
C
D
W
M
C
P
HoadleyBin1ANCP
Returns the price and hedge parameters for a single barrier
one touch asset or nothing call or put option.
Index
Help
Example
Inputs
Calc_type
Option_type C
Barrier_type UO
Strike 100
Spot 102
Barrier 130
Days_to_expiry 365
Volatility 20.00%
Interest_rate 5.50%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
UI
UO
DI
DO
C
D
W
M
C
P
HoadleyBin2CN
Returns the price and hedge parameters for a binary double barrier
one touch cash or nothing option.
Index
Help
Example
Inputs
Calc_type
Barrier_type I
Spot 102
Upper_barrier 120
Lower_barrier 90
Payout 5.00
Payout_time E
Days_toExpiry 420
Volatility 20%
Interest_rate 4.75%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
I
O
H
E
C
D
W
M
HoadleyBin2AN
one touch asset or nothing option.
Help
Index
Example
Inputs
Calc_type
Barrier_type I
Spot 102
Upper_barrier 120
Lower_barrier 90
Payout_time E
Days_toExpiry 420
Volatility 20%
Interest_rate 4.75%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
I
O
H
E
C
D
W
M
HoadleyBin2CNCP
one touch cash or nothing call or put option.
Index
Help
Example
Inputs
Calc_type
Option_type C
Barrier_type I
Strike 100
Spot 102
Upper_barrier 130
Lower_barrier 90
Payout 5.00
Days_to_expiry 365
Volatility 20.00%
Interest_rate 5.50%
Optional arguments:
Trading_days 252

Price P ###
Delta D ###
Gamma G ###
Vega V ###
Theta T ###
Rho R ###
C
P
I
O
C
D
W
M
HoadleyBond
Returns the price, yield to maturity, duration or modified
duration of a coupon bond.
Help Index
Example
Inputs
Calc_type P
Principal 100.00
Valuation_date 07-Apr-03
Maturity 25-May-09
Coupon_rate 5.0%
Coupon_frequ 4
Term structure: Years Rate

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Optional arguments:
Price_type (quoted or cash)
Bond_price
Yield_type
Prev_ex_date
Results Calc_type Value

Quoted ("clean") price P #MACRO?
Bond yield (continuous compounding) Y #MACRO?
Bond yield (discrete compounding) Y #MACRO?
Cash ("dirty") price P #MACRO?

Bond yield (continuous compounding) Y #MACRO?
Bond yield (discrete compounding) Y #MACRO?
Duration D #MACRO?
Modified Duration MD #MACRO?
Hoadley FR Note
Returns the price, or the effective margin over swap, for a
floating rate note ("floater")
This function is only available in the full version of the
add-in.
Help Index
Example
Inputs
Calc_type P
Principal 100.00
Value_date 29-Feb-04
maturity_date 27-Jul-07
Current_coupon 4.10%
Reset_frequency 4
Contract_margin 1.00%
Effective_margin 1.50%
Term_structure Years Rate

0.25 5.50%
0.50 5.80%
1.00 6.10%
2.00 6.30%
3.00 6.50%
4.00 6.60%
Optional arguments:
Price_type (Quoted or cash)
Market_price
yield_type D
prev_ex_date
Gross_up_factor 0.7
coupon_multiplier
Results
Quoted ("clean") price P #MACRO?
Effective margin EM #MACRO?
Cash ("dirty") price P #MACRO?

Effective margin EM #MACRO?
HoadleyConvBond
Returns the price and other related information of a
convertible bond with call and/or put features.
This function is only available in the full version of
the add-in.
Help Index
Example
Inputs Results
Calc_type PQ Convertible bond price (quoted)
Redemption 100.00 Convertible bond price (cash)
Valuation_date 02-Oct-03
Maturity_Date 25-Mar-05 Bond price (quoted)
Coupon_rate 8.00% Bond price (cash)
Coupon_frequ 2 Accrued interest
Risk_free_rate 5.00% Delta per share
Credit_spread 2.50% Option value
Share_price 24.00 http://www.hoadley.net/options

Volatility 25%
Conversion_ratio 4.0
Optional arguments:
conversion_date
Dividend_type D
Dividend_details: Amt Ex-div

Dividend 2 0.32 10-Aug-04
Call_price 103.00
Call_date 01-Jan-04
Call_trigger
call_notice
Put_price
Put_date
Trinomial_steps 200
get_accrued 0
N
D
C
1
0
Calc_type Value
PQ #MACRO?
PC #MACRO?
BQ #MACRO?
BC #MACRO?
AI #MACRO?
D #MACRO?
O #MACRO?
HoadleyBondOptBlk
Returns the price, hedge parameters, or implied volatility
of an option on a coupon bond using the Black-76
model.
Help Index
Example
Inputs
Calc_type P
Principal 100.00
Bond_maturity 25-May-09
Coupon_rate 5.0%
Coupon_frequ 4

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Option_type C
Strike 95.00
Option_expiry 7-Dec-03
Yield_vol 20.0%
Optional arguments:
Price_type (quoted or Cash) Q
Option_price

Delta (DV01) D #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
Price volatility at option maturity PV #MACRO?
Implied volatility IV #MACRO?
C
P
Q
C
HoadleyBondOptHW
Returns the price or hedge parameters of a Eurpoean
or American coupon bond option using either the
Hull-White analytic model (European), or Hul-White
interest rate trinomial trees (European or American).
Help Index
Example
Inputs
Calc_type P
Pricing model 1
Principal 100.00
Bond_maturity 25-May-09
Coupon_rate 5.0%
Coupon_frequ 4

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Option_type C
Strike 95.00
Option_expiry 7-Dec-03
Short_rate_vol 1.5%
Reversion_rate 10%
Optional arguments:
Price_type (quoted or cash) Q
Tri_steps 20

Gamma G #MACRO?
Vega V #MACRO?
1
2
3
C
P
Q
C
HoadleyCapFloorBlk
Returns the price, hedge parameters or implied
volatility of interest rate caps and floors using the
Black-76 model.
Help Index
Example
Inputs
Cap_or_floor C
Calc_type P
Principal 100,000
Start_date 07-Apr-04
Term_months 24
Cap_floor_rate 5.00%
Frequency 4
Volatility 20%

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Optional arguments:
Year_basis 365
Cap_floor_price

Cap/floor price P #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
360
365
C
P
Q
C
C
F
HoadleyCapFloorHW
Returns the price, hedge parameters or implied volatility
of interest rate caps and floors using the Hull-White
model.
Help Index
Example
Inputs
Cap_or_floor C
Calc_type P
Principal 100,000
Term_months 24
Cap_floor_rate 5.00%
Frequency 4
Short_rate_vol 1%
Reversion_rate 10%

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Optional arguments:
Year_basis 365
Cap_floor_price

Cap/floor price P #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
360
365
C
P
Q
C
C
F
HoadleySwaptionBlk
of a Eurpoean Swaption (an option on an interest rate
swap) using the Black-76 model.
Help Index
Example
Inputs
Swap_type PF
Calc_type P
Principal 100,000
Term_months 24
Swap_rate 5.00%
Frequency 4
Volatility 20%

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Optional arguments:
Year_basis 365
Option_price

Swaption price P #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
RF
PF
360
365
HoadleySwaptionHW
of a Eurpoean or American Swaption (an option on an
interest rate swap) using the Hull-White normal analytic
or trinomial tree models.
Help Index
Example
Inputs
Swap_type PF
Calc_type P
Calc_model 1
Principal 100,000
Term_months 24
Swap_rate 5.00%
Frequency 4
Short_rate_vol 1%
Reversion_rate 10%

0.00 2.75%
0.25 3.00%
0.50 3.25%
1.00 3.50%
3.00 4.00%
5.00 4.50%
Optional arguments:
Year_basis 365
Tri_steps 20

Swaption price P #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
RF
PF
360
365
1
2
3
HoadleyEurodollar
Returns the price, hedge parameters, or implied volatility
of an option on an Eurodollar time deposit futures
contract.
Index
Help
Example
Inputs
Calculation_type P
Option_type C
Strike 93.25
Futures_price 93.15
Days 450
Volatility 10%
Optional arguments:
Binomial_steps (optional) 50
Option_price (optional)

Option price: P #MACRO?
Delta: D #MACRO?
Gamma G #MACRO?
Vega V #MACRO?
Theta T #MACRO?
Rho R #MACRO?
C
P
1
2
3
HoadleyESO1
Returns the fair value of an employee stock option
priced according to the basic US Financial Accounting
Standards Board (FASB) 123R standard.
Note: This function must be purchased under a
commercial license for the Finance Add-in.
It is not available in the trial or normal full versions.
Contact Peter Hoadley for details.
Index
Help
Example
Inputs
Exercise_price 87.00
Stock_price 87.00
Expected_life 5.3
Volatility 30%
Vesting_period 2.0
Employee_exit_rate 5%
Optional arguments:
Binomial_steps 200
Results
Fair value of option: #MACRO?
Overview of ESO functions (Hoadley.net web site)

1
2
HoadleyESO2
Returns the fair value and expected life of an employee stock option priced according to the Hull-White
"enhanced" US Financial Accounting Standards Board (FASB) 123R standard.
Note: A Commercial license for the Finance Add-in is required to use this function.
Index Overview of ESO functions (Hoadley.net web site)

Help
Example of company ESO grant schedule
Inputs
Grant date: 1-Jan-03
Exercise price: 95.70
Current stock price: 87.00
Maximum option life in years: 10
Volatility: 30%
Risk free rate: 4.50%
Dividend yield: 2.50%
Trinomial steps 200 Results
Vesting period (years):
Percent of grant vested:
Options Employee Exercise
Employee category granted exit rate multiple
Senior managers 56,000 3% 2.5 Option value

Total expense
Expected option life
Middle managers 41,000 5% 2.3 Option value

Total expense
Professional staff 45,500 8% 1.9 Option value

Total expense
Support staff 15,000 15% 1.5 Option value

Total expense
Total options granted: 157,500

o the Hull-White
O functions (Hoadley.net web site)
Vesting schedule
1.5 2.0 2.5 3.0
40% 20% 20% 20%
Total
Details by vesting period Expense
#MACRO? #MACRO? #MACRO? #MACRO?

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO?



Total option expense for 1-Jan-03 grant: #MACRO?
HoadleyESO3
Returns the fair value and expected life of an employee stock option priced according to the Hull-White
"enhanced" US Financial Accounting Standards Board (FASB) 123R standard. In addition, a term structure of
interest rates and dividend yields can be specified.

Help
Inputs
Volatility: 30%
Term Structure: Year Rate Div Yield

0 2.50% 0.0%
2 3.00% 0.0%
4 4.00% 1.0%
6 5.00% 1.5%
8 6.00% 2.0%
Trinomial steps: 200
Results

Total expense

Total expense

Total expense

Total expense

the Hull-White
on, a term structure of
functions (Hoadley.net web site)
Vesting schedule
1.5 2.0 2.5 3.0
40% 20% 20% 20%
Total




HoadleyESO4
Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced"
US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, interest rates and
dividend yields can be specified. Handles blackout periods.

Help
Example 1: Company ESO grant schedule
Inputs
Grant date:
Exercise price:
Current stock price:
Maximum option life in years:
Term Structures: Volatilities

Year Volatility
0 35.00%
1 30.00%
3 25.00%
6 20.00%
Trinomial steps:
Note: Blackout days can also be specified with this Results

function. See help file documentation. Vesting period (years):

Total expense

Total expense

Total expense

Total expense
Example 2: ESO valuation with time-varying exercise prices

Inputs
Exercise price (strike) schedule
Volatility
Risk free rate and dividend yield
Vesting period
Employee exit rate - pre vest
Employee exit rate - post vest
Exercise multiple
Trinomial steps
Results
Option value
Option life

the Hull-White "enhanced"
olatilities, interest rates and
1-Jan-03
95.70
87.00
10
Risk-free rates & Div Yields

Year Rate Div Yield
0 2.50% 0.0%
2 3.00% 0.0%
4 4.00% 1.0%
6 5.00% 1.5%
8 6.00% 2.0%
200
Vesting schedule
1.5 2.0 2.5 3.0
40% 20% 20% 20%
Total




Start year Strike

0 90.00
4 120.00
8 130.00
87.00
10
0 30%
0 5.0% 3.0%
1.0
3%
2%
2.5
200
V #MACRO?
L #MACRO?
HoadleyESO5
Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced"
US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, interest rates and
dividend yields can be specified. Handles blackout periods, and performance vesting.

Help
Example
Inputs
Grant date:
Exercise price:
Term Structures: Volatilities

Year Volatility
0 35.00%
1 30.00%
3 25.00%
6 20.00%
Employee exit rates - pre-vest

Employee exit rates - post vest
Exercise multiple
Trinomial steps
Years to first blackout period

Number of days of each blackout period
Number of blackouts each year
Business days pa
Results - Example 1: Grant split into multiple options Vesting

each with one share price target years Year
1.5 0
2.0 0
3.0 0
Results - Example 2: Grant defined as a single option Vesting

with multiple share price targets year Year
1.5 0.0
4.0
6.0
8.0
Results - Example3: If target not hit within three years
options will never vest and will be forfeited. Use a very
high target which takes effect after three years so if target Vesting
not hit within three years it won't be hit at all. year Year
1.5 0.0
3.0

ording to the Hull-White "enhanced"
cture of volatilities, interest rates and
nctions (Hoadley.net web site)
1-Jan-03
95.70
87.00
10

Year Rate Div Yield
0 2.50% 0.0%
2 3.00% 0.0%
4 4.00% 1.0%
6 5.00% 1.5%
8 6.00% 2.0%
3.0%
3.0%
2.5
200
Valuation with
Performance Valuation with no
vesting share performance performance
price vesting vesting
130.00 #MACRO? #MACRO?
Valuation with
130.00
170.00
200.00
Valuation with
130.00
9999999.00 #MACRO? #MACRO?
HoadleyESOVestTime
This function is designed to help estimate the length of the expected vesting period where the option
has one or more performance targets based on the stock price. This is an IFRS requirement.
HoadleyESOVestTime can be used to estimate the probability of the vesting target being hit, the
expected time until the target is hit, and the time the option is expected to remain unvested.
Index
Help
Example
Inputs
Volatility term structure Volatilities

Year Volatility
0 35.00%
1 30.00%
3 25.00%
6 20.00%
Expected return 10%

Dividend yield 2%
Performance vesting term structure Performance Targets

Year Share Price
2.0 130.00
4.0 170.00
6.0 200.00
8.0 220.00
Trinomial steps 300

Probability of one or more performance targets being hit: HP #MACRO?
First hit time (years): FHT #MACRO?
Pre-vest time (years): PVT #MACRO?

HoadleyESO3Indexed
Returns the fair value and expected life of an indexed employee stock option priced according to the Hull-White
"enhanced" US Financial Accounting Standards Board (FASB) 123R standard. In addition, a term structure of
dividend yields can be specified.

Help
Inputs
Index_vol 13%
Stock_vol 30%
Correlation 0.7
Index_divYield 3%
Div_term_structure Year Div Yield

0 0.0%
2 0.0%
4 1.0%
6 1.5%
8 2.0%
Trinomial steps: 200
Results

Total expense

Total expense

Total expense

Total expense
ording to the Hull-White
on, a term structure of
Vesting schedule
1.5 2.0 2.5 3.0
40% 20% 20% 20%
Total




HoadleyESO4Indexed
Returns the fair value and expected life of an indexed employee stock option priced according to the Hull-White "enhanced"
US Financial Accounting Standards Board (FASB) 123R standard. A term structure of volatilities, and
dividend yields can be specified. Handles blackout periods.

Help
Inputs
Grant date:
Exercise price:
Index_divYield
Term Structures: Volatilities & correlations

Year Index vol Stock vol Correlation
0 14.00% 35.00% 0.70
1 13.00% 30.00% 0.70
3 13.00% 37.00% 0.80
6 12.00% 25.00% 0.80
Trinomial steps:
Note: Blackout days can also be specified with this Results

function. See help file documentation. Vesting period (years):

Total expense

Total expense

Total expense

Total expense
ording to the Hull-White "enhanced"
olatilities, and
1-Jan-03
95.70
87.00
10
3.0%
Div Yields
Year Div Yield
0 0.0%
2 0.0%
4 1.0%
6 1.5%
8 2.0%
200
Vesting schedule
1.5 2.0 2.5 3.0
40% 20% 20% 20%
Total




HoadleyESO4ForwardStart
Returns the fair value and expected life of an employee stock option priced according to the Hull-White "enhanced" US Fi
Accounting Standards Board (FASB) 123R standard and where the exercise price is determined at a future date ("grant d

Help
Inputs
Value date
Moneyness_ratio
Yrs_to_grant
Yrs_to_expiry
Term Structures: Volatilities Risk-free rates & Div

Year Volatility Year
0 35.00% 0
1 30.00% 2
3 25.00% 4
6 20.00% 6
8
Trinomial steps:
Note: Blackout days can also be specified with this Results Vesting sc
function. See help file documentation. Vesting period (years): 1.5
Percent of grant vested: 40%
Employe
Options e exit Exercise
Employee category granted rate multiple Details by ves
Senior managers 56,000 3% 2.5 Option value ###

Total expense ###
Expected option life ###
Middle managers 41,000 5% 2.3 Option value ###

Total expense ###
Professional staff 45,500 8% 1.9 Option value ###

Total expense ###
Support staff 15,000 15% 1.5 Option value ###

Total expense ###
Total options granted: 157,500 Total option expense fo

White "enhanced" US Financial
at a future date ("grant date").
(Hoadley.net web site)
1-Jan-03
1.1
87.00
1.50
10

Rate Div Yield
2.50% 0.0%
3.00% 0.0%
4.00% 1.0%
5.00% 1.5%
6.00% 2.0%
200
Vesting schedule
2.0 2.5 3.0
20% 20% 20%
Total
### ### ###

### ### ### #MACRO?
### ### ###
### ### ###

### ### ### #MACRO?
### ### ###
### ### ###

### ### ### #MACRO?
### ### ###
### ### ###

### ### ### #MACRO?
### ### ###
HoadleyHistoricVolatility
Returns the annualized volatility of an asset based
on a sample of historical prices. Volatility can be
calculated in four ways.
Index
Help
Examples
Inputs
Day Date High Low Open Close Dividend
Mon 21-Jan-02 102.00 100.00 100.00 101.50 Weekly Moving Av
Tue 22-Jan-02 102.00 100.50 101.50 104.00 1200%
Volatility
Wed 23-Jan-02 101.50 99.00 101.50 99.00
Thu 24-Jan-02 100.00 97.50 100.00 97.50 1000%
Fri 25-Jan-02 99.00 98.00 98.00 98.50

Mon 28-Jan-02 99.50 98.00 98.00 99.00 800%
Tue 29-Jan-02 101.00 98.00 99.00 100.00

Wed 30-Jan-02 100.50 98.00 100.00 99.00 600%
Thu 31-Jan-02 103.00 100.00 100.00 101.00

400%
Fri 01-Feb-02 95.50 94.00 95.50 95.00 5.00
Mon 04-Feb-02 98.00 95.00 95.00 96.00
200%
Tue 05-Feb-02 97.00 96.00 96.00 96.50
Wed 06-Feb-02 96.50 94.00 94.00 96.00
0%
Thu 07-Feb-02 95.00 93.50 95.00 94.50
1/25/2002 1/27/2002 1/29/2002 1/31/D
Fri 08-Feb-02 93.50 92.50 93.50 93.00
Results Calc type Value Important note: This example is not me

Close Price Volatility: C ### reality, much larger samples would be re
High-Low Volatility: HL ### (eg four years of daily close prices for GA
High-Low-Close Volatility: HLC ###
High-Low-Open-Close Volatility: HLOC ###
EWMA volatility EWMA ###
decay_factor (EWMA): EWMAL ###
GARCH volatility: GARCH ###
Weekly Moving Average Volatility
0% Weekly
Moving
0% Average
###
0% ###
###
0% ###
###
0%
###
###
0%
###
###
0%
###
Date 2/2/2002 2/4/2002 2/6/2002 2/8/2002
1/25/2002 1/27/2002 1/29/2002 1/31/2002
###
ant note: This example is not meant to reflect a realistic situation. In

much larger samples would be required to produce a meaningful result.
years of daily close prices for GARCH)
HoadleyGARCH
Uses the GARCH model to return the annualized volatility, forecast volatility and a
number of 'GARCH' parameters of an asset based on a sample of historical closing prices.
Index
Help
Example
Inputs Results
Historical stock prices Current volatility #MACRO?
Week Close Long term forecast #MACRO? Forecast Vo
1 101.50 1224%
2 101.50 Volatility forecast
Volatility
3 100.00 Week ahead Volatility 1024%
4 97.50 0 #MACRO?
5 98.50 1 #MACRO?
824%
6 99.00 2 #MACRO?
7 100.00 3 #MACRO?
8 99.00 4 #MACRO? 624%
9 101.00 5 #MACRO?
10 102.00 6 #MACRO? 424%
11 103.00 7 #MACRO?
12 101.00 8 #MACRO? 224%
13 100.00 9 #MACRO?
14 98.00 10 #MACRO?
15 99.00 11 #MACRO? 24%
Foreca
0 1 2 3 4 5 6 7 8 9 10111213141
16 99.00 12 #MACRO?
17 98.00 13 #MACRO?
18 100.00 14 #MACRO? Term Structure:
19 105.00 15 #MACRO? Option life in weeks:
20 110.00 16 #MACRO? Volatility to use to price option:
21 115.00 17 #MACRO?
22 110.00 18 #MACRO? Notes:
23 116.00 19 #MACRO?
24 110.00 20 #MACRO? 1. This function is only available in the full version
show as zero.
25 106.00 21 #MACRO?
22 #MACRO? 2. The term structure shows that, for example, if yo
23 #MACRO? the correct volatility from historical data would be 2
24 #MACRO?
25 #MACRO? 3. The HistoricVolatilityCalculator (included with fu
26 #MACRO? volatility, volatility forecasts and term structures au
27 #MACRO?
4. This example is not meant to be realistic and is
28 #MACRO?
must be much larger (eg four years of daily data) f
29 #MACRO?
30 #MACRO?
31 #MACRO?
Forecast Volatility
Forecast week
0 1 2 3 4 5 6 7 8 9 10111213141516171819202122232425262728293031
4 8 12 16 20
use to price option: ### ### ### ### ###
ction is only available in the full version of the add-in. In the trial version all results will
ero.
m structure shows that, for example, if you are pricing a 12 week European option then
volatility from historical data would be 25.9%.
oricVolatilityCalculator (included with full version of the add-in) calculates current

olatility forecasts and term structures automatically using GARCH
mple is not meant to be realistic and is for illustrative purposes only. Sample sizes
uch larger (eg four years of daily data) for GARCH to be effective.
HoadleyGARCHArray
Calculates GARCH volatility and parameters and returns
the results in an array.
Help Index
Example
Inputs
Closing_price (on HoadleyPriceeDist sheet)

Observation_frequency 252
Optional argument:
Precision_factor 2
Results
Current volatility #MACRO?
Long term volatility #MACRO?
Omega #MACRO?
Alpha #MACRO?
Beta #MACRO?
Conditional mean #MACRO?
Sample mean #MACRO?
HoadleyVolatilityCone
Returns a matrix for a specified volatility period for the plotting of volatility cones.
Index
Help
Example
Inputs
Prices (Prices used are on the PriceDist function sample sheet)

Vol_period
Observations_pa 252
Confidence_limit 95%
Do_calc
Results Volatility by Period (Days)

Vol_period 15 30 60 90 120 180 240
Average ### ### ### ### ### ### ###
Maximum ### ### ### ### ### ### ###
Minimum ### ### ### ### ### ### ###
Current ### ### ### ### ### ### ###
95% conf upper ### ### ### ### ### ### ###
95% conf lower ### ### ### ### ### ### ###
90th percentile ### ### ### ### ### ### ###
70th percentile ### ### ### ### ### ### ###
50th percentile ### ### ### ### ### ### ###
30th percentile ### ### ### ### ### ### ###
10th percentile ### ### ### ### ### ### ###
Volatility Cone
1200%
Average
Volatility
1000%
Maximum
Minimum
800%
600%
400%
200%
0%
15 30 60 90 120 180 240
Volatility period
HoadleyCorrel
Returns the correlation matrix of equally weighted returns for two or more columns of historic asset prices.
Note that the matrix returned by the function contains the correlation of returns, not prices.
Index Help Index
Example
Results
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £
S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Note: The function must be entered as an Excel array formula (crtl-shft-enter)
Inputs: Historic closing prices

Date S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £
9-Sep-00 1494.50 6600.74 16501.55 6703.36 934.78 1.4190
12-Sep-00 1489.26 6581.96 16130.90 6675.01 932.19 1.4113
13-Sep-00 1481.99 6555.52 16040.23 6697.80 922.98 1.4032
14-Sep-00 1484.91 6478.19 16190.52 6568.89 907.58 1.4125
15-Sep-00 1480.87 6555.50 16213.28 6637.91 913.68 1.4061
16-Sep-00 1465.81 6417.30 16213.28 6614.65 910.61 1.3987
19-Sep-00 1444.51 6410.15 16061.16 6522.38 894.96 1.4014
20-Sep-00 1459.90 6403.50 16124.19 6529.95 895.87 1.4081
21-Sep-00 1451.34 6279.87 16458.31 6405.43 878.38 1.4107
22-Sep-00 1449.05 6199.16 16311.05 6254.77 864.69 1.4367
23-Sep-00 1448.72 6205.92 15818.25 6258.58 869.69 1.4579
26-Sep-00 1439.03 6257.13 15992.90 6336.28 879.55 1.4535
27-Sep-00 1427.21 6213.21 15928.62 6294.06 874.75 1.4592
28-Sep-00 1426.57 6269.34 15639.95 6319.79 880.92 1.4611
29-Sep-00 1458.29 6264.06 15626.96 6311.03 883.78 1.4638
30-Sep-00 1436.51 6294.24 15747.26 6266.63 878.32 1.4764
3-Oct-00 1436.23 6284.46 15902.51 6349.24 890.32 1.4675
4-Oct-00 1426.46 6345.04 15912.09 6400.43 890.32 1.4567
5-Oct-00 1434.32 6334.94 16149.08 6296.13 884.63 1.4561
6-Oct-00 1436.28 6381.98 16099.26 6335.12 892.67 1.4501
7-Oct-00 1408.99 6391.23 15994.24 6258.41 877.15 1.4458
10-Oct-00 1402.03 6264.84 15994.24 6110.06 872.56 1.4465
11-Oct-00 1387.02 6247.68 15827.72 6143.30 870.75 1.4509
12-Oct-00 1364.59 6117.63 15513.57 5956.12 855.40 1.4606
13-Oct-00 1329.78 6131.94 15550.64 5990.70 845.08 1.4743
14-Oct-00 1374.17 6209.58 15330.31 6064.21 859.07 1.4501
17-Oct-00 1374.62 6285.73 15512.32 6088.04 857.61 1.4461
18-Oct-00 1349.97 6203.25 15340.22 6067.15 852.25 1.4511
19-Oct-00 1342.13 6148.24 14872.48 5937.35 843.10 1.4429
20-Oct-00 1388.76 6218.91 14811.08 6066.48 862.33 1.4463
21-Oct-00 1396.93 6276.27 15198.73 6149.44 863.69 1.4509
24-Oct-00 1395.78 6315.90 15097.96 6182.34 864.96 1.4515
25-Oct-00 1398.13 6438.38 15148.19 6323.74 884.58 1.4501
26-Oct-00 1364.90 6367.83 14840.47 6277.90 880.52 1.4499
27-Oct-00 1364.44 6302.32 14858.43 6208.42 883.86 1.4352
28-Oct-00 1379.58 6366.55 14582.20 6268.93 899.11 1.4547
31-Oct-00 1398.66 6388.40 14464.56 6296.84 903.65 1.4512
1-Nov-00 1429.40 6438.42 14539.60 6397.66 921.39 1.4497
2-Nov-00 1421.22 6457.61 14872.39 6409.05 918.70 1.4520
3-Nov-00 1428.32 6392.01 14837.78 6400.31 921.34 1.4459
4-Nov-00 1426.69 6385.44 14837.78 6398.92 925.15 1.4489
7-Nov-00 1432.19 6430.99 15371.44 6352.24 928.29 1.4271
8-Nov-00 1431.87 6466.91 15340.33 6386.07 921.48 1.4343
9-Nov-00 1409.28 6477.37 15399.64 6336.03 916.65 1.4250
10-Nov-00 1400.14 6442.19 15060.05 6271.15 912.28 1.4329
11-Nov-00 1365.98 6400.22 14988.54 6147.49 899.63 1.4267
14-Nov-00 1351.26 6274.80 14664.64 6037.73 880.44 1.4381
15-Nov-00 1382.95 6412.90 14660.04 6225.98 906.82 1.4313
16-Nov-00 1389.81 6432.30 14799.14 6301.78 907.62 1.4273
17-Nov-00 1372.32 6430.40 14587.03 6283.06 894.88 1.4235
18-Nov-00 1367.72 6440.10 14544.30 6161.92 885.02 1.4233
21-Nov-00 1342.62 6344.98 14531.65 6021.79 870.04 1.4234
22-Nov-00 1347.35 6382.15 14408.46 6081.02 872.17 1.4183
23-Nov-00 1322.36 6221.36 14301.31 5944.70 855.38 1.4068
24-Nov-00 1322.36 6287.26 14301.31 6053.04 866.23 1.4068
25-Nov-00 1341.77 6327.55 14315.35 6145.65 876.65 1.3998
28-Nov-00 1348.97 6374.69 14720.39 6171.33 879.49 1.4175
29-Nov-00 1336.09 6249.80 14658.87 6069.22 871.12 1.4163
30-Nov-00 1341.91 6164.88 14507.64 6060.65 873.23 1.4229
1-Dec-00 1314.95 6142.20 14648.51 5928.08 849.89 1.4265
2-Dec-00 1315.23 6170.42 14835.33 5928.50 859.23 1.4416
5-Dec-00 1324.97 6158.67 14954.73 5791.51 846.16 1.4510
6-Dec-00 1376.54 6298.98 14695.05 5994.89 868.39 1.4338
7-Dec-00 1351.46 6273.32 14889.37 5985.24 873.11 1.4434
8-Dec-00 1343.55 6231.37 14720.36 5984.69 867.90 1.4447
9-Dec-00 1369.89 6288.33 14696.51 5939.32 874.94 1.4453
12-Dec-00 1380.20 6370.35 15015.70 6077.88 888.85 1.4563
13-Dec-00 1371.18 6390.41 15114.64 6047.66 884.02 1.4484
14-Dec-00 1359.99 6402.96 15168.68 5962.29 870.58 1.4569
15-Dec-00 1340.93 6263.81 14927.19 5905.65 855.08 1.4564
16-Dec-00 1312.15 6175.81 14552.29 5839.54 843.69 1.4564
19-Dec-00 1322.74 6246.48 14483.90 5887.49 843.96 1.4756
20-Dec-00 1305.60 6294.98 14132.37 5958.86 857.91 1.4653
21-Dec-00 1264.74 6176.71 13914.43 5766.30 831.38 1.4786
22-Dec-00 1274.86 6115.48 13423.21 5758.92 824.13 1.4735
23-Dec-00 1305.97 6097.53 13427.08 5783.73 828.88 1.4818
26-Dec-00 1305.97 6097.53 13931.61 5783.73 828.88 1.4818
27-Dec-00 1315.19 6097.53 14007.85 5783.73 828.88 1.4818
28-Dec-00 1328.92 6218.17 13981.49 5857.15 835.87 1.4818
29-Dec-00 1334.22 6223.22 13946.96 5920.60 839.78 1.4818
30-Dec-00 1320.28 6222.46 13785.69 5926.42 851.29 1.4960
2-Jan-01 1320.28 6222.46 13785.69 5926.42 851.29 1.4960
f historic asset prices.
US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
US$/Yen US$/EURO
0.0094 0.8664
0.0094 0.8618
0.0094 0.8607
0.0093 0.8646
0.0093 0.8614
0.0093 0.8631
0.0094 0.8544
0.0093 0.8536
0.0094 0.8475
0.0094 0.8529
0.0093 0.8817
0.0093 0.8733
0.0093 0.8801
0.0093 0.8813
0.0093 0.8829
0.0093 0.8825
0.0092 0.8817
0.0092 0.8764
0.0091 0.8728
0.0092 0.8695
0.0092 0.8697
0.0092 0.8690
0.0093 0.8682
0.0093 0.8739
0.0093 0.8625
0.0093 0.8595
0.0092 0.8486
0.0092 0.8499
0.0093 0.8476
0.0092 0.8396
0.0092 0.8376
0.0092 0.8360
0.0093 0.8372
0.0092 0.8287
0.0092 0.8290
0.0092 0.8427
0.0092 0.8450
0.0092 0.8476
0.0092 0.8576
0.0092 0.8601
0.0093 0.8636
0.0093 0.8612
0.0093 0.8607
0.0093 0.8563
0.0093 0.8589
0.0093 0.8635
0.0093 0.8601
0.0092 0.8581
0.0092 0.8594
0.0092 0.8543
0.0092 0.8527
0.0091 0.8489
0.0091 0.8456
0.0091 0.8433
0.0091 0.8421
0.0090 0.8398
0.0090 0.8489
0.0091 0.8550
0.0090 0.8601
0.0091 0.8705
0.0090 0.8730
0.0090 0.8894
0.0090 0.8850
0.0091 0.8846
0.0090 0.8898
0.0090 0.8881
0.0090 0.8779
0.0090 0.8772
0.0089 0.8756
0.0089 0.8874
0.0089 0.8975
0.0089 0.8958
0.0089 0.8911
0.0089 0.9068
0.0089 0.9141
0.0089 0.9235
0.0089 0.9235
0.0089 0.9289
0.0089 0.9306
0.0089 0.9257
0.0087 0.9389
0.0087 0.9389
HoadleyCorrelEWMA
Returns the correlation matrix of returns for two or more columns of historic asset prices using the EWMA model.
Note that the matrix returned by the function contains the correlation of returns, not prices.
Help Index
Example
Results
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £ US$/Yen
S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
US$/UK £ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
US$/Yen #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
US$/EURO #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

This is examples uses the closing prices on the Correl sheet.
EWMA model.
US$/EURO
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
HoadleyCorrelStambaugh
Returns the correlation matrix and volatilities for a matrix of price histories which
differ in length.
Help Index
Example
Results - volatilities and correlations
S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100
Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NIKKEI 225 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
CAC 40 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
DAX100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Volatilities of assets with full histories are unchanged, For example:

NIKKEI 225 CAC 40
#MACRO? #MACRO?
Correlations between assets with full histories are unchanged. For example:
NIKKEI 225 CAC 40
NIKKEI 225 #MACRO? #MACRO?
CAC 40 #MACRO? #MACRO?
Inputs: Historic closing prices of unequal lengths

Date S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100
13-Sep-00 1494.5 16501.6 6703.4
14-Sep-00 1489.3 16130.9 6675.0
15-Sep-00 1482.0 16040.2 6697.8
16-Sep-00 1484.9 16190.5 6568.9
19-Sep-00 1480.9 6600.7 16213.3 6637.9
20-Sep-00 1465.8 6582.0 16213.3 6614.7
21-Sep-00 1444.5 6555.5 16061.2 6522.4
22-Sep-00 1459.9 6478.2 16124.2 6530.0 934.8
23-Sep-00 1451.3 6555.5 16458.3 6405.4 932.2
26-Sep-00 1449.1 6417.3 16311.1 6254.8 923.0
27-Sep-00 1448.7 6410.2 15818.3 6258.6 907.6
28-Sep-00 1439.0 6403.5 15992.9 6336.3 913.7
29-Sep-00 1427.2 6279.9 15928.6 6294.1 910.6
30-Sep-00 1426.6 6199.2 15640.0 6319.8 895.0
13-Oct-00 1458.3 6205.9 15627.0 6311.0 895.9
9-Sep-00 1436.5 6257.1 15747.3 6266.6 878.4
12-Sep-00 1436.2 6213.2 15902.5 6349.2 864.7
3-Oct-00 1426.5 6269.3 15912.1 6400.4 869.7
4-Oct-00 1434.3 6264.1 16149.1 6296.1 879.6
5-Oct-00 1436.3 6294.2 16099.3 6335.1 874.8
6-Oct-00 1409.0 6284.5 15994.2 6258.4 880.9
7-Oct-00 1402.0 6345.0 15994.2 6110.1 883.8
10-Oct-00 1387.0 6334.9 15827.7 6143.3 878.3
11-Oct-00 1364.6 6382.0 15513.6 5956.1 890.3
12-Oct-00 1329.8 6391.2 15550.6 5990.7 890.3
Covariance matrix to calculate volatilities of two unchanged assets using
the biased method
#MACRO? #MACRO?
#MACRO? #MACRO?
HoadleyCovar
Returns the covariance matrix of equally weighted returns for two or more columns of historic asset prices.
Note that the matrix returned by the function contains the covariance of returns, not prices.
Help Index
Example
Results

US$/EURO
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
HoadleyCovarEWMA
Returns the covariance matrix of returns for two or more columns of historic asset prices using the EWMA model.
Note that the matrix returned by the function contains the covariance of returns, not prices.
Help Index
Example
Results

e EWMA model.
US$/EURO
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
HoadleyCorrToCovar
Converts asset volatilities and correlations to a covariance matrix of a specified number of days.
The default matrix is for a period of one day.
Help Index
Example
Inputs
Volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Results
Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
(daily) FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Notes: 1. The above matrix should be the same as the covariance matrix on the covar sheet
2. The function must be entered as an Excel array formula (crtl-shift-enter)
US$/Yen US$/EURO
#MACRO? #MACRO?
US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
HoadleyCovarToCorr
Converts a covariance matrix to a correlation matrix.
Help Index
Example
Inputs
Covariance S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Results
Correlation S&P 500 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
matrix FTSE 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Notes: 1. The above matrix should be the same as the correlation matrix on the CorrelEWMA sheet
2. The function must be entered as an Excel array formula (crtl-shift-enter)
US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
US$/Yen US$/EURO
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
HoadleyOEWMA1
Retuns a covariance matrix and asset volatilities using the orthogonal EWMA model.
Help Index
Example
Inputs
prices (see data below)
Normalization 0
No_components 3
Results
Covariance matrix: 1 Month 2 Months 3 Months 4 Months 5 Months
1 Month #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
2 Months #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Asset orthogonal volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Principal component volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Principal component decay factors #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Asset direct volatilities #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Inputs: Crude Oil Futures Prices

Maturities
Date 1 Month 2 Months 3 Months 4 Months 5 Months
04-Feb-93 20.30 20.31 20.32 20.34 20.36
05-Feb-93 20.21 20.22 20.22 20.23 20.25
08-Feb-93 20.08 20.09 20.10 20.11 20.13
09-Feb-93 20.05 20.04 20.05 20.07 20.10
10-Feb-93 20.18 20.17 20.17 20.19 20.21
11-Feb-93 20.26 20.24 20.24 20.26 20.28
12-Feb-93 19.98 19.98 19.98 20.00 20.02
16-Feb-93 19.53 19.53 19.55 19.59 19.63
17-Feb-93 19.33 19.36 19.42 19.49 19.56
18-Feb-93 19.42 19.53 19.63 19.72 19.81
19-Feb-93 19.62 19.80 19.90 19.99 20.08
22-Feb-93 20.02 20.24 20.31 20.38 20.45
23-Feb-93 20.48 20.48 20.51 20.53 20.55
24-Feb-93 20.53 20.55 20.58 20.60 20.61
25-Feb-93 20.61 20.63 20.65 20.66 20.66
26-Feb-93 20.60 20.64 20.67 20.68 20.68
02-Mar-93 20.47 20.54 20.59 20.62 20.63
03-Mar-93 20.48 20.56 20.62 20.65 20.67
04-Mar-93 21.07 21.12 21.14 21.14 21.13
05-Mar-93 20.93 20.97 20.97 20.95 20.92
08-Mar-93 20.71 20.80 20.83 20.83 20.82
09-Mar-93 20.68 20.76 20.80 20.81 20.81
10-Mar-93 20.39 20.46 20.51 20.53 20.54
11-Mar-93 20.13 20.24 20.30 20.33 20.35
12-Mar-93 20.29 20.41 20.47 20.51 20.53
15-Mar-93 20.16 20.30 20.37 20.42 20.45
16-Mar-93 20.13 20.26 20.32 20.38 20.41
17-Mar-93 20.17 20.30 20.36 20.40 20.42
18-Mar-93 20.29 20.44 20.50 20.53 20.54
19-Mar-93 20.08 20.22 20.31 20.35 20.37
22-Mar-93 19.52 19.76 19.86 19.93 19.98
23-Mar-93 20.03 20.12 20.18 20.23 20.23
24-Mar-93 20.24 20.31 20.35 20.38 20.37
25-Mar-93 20.41 20.50 20.52 20.54 20.52
26-Mar-93 20.41 20.51 20.53 20.55 20.53
29-Mar-93 20.29 20.42 20.46 20.49 20.48
30-Mar-93 20.28 20.47 20.52 20.56 20.56
31-Mar-93 20.44 20.64 20.70 20.74 20.74
01-Apr-93 20.52 20.70 20.76 20.79 20.79
02-Apr-93 20.65 20.83 20.88 20.90 20.89
05-Apr-93 20.62 20.80 20.86 20.89 20.89
06-Apr-93 20.30 20.49 20.58 20.63 20.65
07-Apr-93 20.37 20.54 20.62 20.67 20.69
08-Apr-93 20.22 20.40 20.48 20.54 20.57
12-Apr-93 20.46 20.66 20.74 20.80 20.83
13-Apr-93 20.46 20.66 20.74 20.78 20.81
14-Apr-93 20.40 20.60 20.70 20.75 20.78
15-Apr-93 20.22 20.42 20.56 20.63 20.68
16-Apr-93 20.14 20.38 20.52 20.60 20.65
19-Apr-93 19.99 20.29 20.43 20.52 20.58
20-Apr-93 19.84 20.32 20.46 20.56 20.63
21-Apr-93 20.37 20.53 20.63 20.69 20.73
22-Apr-93 20.15 20.33 20.45 20.53 20.57
23-Apr-93 20.34 20.51 20.63 20.70 20.74
26-Apr-93 20.30 20.49 20.62 20.70 20.74
27-Apr-93 20.18 20.38 20.53 20.62 20.67
28-Apr-93 20.19 20.39 20.54 20.63 20.68
29-Apr-93 20.58 20.73 20.84 20.90 20.93
30-Apr-93 20.53 20.70 20.80 20.84 20.85
03-May-93 20.57 20.72 20.82 20.86 20.87
04-May-93 20.39 20.56 20.67 20.72 20.73
05-May-93 20.46 20.65 20.76 20.82 20.84
06-May-93 20.47 20.65 20.74 20.79 20.80
07-May-93 20.44 20.62 20.72 20.77 20.79
10-May-93 20.44 20.60 20.69 20.74 20.76
11-May-93 20.34 20.51 20.62 20.68 20.71
12-May-93 20.20 20.41 20.52 20.59 20.62
13-May-93 19.78 20.00 20.14 20.23 20.28
14-May-93 19.48 19.79 19.97 20.09 20.16
17-May-93 19.51 19.83 20.02 20.15 20.23
18-May-93 19.34 19.67 19.87 20.00 20.08
19-May-93 19.15 19.61 19.84 19.99 20.08
20-May-93 19.54 19.84 20.04 20.18 20.25
21-May-93 19.88 20.07 20.18 20.23 20.25
24-May-93 19.72 19.95 20.07 20.14 20.18
25-May-93 19.90 20.10 20.21 20.27 20.30
26-May-93 19.89 20.09 20.20 20.26 20.29
27-May-93 20.06 20.24 20.35 20.40 20.42
28-May-93 20.02 20.21 20.31 20.36 20.38
01-Jun-93 20.24 20.39 20.49 20.54 20.56
02-Jun-93 20.03 20.19 20.29 20.34 20.37
03-Jun-93 19.74 19.94 20.05 20.11 20.14
04-Jun-93 19.77 19.97 20.08 20.14 20.18
07-Jun-93 19.54 19.75 19.87 19.96 20.02
08-Jun-93 19.65 19.89 20.01 20.10 20.16
09-Jun-93 19.64 19.93 20.07 20.16 20.23
10-Jun-93 19.28 19.56 19.74 19.84 19.92
11-Jun-93 18.98 19.32 19.53 19.65 19.74
14-Jun-93 18.89 19.26 19.50 19.63 19.72
15-Jun-93 18.58 18.90 19.18 19.35 19.46
16-Jun-93 18.84 19.17 19.43 19.60 19.71
17-Jun-93 18.70 19.00 19.28 19.46 19.58
18-Jun-93 18.67 18.97 19.24 19.43 19.55
21-Jun-93 18.62 18.91 19.19 19.38 19.50
22-Jun-93 18.42 18.82 19.12 19.33 19.46
23-Jun-93 18.86 19.17 19.38 19.52 19.63
24-Jun-93 18.89 19.17 19.37 19.51 19.62
25-Jun-93 18.84 19.13 19.33 19.47 19.58
28-Jun-93 18.90 19.18 19.39 19.54 19.65
29-Jun-93 19.01 19.27 19.47 19.62 19.73
30-Jun-93 18.85 19.11 19.31 19.46 19.58
01-Jul-93 18.45 18.73 18.97 19.18 19.34
02-Jul-93 17.95 18.28 18.54 18.78 18.96
06-Jul-93 18.29 18.54 18.76 18.96 19.13
07-Jul-93 18.02 18.31 18.54 18.75 18.94
08-Jul-93 17.79 18.06 18.30 18.52 18.72
09-Jul-93 17.89 18.13 18.39 18.60 18.80
12-Jul-93 18.10 18.33 18.58 18.78 18.97
13-Jul-93 18.13 18.38 18.61 18.80 18.98
14-Jul-93 17.49 17.69 17.92 18.13 18.33
15-Jul-93 17.67 17.92 18.12 18.31 18.50
16-Jul-93 17.21 17.49 17.69 17.88 18.07
19-Jul-93 17.70 18.25 18.47 18.66 18.84
20-Jul-93 17.09 17.84 18.09 18.28 18.46
21-Jul-93 17.93 18.20 18.39 18.54 18.68
22-Jul-93 17.63 17.94 18.15 18.31 18.45
23-Jul-93 17.75 18.02 18.21 18.36 18.50
26-Jul-93 18.07 18.28 18.44 18.57 18.69
27-Jul-93 18.42 18.62 18.75 18.86 18.97
28-Jul-93 18.23 18.44 18.58 18.69 18.80
29-Jul-93 18.12 18.33 18.49 18.60 18.71
30-Jul-93 17.88 18.16 18.34 18.46 18.58
02-Aug-93 17.97 18.25 18.44 18.57 18.69
03-Aug-93 17.85 18.16 18.37 18.52 18.65
04-Aug-93 17.80 18.11 18.33 18.49 18.62
05-Aug-93 17.57 17.90 18.13 18.30 18.44
06-Aug-93 17.27 17.67 17.91 18.10 18.25
09-Aug-93 17.55 17.94 18.18 18.37 18.52
10-Aug-93 17.52 17.90 18.15 18.34 18.50
11-Aug-93 17.88 18.25 18.49 18.66 18.81
12-Aug-93 18.18 18.53 18.77 18.93 19.07
13-Aug-93 18.14 18.53 18.78 18.93 19.06
16-Aug-93 17.86 18.30 18.58 18.76 18.90
17-Aug-93 17.92 18.35 18.63 18.81 18.95
18-Aug-93 17.66 18.13 18.43 18.64 18.80
19-Aug-93 17.65 18.15 18.45 18.66 18.82
20-Aug-93 18.09 18.29 18.56 18.74 18.89
23-Aug-93 18.53 18.77 18.93 19.07 19.18
24-Aug-93 18.35 18.62 18.79 18.92 19.03
25-Aug-93 18.32 18.61 18.80 18.93 19.04
26-Aug-93 18.36 18.62 18.81 18.94 19.05
27-Aug-93 18.80 19.00 19.16 19.27 19.36
30-Aug-93 18.73 18.92 19.08 19.19 19.28
31-Aug-93 18.29 18.55 18.74 18.87 18.97
01-Sep-93 17.97 18.27 18.45 18.60 18.72
02-Sep-93 17.97 18.27 18.49 18.65 18.79
03-Sep-93 17.73 18.05 18.30 18.47 18.62
07-Sep-93 17.07 17.42 17.73 17.95 18.14
08-Sep-93 17.03 17.40 17.70 17.92 18.12
09-Sep-93 16.97 17.36 17.68 17.90 18.10
10-Sep-93 16.76 17.12 17.46 17.69 17.90
13-Sep-93 16.95 17.30 17.66 17.90 18.11
14-Sep-93 16.96 17.30 17.67 17.92 18.13
0
1
2
3
4
5
6
7
8
9
10
11
12
Additional samples
The sample size here is unrealistically small. More realistic
and comprehensive examples can be downloaded with the
full version of the Derivatives Add-in for Excel.
6 Months 7 Months 8 Months 9 Months 10 Months 11 Months 12 Months

#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Maturities
6 Months 7 Months 8 Months 9 Months 10 Months 11 Months 12 Months
20.38 20.41 20.42 20.42 20.41 20.39 20.37
20.26 20.28 20.29 20.29 20.28 20.25 20.23
20.15 20.17 20.19 20.19 20.18 20.16 20.14
20.12 20.15 20.17 20.17 20.16 20.14 20.12
20.22 20.24 20.26 20.26 20.25 20.23 20.21
20.29 20.31 20.33 20.33 20.32 20.30 20.28
20.03 20.05 20.07 20.07 20.06 20.04 20.02
19.65 19.68 19.71 19.71 19.70 19.68 19.66
19.60 19.64 19.69 19.69 19.68 19.66 19.64
19.87 19.93 19.98 20.00 20.00 19.98 19.96
20.14 20.20 20.25 20.27 20.27 20.25 20.24
20.50 20.54 20.57 20.57 20.56 20.56 20.56
20.57 20.58 20.57 20.55 20.54 20.54 20.54
20.62 20.63 20.62 20.60 20.59 20.58 20.58
20.67 20.68 20.67 20.65 20.63 20.61 20.60
20.69 20.70 20.70 20.68 20.66 20.64 20.62
20.65 20.67 20.67 20.65 20.64 20.63 20.61
20.69 20.71 20.71 20.69 20.67 20.65 20.63
21.13 21.13 21.13 21.11 21.08 21.05 21.03
20.90 20.89 20.88 20.86 20.83 20.80 20.77
20.81 20.80 20.79 20.77 20.74 20.71 20.69
20.80 20.79 20.78 20.76 20.73 20.70 20.68
20.54 20.54 20.53 20.52 20.49 20.46 20.44
20.36 20.36 20.36 20.35 20.33 20.30 20.28
20.53 20.52 20.51 20.49 20.46 20.43 20.41
20.45 20.44 20.43 20.41 20.38 20.35 20.33
20.40 20.39 20.38 20.36 20.33 20.30 20.28
20.40 20.39 20.37 20.35 20.32 20.29 20.27
20.52 20.50 20.47 20.44 20.41 20.38 20.36
20.36 20.35 20.33 20.30 20.27 20.24 20.22
19.98 19.98 19.97 19.96 19.94 19.92 19.91
20.22 20.21 20.20 20.18 20.16 20.15 20.14
20.36 20.35 20.33 20.31 20.29 20.27 20.25
20.50 20.48 20.46 20.43 20.41 20.39 20.37
20.51 20.49 20.47 20.44 20.41 20.39 20.37
20.46 20.44 20.42 20.39 20.36 20.34 20.32
20.55 20.53 20.51 20.48 20.46 20.44 20.42
20.73 20.71 20.69 20.66 20.64 20.62 20.60
20.77 20.75 20.73 20.70 20.68 20.66 20.64
20.87 20.85 20.83 20.80 20.77 20.75 20.73
20.88 20.86 20.84 20.81 20.78 20.76 20.74
20.65 20.64 20.63 20.60 20.58 20.56 20.54
20.69 20.68 20.67 20.64 20.62 20.60 20.58
20.58 20.58 20.57 20.55 20.53 20.51 20.49
20.84 20.84 20.83 20.80 20.78 20.76 20.74
20.82 20.82 20.81 20.78 20.75 20.72 20.70
20.79 20.79 20.79 20.77 20.75 20.73 20.71
20.71 20.72 20.73 20.71 20.69 20.67 20.66
20.69 20.70 20.71 20.69 20.67 20.65 20.64
20.63 20.65 20.66 20.65 20.64 20.63 20.62
20.68 20.71 20.73 20.72 20.71 20.70 20.69
20.75 20.76 20.75 20.74 20.73 20.72 20.71
20.59 20.60 20.59 20.58 20.57 20.56 20.55
20.76 20.77 20.76 20.74 20.72 20.71 20.70
20.76 20.76 20.74 20.72 20.70 20.69 20.68
20.70 20.70 20.68 20.66 20.64 20.63 20.62
20.71 20.71 20.69 20.67 20.65 20.63 20.62
20.95 20.95 20.92 20.90 20.88 20.86 20.85
20.86 20.85 20.82 20.80 20.77 20.75 20.74
20.88 20.87 20.85 20.83 20.80 20.77 20.76
20.74 20.73 20.71 20.68 20.65 20.62 20.61
20.85 20.84 20.82 20.79 20.76 20.73 20.71
20.81 20.79 20.76 20.73 20.70 20.67 20.65
20.80 20.79 20.76 20.73 20.70 20.67 20.65
20.77 20.75 20.72 20.69 20.66 20.64 20.62
20.72 20.71 20.69 20.67 20.64 20.62 20.60
20.63 20.62 20.60 20.58 20.55 20.53 20.51
20.30 20.30 20.29 20.27 20.25 20.23 20.21
20.18 20.19 20.19 20.18 20.17 20.16 20.15
20.25 20.26 20.26 20.25 20.24 20.23 20.22
20.10 20.12 20.12 20.11 20.10 20.09 20.08
20.11 20.13 20.13 20.13 20.12 20.11 20.10
20.28 20.30 20.30 20.30 20.29 20.28 20.27
20.27 20.27 20.27 20.26 20.25 20.24 20.23
20.20 20.20 20.20 20.19 20.18 20.17 20.16
20.31 20.31 20.31 20.30 20.29 20.28 20.27
20.31 20.31 20.30 20.29 20.28 20.27 20.26
20.44 20.43 20.42 20.41 20.40 20.39 20.38
20.40 20.39 20.38 20.37 20.36 20.35 20.34
20.58 20.57 20.56 20.55 20.54 20.53 20.52
20.39 20.38 20.37 20.36 20.35 20.35 20.34
20.16 20.15 20.14 20.13 20.12 20.12 20.11
20.20 20.20 20.19 20.18 20.17 20.17 20.16
20.06 20.08 20.08 20.07 20.06 20.06 20.06
20.20 20.22 20.22 20.21 20.20 20.20 20.20
20.28 20.31 20.32 20.32 20.32 20.32 20.32
19.98 20.03 20.05 20.06 20.07 20.08 20.09
19.81 19.88 19.91 19.93 19.95 19.97 20.00
19.79 19.86 19.89 19.91 19.92 19.93 19.95
19.55 19.63 19.68 19.72 19.75 19.79 19.83
19.80 19.87 19.92 19.95 19.97 20.00 20.03
19.67 19.74 19.79 19.82 19.84 19.87 19.90
19.65 19.73 19.78 19.81 19.83 19.86 19.89
19.60 19.67 19.72 19.75 19.77 19.80 19.83
19.56 19.63 19.68 19.71 19.73 19.76 19.79
19.71 19.76 19.80 19.83 19.86 19.89 19.91
19.70 19.75 19.79 19.82 19.85 19.88 19.90
19.66 19.72 19.77 19.81 19.84 19.87 19.89
19.74 19.81 19.87 19.91 19.95 19.98 20.00
19.82 19.88 19.93 19.97 20.01 20.04 20.06
19.68 19.74 19.80 19.84 19.88 19.91 19.93
19.47 19.56 19.64 19.70 19.76 19.82 19.86
19.11 19.22 19.31 19.38 19.45 19.52 19.57
19.27 19.37 19.45 19.51 19.57 19.63 19.68
19.10 19.20 19.28 19.34 19.40 19.46 19.51
18.92 19.04 19.14 19.22 19.30 19.38 19.44
19.01 19.14 19.24 19.32 19.40 19.48 19.54
19.16 19.29 19.39 19.47 19.55 19.63 19.68
19.15 19.26 19.36 19.44 19.52 19.60 19.65
18.53 18.68 18.79 18.88 18.97 19.06 19.12
18.68 18.82 18.92 19.01 19.10 19.19 19.26
18.24 18.37 18.46 18.55 18.64 18.73 18.80
18.99 19.11 19.20 19.28 19.36 19.44 19.50
18.61 18.73 18.82 18.90 18.98 19.06 19.12
18.79 18.87 18.94 19.01 19.08 19.13 19.17
18.57 18.66 18.74 18.81 18.88 18.93 18.97
18.61 18.70 18.77 18.84 18.89 18.94 18.97
18.78 18.86 18.92 18.98 19.03 19.07 19.10
19.05 19.12 19.17 19.22 19.27 19.31 19.33
18.88 18.96 19.01 19.06 19.11 19.15 19.17
18.79 18.87 18.93 18.99 19.05 19.09 19.11
18.67 18.75 18.82 18.89 18.96 19.01 19.04
18.78 18.87 18.95 19.03 19.10 19.15 19.18
18.75 18.84 18.92 19.00 19.07 19.12 19.16
18.72 18.80 18.87 18.94 19.00 19.05 19.09
18.55 18.63 18.70 18.77 18.83 18.88 18.92
18.37 18.46 18.54 18.62 18.69 18.75 18.80
18.64 18.73 18.81 18.89 18.96 19.02 19.07
18.62 18.72 18.81 18.90 18.97 19.03 19.08
18.92 19.01 19.09 19.17 19.24 19.30 19.35
19.18 19.27 19.34 19.41 19.47 19.53 19.58
19.16 19.25 19.32 19.38 19.44 19.50 19.55
19.01 19.11 19.18 19.25 19.31 19.37 19.42
19.07 19.17 19.24 19.31 19.37 19.43 19.48
18.94 19.06 19.14 19.22 19.29 19.36 19.41
18.96 19.08 19.16 19.24 19.31 19.38 19.43
19.01 19.12 19.19 19.26 19.33 19.40 19.45
19.28 19.35 19.42 19.49 19.56 19.61 19.62
19.14 19.21 19.28 19.35 19.42 19.47 19.49
19.15 19.22 19.29 19.36 19.43 19.48 19.50
19.15 19.22 19.29 19.35 19.41 19.45 19.47
19.45 19.52 19.58 19.64 19.70 19.74 19.75
19.36 19.42 19.48 19.54 19.60 19.64 19.65
19.07 19.14 19.21 19.28 19.34 19.38 19.40
18.84 18.93 19.01 19.09 19.16 19.20 19.22
18.91 19.01 19.10 19.18 19.26 19.31 19.34
18.75 18.85 18.95 19.03 19.11 19.17 19.21
18.30 18.43 18.56 18.66 18.76 18.84 18.89
18.29 18.43 18.56 18.66 18.76 18.84 18.89
18.27 18.41 18.54 18.64 18.74 18.82 18.87
18.08 18.23 18.37 18.48 18.59 18.68 18.74
18.30 18.46 18.60 18.72 18.84 18.94 19.01
18.33 18.49 18.63 18.76 18.89 18.99 19.06
HoadleyOEWMA2
Produces a history of volatilieis produced by the direct EWMA method
and by the orthoronal EWMA method.
Help Index
Example
Inputs
prices (data on OEWMA1 sheet)
Normalization 1
No_components 2
Asset_no 6
1200.0%
Direct
Orthogonal
1000.0%
800.0%
600.0%
400.0%
200.0%
0.0%
08-Feb-93 08-Mar-93 08-Apr-93 08-May-93 08-Jun-93 08-Jul-93 08-Aug-93 08
Results Additional samples

Volatility The sample size here is unrealistically small. Mo
Date Direct Orthogonal realistic and comprehensive examples can be
04-Feb-93 ### #MACRO? downloaded with the full version of the Derivative
05-Feb-93 ### #MACRO? Add-in for Excel.
08-Feb-93 ### #MACRO?
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Direct
Orthogonal
3 08-Aug-93 08-Sep-93
is unrealistically small. More

ensive examples can be
full version of the Derivatives
0
1
2
3
4
5
6
7
8
9
10
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12
HoadleyOGARCH1
Retuns a covariance matrix and asset volatilities using the orthogonal GARCH model.
Help Index
Example
GARCH requires a large number of prices for successeful convergence. Instead of

including the data in this samples spreadsheet, and thus significantly increasing its size,
examples of orthogonal GARCH are included in the additional samples spreadsheets
which can be downloaded with the full version of the Derivatives Add-in for Excel.
HoadleyOGARCH2
Produces a history of volatilieis produced by the direct GARCH(1,1) method and by the
orthoronal GARCH method.
Help
Example
GARCH requires a large number of prices for successeful convergence. Instead of

including the data in this samples spreadsheet, and thus significantly increasing its size,
an example of orthogonal GARCH is included in the additional samples spreadsheets
which can be downloaded with the full version of the Derivatives Add-in for Excel.
Also see the example in the spreadsheet for the HoadleyOEWMA2 function which is very
similar to the HoadleyOGARCH2 function
HoadleyPriceDist
Returns skewness and kurtosis coefficients, and standard
errors of skewness and kurtosis, from a sample of
historical asset prices
Index
Help
Example
Inputs Results Value
Closing prices
For one year Skewness: ###
10.61 Excess kurtosis ###
10.65
10.75 Standard error of skewness: ###
10.58 Standard error of kurtosis ###
10.38
10.73 Significance tests:
10.76 Skewness T ratio: ###
10.85 Kurtosis T ratio: ###
10.80
10.55
10.34
10.65
10.80 Note: Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.
10.43
10.55
10.67 http://www.hoadley.net/options
10.50
10.38
10.40
10.60
10.80
10.95
10.49
10.18
10.10
10.25
9.72
9.44
9.67
9.58
9.57
9.29
9.22
9.31
9.41
9.50
9.57
9.60
9.68
9.55
9.55
9.69
9.45
9.55
9.57
9.57
9.33
9.12
9.26
9.45
9.37
9.38
9.30
9.16
9.05
9.13
9.33
9.20
9.28
9.49
9.67
9.53
9.34
9.29
9.35
9.34
9.41
9.52
9.33
9.35
9.25
9.19
9.21
9.32
9.44
9.74
9.72
9.60
9.53
9.43
9.40
9.34
9.36
9.37
9.31
9.30
9.31
9.31
9.21
9.24
9.14
9.30
9.25
9.27
9.32
9.40
9.26
9.34
9.30
9.35
9.32
9.37
9.48
9.45
9.35
9.26
9.31
9.31
9.46
9.50
9.41
9.56
9.52
9.64
9.48
9.48
9.54
9.42
9.41
9.47
9.47
9.55
9.35
9.00
9.05
9.09
9.08
9.03
8.95
8.89
8.80
8.75
8.74
8.96
9.02
9.10
9.05
9.05
9.02
9.01
9.11
9.11
9.02
8.87
9.02
8.98
9.04
9.06
9.12
9.07
9.07
9.08
9.05
9.00
8.99
8.83
8.84
8.88
8.99
8.90
8.75
8.73
8.47
8.49
8.50
8.66
9.05
9.40
9.46
9.44
9.61
9.62
9.47
9.31
9.30
9.39
9.45
9.55
9.32
9.46
9.54
9.50
9.55
9.50
9.36
9.57
9.65
9.65
9.75
9.76
9.64
9.76
9.91
9.95
10.02
9.84
9.95
9.98
10.25
10.32
10.25
10.30
10.23
10.13
9.96
9.95
9.82
9.98
9.86
9.80
9.92
9.91
10.13
10.02
9.95
9.94
9.86
9.89
10.00
10.31
10.28
10.38
10.11
10.04
9.75
9.63
9.60
9.55
9.71
9.88
9.73
9.60
9.70
9.65
9.82
9.95
9.84
9.89
9.84
9.94
9.76
9.73
9.80
9.86
9.75
9.50
9.55
9.60
9.54
9.68
9.51
9.48
9.39
Comment
(based on daily sampling)

(based on daily sampling)
Skewness not statistically different from normality.

Kurtosis is significantly different from that expected
from a lognormal distribution of prices.
(see help file for significance testing)
n stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyAutoCorrel
Returns the autocorrelation coefficient and Ljung-Box significance test results for a sample of prices, the (log) returns of
or the square of the returns. The most common use will be to test for volatility clustering: volatility clustering implies stron
autocorrelation in squared returns. Significant volatility clustering is one indication that the GARCH volatility model is app
for the data.
Index
Help
Example
Inputs Results
Closing prices Confidence level: 2%
For one year data_type: 3 Null hypothesis: there is no autocorrelation for this data_type
Chi-
Auto- Chi- square
corre- Ljung-Box square critical
lag lation statistic P-value value
1 ### #MACRO? ### 5.412
10.61 2 ### #MACRO? ### 7.824
10.65 3 ### #MACRO? ### 9.837
10.75 5 ### #MACRO? ### 13.388
10.58 10 ### #MACRO? ### 21.161
10.38 20 ### #MACRO? ### 35.020
10.73 30 ### #MACRO? ### 47.962
10.76
10.85
10.80
Notes:
10.55 1. See the Historic Volatility Calculator (included with full version of the add-in) for a practical ex
10.34 this function can be used to evaluate GARCH suitability.
10.65
10.80 2. Closing prices for Australian stock TabCorp from 22nd Jan 2001 to 21st Jan 2002.
10.43
10.55
10.67 http://www.hoadley.net/options
10.50
10.38
10.40
10.60
10.80
10.95
10.49
10.18
10.10
10.25
9.72
9.44
9.67
9.58
9.57
9.29
9.22
9.31
9.41
9.50
9.57
9.60
9.68
9.55
9.55
9.69
9.45
9.55
9.57
9.57
9.33
9.12
9.26
9.45
9.37
9.38
9.30
9.16
9.05
9.13
9.33
9.20
9.28
9.49
9.67
9.53
9.34
9.29
9.35
9.34
9.41
9.52
9.33
9.35
9.25
9.19
9.21
9.32
9.44
9.74
9.72
9.60
9.53
9.43
9.40
9.34
9.36
9.37
9.31
9.30
9.31
9.31
9.21
9.24
9.14
9.30
9.25
9.27
9.32
9.40
9.26
9.34
9.30
9.35
9.32
9.37
9.48
9.45
9.35
9.26
9.31
9.31
9.46
9.50
9.41
9.56
9.52
9.64
9.48
9.48
9.54
9.42
9.41
9.47
9.47
9.55
9.35
9.00
9.05
9.09
9.08
9.03
8.95
8.89
8.80
8.75
8.74
8.96
9.02
9.10
9.05
9.05
9.02
9.01
9.11
9.11
9.02
8.87
9.02
8.98
9.04
9.06
9.12
9.07
9.07
9.08
9.05
9.00
8.99
8.83
8.84
8.88
8.99
8.90
8.75
8.73
8.47
8.49
8.50
8.66
9.05
9.40
9.46
9.44
9.61
9.62
9.47
9.31
9.30
9.39
9.45
9.55
9.32
9.46
9.54
9.50
9.55
9.50
9.36
9.57
9.65
9.65
9.75
9.76
9.64
9.76
9.91
9.95
10.02
9.84
9.95
9.98
10.25
10.32
10.25
10.30
10.23
10.13
9.96
9.95
9.82
9.98
9.86
9.80
9.92
9.91
10.13
10.02
9.95
9.94
9.86
9.89
10.00
10.31
10.28
10.38
10.11
10.04
9.75
9.63
9.60
9.55
9.71
9.88
9.73
9.60
9.70
9.65
9.82
9.95
9.84
9.89
9.84
9.94
9.76
9.73
9.80
9.86
9.75
9.50
9.55
9.60
9.54
9.68
9.51
9.48
9.39
1
2
3
est results for a sample of prices, the (log) returns of the prices,
or volatility clustering: volatility clustering implies strong
one indication that the GARCH volatility model is appropriate
othesis: there is no autocorrelation for this data_type
Meaning
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
luded with full version of the add-in) for a practical example of how
CH suitability.
orp from 22nd Jan 2001 to 21st Jan 2002.

HoadleyProbAtEnd
Returns the probability of the spot price being above or
below a target price at the end of the specified number
of days.
Index
Help
Example
Inputs
Prob_type A
Target_price 55.00
Spot 50.00
Days 365
Volatility 30%
Expected_return 5%
Optional arguments:
Dividend_type D
Dividends 2.50
Days_to_ex_dates 182.5
From a work- From VBA

Results Prob_type sheet cell module
Probability of spot being above target at end: A #MACRO? #VALUE!
Probability of spot being below target at end: B #MACRO? #VALUE!
Probability of being above when expected return = 0 #MACRO? #VALUE!

and dividend = 0 (equivalent to a stock #MACRO? #VALUE!
with a dividend yield equal to expected return)
N
C
D
### HoadleySpotAtEnd
Calculates the future spot price that has a specified
probability of occurring.
of the add-in
Index
Help
Examples
Inputs
Prob_type B
Probability Cone
Spot 50.00
Days
Column
Volatility 20% AM
Expected_return 5% 99%
Probability 95%
Optional arguments:
Dividend type N
Dividends 2.00
Days_to_ex_dates 87
The HoadleySpotAtEnd function can be used to

produce probability cones. They show the percentage
of time that the stock (or futures, currency, or index)
falls within various probability bands for each date from
now until the end of the period. For example, the graph
shows that 80% of the time the future asset price will
fall within the blue "cone". Note: change dividend type
to "D" to see impact of dividends.
0 20 40 60 80 0 0 0 0 0 0 0 0
10 12 14 16 18 20 22 24
Target probability bands Days from time-now
99% 95% 80% 40%
Example 1: Probability of being below spot price after specified days from time now
Days from 99.5% 97.5% 90.0% 70.0% 30.0% 10.0% 2.5%
time-now Spot price at days from time-now
0 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Probability Cones
60.0
55.0 Future spot price
50.0
45.0
40.0
35.0
30.0
0 0 0 0 0 0 0 0 0 0 0 0
14 16 18 20 22 24 26 28 30 32 34 36
Days from time-now
time now Example 2:

0.5%
Prob_type A
#MACRO? Target_price 60.00
#MACRO? Days 250
#MACRO?
#MACRO? Prob at end #MACRO?
#MACRO? Spot at end #MACRO?
#MACRO? (=Target_price)
#MACRO? The above example illustrates that
#MACRO? HoadleyProbAtEnd function and the
#MACRO? HoadleySpotAtEnd function are
#MACRO? consistent with each other.
#MACRO? ie the "spot at end" produced by the
#MACRO? HoadleySpotAtEnd function is
#MACRO? the same as the target_price input
#MACRO? to the HoadleyProbAtEnd function.
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
A
B
N
C
D
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
50.00
HoadleyProbAnyTime1
Returns the probability of the spot price ever being above or below
a target price at any time during a specified number of days.
the add-in.
Index
Help
Example showing probabilities by volatility and spot price
Inputs
Prob_type A
Target_price 60.00
Spot
Days 300
Volatility 30%
Expected_return 10%
Optional arguments:
Dividend_yield 0%
Observations_per_day 1
Results
The following table shows the probability of the spot price being above the target at any time.
The "at end probability" is shown for comparison.
Spot Price
Volatility Any time during period At end of period
45.00 50.00 55.00 60 45.00 50.00 55.00 60.00
5% ### ### ### ### ### ### ### ###
10% ### ### ### ### ### ### ### ###
15% ### ### ### ### ### ### ### ###
20% ### ### ### ### ### ### ### ###
25% ### ### ### ### ### ### ### ###
30% ### ### ### ### ### ### ### ###
35% ### ### ### ### ### ### ### ###
40% ### ### ### ### ### ### ### ###
45% ### ### ### ### ### ### ### ###
50% ### ### ### ### ### ### ### ###
55% ### ### ### ### ### ### ### ###
60% ### ### ### ### ### ### ### ###
HoadleyProbAnyTime1T
Returns the probability of the spot price ever being above or below target price at
any time during a specified number of days. Probabilties are calculated using a trinomial
tree. Specifically useful for calculating probabilities on stocks paying discrete dividends.
Index
Help
Example
Inputs
Prob_type A
Target_price 120.00
Spot 100.00
Days 365
Volatility 30%
Expected_return 7.00%
Optional arguments:
Dividend_type D

Dividend 1 2.00 5
Dividend 2 3.00 190
observations_per_day 0
Trinomial_steps 200
Results
Including dividends #MACRO?
Excluding dividends: HoadleyProbAnyTime1T #MACRO?

Excluding dividends: HoadleyProbAnyTime1 #MACRO?
N
C
D
A
B
HoadleySpotAnytTime
Calculates the future spot price that has a specified
probability of occurring at any time during a specified number
of days.
add-in.
Index
Help
Inputs
Prob_type A
Spot 100
Probability 35.0%
Days 250
Volatility 25%
Expected return 8%
Optional arguments:
Dividend yield 3%
Results
Target spot price ###
Probability from HoadleyProbAnyTime1 ###
A
B
HoadleyProbAnyTime2
Returns the probability of the spot price moving outside a target range at any
time during a specified number of days. It also will return the probability of moving
outside both prices in the range, or remaining within the range at all times.
Index
Help
Example
Inputs
prob_type E
upper_target 55.00
lower_target 45.00
spot 50.00
days 100.00
volatility 30%
expected_return 7.00%
Optional arguments:
dividend_yield 0.00%
observations_per_day 0.00
Results Prob_type Value

Probability of being either above or below target at any time E #MACRO?
Prob of remaining within target range at all times N #MACRO?
Probability of being both above upper and below lower targets B #MACRO?
Probability of being between target prices at some time W #MACRO?
Probability of being above upper target at any time A #MACRO?

Probability of being below lower target at any time B #MACRO?
Probability of being above upper target at end of period A #MACRO?

Probability of being below lower target at end of period B #MACRO?
HoadleyProbAnyTime2T
Returns the probability of the spot price moving outside a target range at
any time during a specified number of days. Probabilties are calculated using a trinomial
tree. Specifically useful for calculating probabilities on stocks paying discrete dividends.
Index
Help
Example
Inputs
Prob_type E
Upper_target 120.00
Lower_target 60.00
Spot 100.00
Days 365
Volatility 30%
Expected_return 7.00%
Optional arguments:
Dividend_type D

Dividend 1 2.00 5
Dividend 2 3.00 190
Trinomial_steps 300
Results
Including dividends #MACRO?
Excluding dividends: HoadleyProbAnyTime2T #MACRO?

Excluding dividends: HoadleyProbAnyTime2 #MACRO?
N
C
D
HoadleyProbDist
Returns an array containing the probability distribution for a range of
asset prices. The skewness and kurtosis of the distribution can be
specified to handle non-lognormally distributed prices.
Index
Help
Example
Inputs Note: This function returns an array of price
spot 70.00 as an Excel array formula.
days 180
volatility 35% This is done by highlighting the range which
expected_return 5.0% wizard to enter all arguments, and then hittin
Optional arguments:
dividend_yield 0%
skewness -0.50
Excess kurtosis 1.50
Results
Probability Distribution Price Probabil
non-
Price gap: 1.00 Prices lognormal lognormal
30 34 38 42 46 50 54 58 62 66 70 74 78 82
42.00 #MACRO? #MACRO? Asset Pr
46.00 #MACRO? #MACRO? http://www.hoadley.net/o
n returns an array of prices and as such the function must be entered
ormula.
hlighting the range which is to receive the results, using the function
arguments, and then hitting ctrl-shift-enter to enter the formula.
Price Probability Distribution
Log-normal
Non log-normal
0 54 58 62 66 70 74 78 82 86 90 94 98 02 06 10 14 18 22 26 30
1 1 1 1 1 1 1 1
Asset Price
Monte Carlo Simulation Class
Will produce a range of underlying asset probabilities in situations where no analytic solution is possible.
Can also be used to generate a sequence of lognormally distributed stock prices for a given volatility, expected
return and duration.
This object is only available in the full version of the add-in.
Index
Help
Examples:
1. Calculating probabilities
Inputs: Results:
Upper target 60.00 Probabilities:
Lower target 45.00 Above upper target at expiration
Spot 50.00 Above upper target at any time
Days 100 Below lower target at expiration
Volatility 30% Below lower target at any time
Expected return 10% Touching either target
Dividend type D Touching neither target
Dividend amount 2.00 Touching both targets
Days to ex dividend 60 Being between targets at any time
Number of dividends 1
Prices per day 1 Average end price:
Iterations 2,000
2. Deriving a call price from simulation

This illustrates how simulation can be used to derive the price of an option (in this case a call).
The Black-Scholes price is shown for comparison. A large number of iterations (eg 500,000) will produce a price very clo
To the Black-Scholes price. This proves that the prices produced by simulation are lognormally distributed.
Inputs: Results:
Spot price 100.00
Strike 98.00 Call price from simulation:
Volatility 30%
Days 50 Call price from Black-Scholes:
Risk free interest rate 5%
Number of iterations 30,000
3. Production of normal distribution curve

A simulated lognormal distribution curve is compared to a distribution produced analytically. As the number of iterations
The simulated distribution converges on the analytic distribution. This example is also proof that the prices produced by
Lognormally distributed.
Inputs: Results:
Current price 90 Gap between prices:
Volatility 30%
Days 365 Price
Expected return 7% 24
Iterations 50,000 26
(Change iterations to, say, 5,000 and 28
see the effect) 30
32
Simulated & Analytic Lognormal Probability Distributions 34
36
Probability
Simulated & Analytic Lognormal Probability Distributions
38
Probability 40
42
44
46
48
50
52
54
56
58
60
62
64
66
68
24 32 40 48 56 64 72 80 88 96 104 112 120 128 136 144 152 160 168 176 184 192 20Simulation
0 08 16
2 2 70
Stock Price Analytic 72
74
76
78
80
82
84
86
88
90
92
94
96
98
100
102
104
106
108
110
112
114
116
118
120
122
124
126
128
130
132
134
136
138
140
142
144
146
148
150
152
154
156
158
160
162
164
166
168
170
172
174
176
178
180
182
184
186
188
190
192
194
196
198
200
202
204
206
208
210
212
214
216
218
220
222
n is possible.
n volatility, expected
get at expiration 10.1%

get at any time 19.6%
get at expiration 30.8%
get at any time 51.5%
70.5%
29.6%
0.6%
targets at any time 100.0%
49.36
) will produce a price very close

ally distributed.
5.82
###
. As the number of iterations increases,

f that the prices produced by the simulation object are
Gap between prices: 2

Simulation Analytic
Frequency Prob Prob below Prob
0 0.000 #MACRO? 0.000
1 0.000 #MACRO? ###
1 0.000 #MACRO? ###
2 0.000 #MACRO? ###
6 0.000 #MACRO? ###
13 0.000 #MACRO? ###
27 0.001 #MACRO? ###
32 0.001 #MACRO? ###
58 0.001 #MACRO? ###
78 0.002 #MACRO? ###
121 0.002 #MACRO? ###
176 0.004 #MACRO? ###
211 0.004 #MACRO? ###
309 0.006 #MACRO? ###
346 0.007 #MACRO? ###
454 0.009 #MACRO? ###
554 0.011 #MACRO? ###
631 0.013 #MACRO? ###
709 0.014 #MACRO? ###
863 0.017 #MACRO? ###
969 0.019 #MACRO? ###
1061 0.021 #MACRO? ###
1187 0.024 #MACRO? ###
1223 0.024 #MACRO? ###
1329 0.027 #MACRO? ###
1299 0.026 #MACRO? ###
1361 0.027 #MACRO? ###
1368 0.027 #MACRO? ###
1492 0.030 #MACRO? ###
1501 0.030 #MACRO? ###
1457 0.029 #MACRO? ###
1516 0.030 #MACRO? ###
1456 0.029 #MACRO? ###
1419 0.028 #MACRO? ###
1469 0.029 #MACRO? ###
1453 0.029 #MACRO? ###
1398 0.028 #MACRO? ###
1359 0.027 #MACRO? ###
1331 0.027 #MACRO? ###
1215 0.024 #MACRO? ###
1197 0.024 #MACRO? ###
1168 0.023 #MACRO? ###
1169 0.023 #MACRO? ###
1012 0.020 #MACRO? ###
1032 0.021 #MACRO? ###
908 0.018 #MACRO? ###
870 0.017 #MACRO? ###
885 0.018 #MACRO? ###
816 0.016 #MACRO? ###
683 0.014 #MACRO? ###
636 0.013 #MACRO? ###
670 0.013 #MACRO? ###
601 0.012 #MACRO? ###
539 0.011 #MACRO? ###
519 0.010 #MACRO? ###
451 0.009 #MACRO? ###
465 0.009 #MACRO? ###
415 0.008 #MACRO? ###
395 0.008 #MACRO? ###
340 0.007 #MACRO? ###
352 0.007 #MACRO? ###
280 0.006 #MACRO? ###
248 0.005 #MACRO? ###
236 0.005 #MACRO? ###
221 0.004 #MACRO? ###
210 0.004 #MACRO? ###
167 0.003 #MACRO? ###
190 0.004 #MACRO? ###
176 0.004 #MACRO? ###
178 0.004 #MACRO? ###
111 0.002 #MACRO? ###
128 0.003 #MACRO? ###
126 0.003 #MACRO? ###
110 0.002 #MACRO? ###
94 0.002 #MACRO? ###
81 0.002 #MACRO? ###
89 0.002 #MACRO? ###
63 0.001 #MACRO? ###
70 0.001 #MACRO? ###
64 0.001 #MACRO? ###
48 0.001 #MACRO? ###
40 0.001 #MACRO? ###
43 0.001 #MACRO? ###
45 0.001 #MACRO? ###
39 0.001 #MACRO? ###
38 0.001 #MACRO? ###
24 0.000 #MACRO? ###
29 0.001 #MACRO? ###
29 0.001 #MACRO? ###
16 0.000 #MACRO? ###
27 0.001 #MACRO? ###
13 0.000 #MACRO? ###
25 0.001 #MACRO? ###
16 0.000 #MACRO? ###
18 0.000 #MACRO? ###
14 0.000 #MACRO? ###
8 0.000 #MACRO? ###
9 0.000 #MACRO? ###
6 0.000 #MACRO? ###
4 0.000 #MACRO? ###
49,911 1.00 ###
HoadleyHedge
Returns an array containing the number of options and/or number of units in the
underlying to achieve specific hedge ratio targets with respect to one or more
of a portfolio's position delta, position gamma and position vega. An example
would be making a portfolio both delta and vega neutral.
Index
Help
Portfolio example
Portfolio: general valuation details Note:
Spot 27.80 1. The function must be entered as an Excel array formula.
Valuation date 20-Apr-04 for details.
Volatility 30.0% 2. Set the "use_underlying" argument to TRUE or FALSE to
Risk free rate 4.00% on hedging of using or not using trades in the underlying.
Portfolio: holdings and current position greeks

Options portfolio: Put or Call Strike Expiry QTY
C 25.00 30-Sep-04 3000
C 26.00 31-Aug-04 2000
P 27.00 30-Nov-04 -1000
P 30.00 30-Jun-04 3000
C 30.00 30-Nov-04 -2000
Underlying position: 780
Net portfolio position: Current Position greeks:
Target portfolio hedge ratios (greeks):
Required adjustment to portfolio greeks:
Options to be used for adjusting hedge ratios

Put or Call Strike Expiry
Option 1 (currently in portfolio) C 25.00 30-Sep-04
Option 2 (currently in portfolio) P 27.00 30-Nov-04
Option 3 (not currently in portfolio) C 28.00 31-Dec-04
Hedging results
Hedge Change in number of units
Type Underlying Option 1 Option 2 Option 3
Delta D #MACRO? #MACRO? #MACRO? #MACRO?
Delta, gamma DG #MACRO? #MACRO? #MACRO? #MACRO?
Vega V #MACRO? #MACRO? #MACRO? #MACRO?
Delta, vega DV #MACRO? #MACRO? #MACRO? #MACRO?
Delta,gamma,vega DGV #MACRO? #MACRO? #MACRO? #MACRO?
1
0
tered as an Excel array formula. See help
" argument to TRUE or FALSE to see the impact

using trades in the underlying.
Delta Gamma Vega

#MACRO? #MACRO? #MACRO?
1.000
0 0 0
Delta Gamma Vega Use_underlying

#MACRO? #MACRO? #MACRO? 1
Change in position greeks New position greeks

Delta Gamma Vega Delta Gamma Vega
#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
HoadleyHedgeOptimize
Scans a set of options for an underlying and, depending on specified criteria, selects
the optimal combination of trades (a scenario) which will meet target changes in one or
more of the position delta, gamma, or vega.
Index See the Implied Volatility Calculator (included with

Help
the addin) for an example of how this function can
be used.
Example
Available options (eg from option chain) D G V
Option no. Put/Call Strike Expiry Volatility Delta Gamma Vega
Option 1 C 96.00 01-Dec-04 22% #MACRO? #MACRO? #MACRO?

Option 4 C 102.00 01-Nov-04 20% #MACRO? #MACRO? #MACRO?
Option 5 C 104.00 01-Oct-04 20% #MACRO? #MACRO? #MACRO?
Option 7 P 97.00 01-Sep-04 20% #MACRO? #MACRO? #MACRO?
Option 8 P 99.00 01-Sep-04 20% #MACRO? #MACRO? #MACRO?
Option 9 P 101.00 01-Dec-04 20% #MACRO? #MACRO? #MACRO?
Results Reply Units in U/L Option

Each line represents an optimal scenario code to buy/sell number 1
Scenario 1: Theta maximized #MACRO? #MACRO? #MACRO?
Scenario 2: Net credit from options trades maximized #MACRO? #MACRO? #MACRO?
Scenario 3: Absolute value of options trades minimized #MACRO? #MACRO? #MACRO?
Scenario 4: Number of shares traded in U/L minimized #MACRO? #MACRO? #MACRO?
Scenario 1: Theta is maximized Scenario 2: Credit from op

Trade combos Delta Gamma Vega Theta Value Trades
U/L ### U/L
#MACRO? ### ### #MACRO? #MACRO? #MACRO? #MACRO?
Position totals ### ### #MACRO? #MACRO? #MACRO? Pos'n totals
Scenario 3: Absolute value from options trades is minimized Scenario 4: Absolute units
Trade combos Delta Gamma Vega Theta Value Trades
U/L ### U/L
Position totals ### ### #MACRO? #MACRO? #MACRO? Pos'n totals
D
DG
V
DV
DGV
1
0
Option 0
T P General valuation parameters
Theta Price Spot 100.00
Valuation date 18-Apr-04
#MACRO? #MACRO? Risk free rate 5.00%
#MACRO? #MACRO?
#MACRO? #MACRO? Hedging requirements
#MACRO? #MACRO? Target change in position delta 93.5
#MACRO? #MACRO? Target change in position gamma -4.9
#MACRO? #MACRO? Target change in position vega -58.4
#MACRO? #MACRO?
#MACRO? #MACRO? Type of hedging DGV
#MACRO? #MACRO? Use underlying 1
#MACRO? #MACRO? Constraints:
#MACRO? #MACRO? Maximum value of any one option trade 10,000
Maximum quantity of any one option trade
Minimum delta to be included 0.10
Maximum delta to be included
Options to Option Options to Option Options to

buy/sell number 2 buy/sell number 3 buy/sell
Scenario 2: Credit from options trades is maximized

Delta Gamma Vega Theta Value
#MACRO?
Scenario 4: Absolute units in underlying traded is minimized

Delta Gamma Vega Theta Value
#MACRO?
HoadleyPortInsure
Returns the expected future index level (eg S&P500) for a specified future
portfolio value. This function can be used to calculate the strike of index
put options which can be used to insure a portfolio of equities against
falling below a specific value.
Help Index
Example
Insure portfolio against dropping below $1,000,000
Inputs
Beta 1.5
Days 90
Div_yield_index 4.5%
Div_yield_pfolio 2.0%
Value_index (current index level) 4958
Value_portfolio Current value 1,200,000
future_portfolio Insured value 1,000,000
Index_multilier 10
rate_type C
Results: Today calc_type Value

Strike of index option required: F ###
Number of index options required N ###
Cost of insurance using put options (volatility = 15%) ###

(value of one option is multiplied by index_multplier & no options)
Results: At option expiry, to prove insurance works

Assume portfolio has dropped in value to 750,000
Expected value of index: ###
Change in portfolio value (from insured value) -250,000

Gain on index options (ie payoff at expiry) ###
The above result shows that the loss on the portfolio is exactly offset by the
gain on the index put options.
HoadleyPLExpiry
Returns the profit or loss of an option trade at option
expiry.
Index
Help
Example:
Inputs
Option Option
trade 1 trade 2
Option_type C C
No_options 4,000 -4,000
Strike 9.50 11.00
Initial_option_price 1.153 0.421
Results
Stock price at expiry 7.50 8.00 8.50 9.00 9.50
P/L for option trade 1 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
P/L for option trade 2 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Total deal profit/loss #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Total Profit/Loss
12
Profit/Loss
10
0
7.50 8.00 8.50 9.00 Stock10.00
9.50 Price at10.50
Expiry 11.00 11.50 12.00 12.50
C
P
10.00 10.50 11.00 11.50 12.00 12.50
12.00 12.50
HoadleyPLIfClose
Returns the profit or loss of an option trade if closed at
any time prior to expiry.
Index
Help
Example:
Inputs
Pricing_model 2 Profit/Loss if closed prior to e
Profit/Loss
12
Option_type P
No_options -1,000
10
Strike 50
Expiry_date 31-Dec-03
Volatility 30% 8
Risk_free_rate 5%
Initial_option_price 6.2 6
Optional arguments: 4
Dividend_type D
2
Dividend_details Amt Ex-div
1.00 10-Apr-03 0
35.00 40.00 45.00 50.00 Stock
55.00 Price
60.00 65.
Binomial_steps 50
Results
Stock price 35.00 40.00 45.00 50.00 55.00
Profit/Loss at expiry #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Analysis
dates
Profit/Loss at analysis date 1 31-Mar-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Profit/Loss at analysis date 2 31-Jul-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Profit/Loss at analysis date 3 31-Oct-03 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
1
2
3
C
P
N
C
D
Loss if closed prior to expiry
Expiry
31-Oct-03
31-Jul-03
31-Mar-03
0 Stock
55.00 Price
60.00 65.00 70.00 75.00
60.00 65.00 70.00 75.00


HoadleyPLUnderlying
Returns the profit or loss of a position in the underlying
asset as at a specified date. The function takes into
account dividends received or paid.
Index
Help
Example:
Inputs
No_units 1,000 Covered Call Profit/Loss
Initial_price 20.00 12
Profit/Loss
Initial_transaction_date 1-Jan-03
Analysis_date 30-Jun-03 10
Optional arguments: 8
Dividend_type D
6
Dividend_details Amt Ex-div
Dividend 1 1.00 1-Mar-03 4
Dividend 2 0.60 1-Jun-03
2
0
16.00 17.00 18.00 19.00 Stock
20.00Price21.00
at Expiry22.
Results: Payoff diagram for covered call

Stock price 16.00 17.00 18.00 19.00 20.00
Stock P/L #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Call option details:
strike: 20.00
Initial option price 0.512
Option P/L at expiry #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Total covered call P/L #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
N
C
D
overed Call Profit/Loss
0 Stock
20.00Price21.00
at Expiry22.00 23.00 24.00 25.00
21.00 22.00 23.00 24.00 25.00


HoadleyFuturesPrice
Returns the forward or futures price of an investment asset.
Help Index
Example
Inputs
Calc_type P
Value_date 07-Apr-03
Maturity_date 30-Nov-03
Spot 102.00
Optional arguments:
Income_type D
Income_details: Amt Date

Income payment 1 (eg coupon) 2.50 04-May-03
Income payment 2 2.50 04-Nov-03
Futures_price
Results -1 Calc Type Results

Futures price P #MACRO?
Implied risk free rate IR #MACRO?
Option
Results - 2 details Results
Strike: 100
Price volatility 12%
Call/Put C
Spot option (uses spot price): #MACRO?
Futures option (uses futures price): #MACRO?
This example shows that a European futures option is worth
exactly the same as a spot option if the option matures at the
same time as the futures contract. This example proves the
consistency of the futures and options functions.
C
P
N
C
D
HoadleyFuturesConVal
Returns the profit or loss of a position in the underlying
asset as at a specified date.
Help Index
Example
Inputs
Value_date 10-May-03
Maturity_date 03-Dec-03
Spot 102.00
Delivery_price 98.74
Income_type C
Income_details 2.50%
Results Value
Contract value #MACRO?
N
C
D
HoadleyVarianceSwap1
Calculates the fair variance, cost and weights of a hedging portfolio of options for a variance swap
Help Index
Example
Inputs
Calculation_type Vols_by_strike Strike Volatility
Asset_price 100.00 50.00 30.0%
Days 90 55.00 29.0%
Risk_free_rate 5.0% 60.00 28.0%
Div_yield 0.0% 65.00 27.0%
70.00 26.0%
75.00 25.0%
80.00 24.0%
85.00 23.0%
90.00 22.0%
95.00 21.0%
100.00 20.0%
105.00 19.0%
110.00 18.0%
115.00 17.0%
Results Calc_type Value 120.00 16.0%
Fair variance (strike) VAR #MACRO? 125.00 15.0%
Fair variance as volatility VOL #MACRO? 130.00 14.0%
Cost of options portfolio C #MACRO? 135.00 13.0%
Results - Options portfolio

Put/Call Strike Volatility Weights Option Val Contribution
Total #MACRO?
HoadleyVarianceSwap2
Calculates the value of variance swap some time after inception
Help Index
Example
Inputs
Calculation_type
Calendar_days_left 150
Risk_free_rate 5.0%
Trading_days_passed 57
Trading_days_left 106
vol_realized 15.75%
Vol_implied 13.30%
Vol_strike 12.00%
Optional argument
Vol_cap 0.00%

Fair value (per unit) FV #MACRO?
Net variance Var #MACRO?
Net volatility Vol #MACRO?
P&L realized to date (per unit) P&L #MACRO?
VaRtools - HoadleyVaRLinear
Returns the Value at risk for a portfolio of instruments linearly dependent on
market variables.
Index
Help
Example
Inputs
S&P 500 NASDAQ DAX 100 US$/Euro

Volatilities 18.5% 37.0% 24.0% 9.7%

Corr_matrix S&P 500 1.00 0.92 0.36 -0.17
NASDAQ 1.00 0.41 -0.15
DAX 100 1.00 -0.23
US$/Euro 1.00

Positions (US$) 780,000 -250,000 450,000 300,000
VaR_days 5
Conf_interval 1%
Trading_days_pa 252
Results (VaR & CVar) Value

Value at risk (US$): ###
Conditional Value at Risk (CVaR): ###
Overall portfolio volatility: ###
Results (Component VaR)

Action S&P 500 NASDAQ DAX 100 US$/Euro Totals
Marginal VaR M ### ### ### ###
Component VaR C ### ### ### ### ###
Component Percentages P ### ### ### ### ###
Component Beta B ### ### ### ### ###
Download VaRtools additional samples spreadsheet
HoadleyCVaRLinear
Returns the Conditional Value at risk (CVar) for a portfolio of instruments
linearly dependent on market variables.
Index
Help
Example
See the examples on the VarLinear sheet
HoadleyComponentVaR
Returns the Component VaR measures for each instument in a portfolio of
assets linearly dependent on market variables.
Index
Help
Example
See the examples on the VarLinear sheet
### VaRtools - VaR simulation class
Returns the Value at risk for a portfolio of instruments which may not all be linearly
dependent on market variables. Can also be used to generate a set of correlated asset prices.
The simulation class must be used from a VBA module (macro); it is not a function.
The VaR simulation component is only available in the full version of the add-in.
Index
Help
Example
Inputs - general
Market variable IDs MSFT GenElec 10_Yr_Bond

Current prices (not required for linear assets) 27.60 30.21 4.8%
Exchange rates 1 1 1
Annual volatilities 32% 19% 23%

Correlation matrix MSFT 1 0.8 -0.2
GenElec 1 -0.10
10_Yr_Bond 1
VaR period in days 5

Confidence interval 1%
Trading days per year 252
Simulation iterations 50,000
Filter by position type (0 = include all) 0
(set to 1 to compare simulated VaR with analytic)
Inputs - Positions
Position
Position Market Position delta, or Position
type Variable ID value duration gamma
Long holding in stock 1 MSFT 5,520,210
Short holding in stock 1 GenElec -1,078,500
Option position (note: position value 2 MSFT 55,300 12,080

not required for option position)
Ten year bond (using duration method) 3 10_Yr_Bond 2,200,000 9.3
0
1
2
3
Results
VaR from simulation 653,120

Analytic VaR for linear positions ###
Conditional VaR (CVaR) from simulation 740,906

Analytic CVar for linear positions ###
Error status:
OK (Monte Carlo simulation)
Note: When the simulation is filtered to only include

linear positions ('filter by position' = 1), the
simulated VaR and CVaR will be very close to the
analytic VaR and CVaR.
VaRtools - HoadleyCashFlowMap
Returns an array mapping future cash flows (eg from bonds) at any time periods to any
number of user-specified time vertices. The function uses quadratic interpolation to
preserve the value and market risk of the original cash flows. The cash flow map can
then be used in the VaRLinear function or in the VaR simulation component.
Index
Help
Example
Inputs
Standard time vertices in years (maturity dates) 0.25 0.50 1.00
Zero rates with continuous compounding 4.50% 5.00% 6.00%
Bond price volatilities (% pa) 0.96% 1.60% 3.20%
0.25 0.50 1.00

Correlation matrix 0.25 1.0 0.9 0.6
0.50 1.0 0.7
1.00 1.0
Cash flows: Maturity Amount

0.30 120,000
0.80 968,000
1.20 875,000
Note: The function must be entered as an Excel array formula (crtl-shift-enter)
Results -1
Time vertices (years) 0.25 0.50 1.00
Mapped cash flows (PV of equivalent bond positions): ### ### ###
Five day VaR at 1% confidence interval: ###
Results - 2: Same result but showing detailed map

Time vertices (years) 0.25 0.50 1.00
Cash flow 1: Year received: 0.3; Amount: 120,000 ### ### ###
Total ### ### ###
1
2
3
HoadleyRebaseVols
Currency rebasing of volatilities.
Help Index
Example
Original volatilities and correlations:
IDs: S&P 500 FTSE 100 NIKKEI 225 CAC 40 DAX100 US$/UK £
Volatilities: 21.92% 17.32% 22.73% 22.24% 19.83% 10.28%

S&P 500 1.000 0.555 0.126 0.595 0.689 -0.156
FTSE 100 0.555 1.000 0.249 0.778 0.719 -0.133
NIKKEI 225 0.126 0.249 1.000 0.125 0.114 -0.005
CAC 40 0.595 0.778 0.125 1.000 0.860 -0.200
DAX100 0.689 0.719 0.114 0.860 1.000 -0.201
US$/UK £ -0.156 -0.133 -0.005 -0.200 -0.201 1.000
US$/Yen -0.159 -0.068 0.085 -0.071 -0.178 0.004
US$/EURO -0.053 -0.259 -0.204 -0.262 -0.151 0.421
Current base: US$ Do not change current base

New base: UK £ Observe impact of changing new base
Rebased volatilities and correlations:

IDs #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

Rebase back to original currency (as a check):

IDs #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

US$/Yen US$/EURO
7.75% 15.00%
US$/Yen US$/EURO
-0.159 -0.053
-0.068 -0.259
0.085 -0.204
-0.071 -0.262
-0.178 -0.151
0.004 0.421
1.000 -0.071
-0.071 1.000
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
UK £
YEN
EURO
HoadleyRebaseCorrel
Currency rebasing of volcorrelation matrices
Help Index
Example
See the examples on the RebaseVols sheet
HoadleyBeta
Returns the beta of an individual asset, or a portfolio of assets
Help Index
Example
Inputs: General
Calc_model (1: equally weighted; 2: EWMA) 1
Weights ($) TWX XOM CSCO

25,000 50,000 -2,500
observation_frequency (tracking error function only) 252

Decay_factor 0.94
Results
Beta R-Squared Tracking Err
TWX #MACRO? #MACRO? #MACRO?
XOM #MACRO? #MACRO? #MACRO?
CSCO #MACRO? #MACRO? #MACRO?
Portfolio #MACRO? #MACRO? #MACRO?

Date S&P 500 TWX XOM CSCO
19-Dec-02 884.25 13.31 34.19 13.00
20-Dec-02 895.74 13.39 34.72 13.27
23-Dec-02 897.38 13.24 34.77 13.44
24-Dec-02 892.47 13.18 34.45 13.35
26-Dec-02 889.66 12.97 34.35 13.10
27-Dec-02 875.40 12.44 33.69 13.01
30-Dec-02 879.39 12.41 33.80 12.97
31-Dec-02 879.82 13.10 33.98 13.10
02-Jan-03 909.03 13.31 34.50 13.64
03-Jan-03 908.59 13.60 34.53 13.91
06-Jan-03 929.01 14.09 35.39 14.20
07-Jan-03 922.92 14.16 34.19 14.60
08-Jan-03 909.93 13.88 34.04 14.44
09-Jan-03 927.58 14.33 34.76 14.95
10-Jan-03 927.57 14.88 34.28 15.22
13-Jan-03 926.26 15.03 34.14 15.28
14-Jan-03 931.66 15.35 34.45 15.58
15-Jan-03 918.22 15.24 33.98 15.18
16-Jan-03 914.60 15.30 34.13 14.90
17-Jan-03 901.78 14.81 33.77 14.13
21-Jan-03 887.62 14.35 32.99 14.18
22-Jan-03 878.36 13.91 32.57 13.96
23-Jan-03 887.34 14.48 32.50 14.59
24-Jan-03 861.40 14.11 31.80 13.86
27-Jan-03 847.48 13.57 30.95 13.71
28-Jan-03 858.54 13.66 31.77 14.22
29-Jan-03 864.36 13.96 32.92 14.08
30-Jan-03 844.61 12.00 32.32 13.87
31-Jan-03 855.70 11.66 33.22 13.37
03-Feb-03 860.32 11.55 33.68 13.48
05-Feb-03 843.59 10.51 33.20 13.20
06-Feb-03 838.15 10.84 32.91 13.24
07-Feb-03 829.69 10.64 32.66 12.85
10-Feb-03 835.97 10.36 32.91 13.15
11-Feb-03 829.20 10.20 32.68 13.47
12-Feb-03 818.68 10.27 32.02 13.20
13-Feb-03 817.37 10.15 32.44 13.31
14-Feb-03 834.89 10.51 32.75 13.68
18-Feb-03 851.17 11.07 33.05 14.31
19-Feb-03 845.13 10.94 33.08 14.42
20-Feb-03 837.10 10.56 32.93 14.26
21-Feb-03 848.17 10.60 33.47 14.67
24-Feb-03 832.58 10.06 33.30 14.42
25-Feb-03 838.57 10.43 33.43 14.08
26-Feb-03 827.55 10.27 33.14 13.51
27-Feb-03 837.28 10.74 33.28 13.75
28-Feb-03 841.15 11.32 33.31 13.98
03-Mar-03 834.81 11.20 33.75 13.72
04-Mar-03 821.99 10.87 33.52 13.63
05-Mar-03 829.85 11.05 34.20 13.74
06-Mar-03 822.10 11.11 33.84 13.48
07-Mar-03 828.89 11.40 34.07 13.24
10-Mar-03 807.48 11.27 33.64 13.01
11-Mar-03 800.73 11.11 33.85 13.02
12-Mar-03 804.19 10.69 33.35 12.69
13-Mar-03 831.90 10.85 33.77 13.42
14-Mar-03 833.27 11.13 33.68 13.40
17-Mar-03 862.79 11.73 34.32 14.13
18-Mar-03 866.45 11.54 34.52 14.20
19-Mar-03 874.02 11.46 34.85 14.22
20-Mar-03 875.84 11.46 34.85 14.04
21-Mar-03 895.79 11.45 35.25 13.90
24-Mar-03 864.23 10.95 34.58 13.51
25-Mar-03 874.74 11.37 34.93 13.72
26-Mar-03 869.95 11.45 35.12 13.66
27-Mar-03 868.52 11.54 35.18 13.50
28-Mar-03 863.50 11.35 35.28 13.22
31-Mar-03 848.18 10.86 34.23 12.98
01-Apr-03 858.48 10.91 34.91 12.98
02-Apr-03 880.90 11.11 34.96 13.64
03-Apr-03 876.45 11.26 34.32 13.64
04-Apr-03 878.85 11.55 34.78 13.71
07-Apr-03 879.93 12.16 34.32 13.57
08-Apr-03 878.29 12.45 33.86 13.43
09-Apr-03 865.99 12.49 33.76 13.04
10-Apr-03 871.58 12.65 33.96 13.04
11-Apr-03 868.30 12.30 33.62 13.21
14-Apr-03 885.23 12.51 34.15 13.47
15-Apr-03 890.81 12.44 34.32 13.34
16-Apr-03 879.91 12.48 33.97 13.56
17-Apr-03 893.58 12.60 34.30 13.95
21-Apr-03 892.01 12.90 34.15 13.94
22-Apr-03 911.37 13.31 34.69 14.32
23-Apr-03 919.02 14.00 34.61 14.33
24-Apr-03 911.43 13.80 34.40 14.35
25-Apr-03 898.81 13.32 34.07 14.34
28-Apr-03 914.84 13.56 34.68 14.98
29-Apr-03 917.84 13.68 34.11 15.14
30-Apr-03 916.92 13.68 34.47 15.00
01-May-03 916.30 13.58 34.74 15.12
02-May-03 930.08 13.45 35.29 15.27
1
2
HoadleyRSquared
Returns RSquared for an individual asset, or a portfolio of assets.
Help Index
Example
See the examples on the Beta sheet
HoadleyRSquared
Returns the Tracking Error for an individual asset, or a portfolio of assets.
Help Index
Example
See the examples on the Beta sheet
HoadleyActiveCorrel
Returns the active correlation matrix for two or more assets.
of the add-in.
Help Index
Example
Inputs: Historic
Calc_model (1: equally weighted; 2: EWMA) 1
Index_prices On Beta sheet
Asset_prices On Beta sheet
Optional argument:
Decay_factor 0.94
Results
TWX XOM CSCO
TWX #MACRO? #MACRO? #MACRO?
XOM #MACRO? #MACRO? #MACRO?
CSCO #MACRO? #MACRO? #MACRO?
1
2
HoadleyDownsideDeviation
Calculates the downside deviation of an asset. Downside deiviation, together with
the correlation matrix produced by the HoadleyDownsideCorrel function, can be used in
place of normal volatiliies and correlations to calculate portfolio volatility, optimize
portfolios etc.
Help Index
Examples
Inputs
MAR 0.00%
Observation frequency 1
Returns Notional prices
Year S&P Nikkei S&P Nikkei
Start 100.00 100.00
1997 31.0% -21.2% 136.34 80.90
1998 26.7% -9.3% 178.07 73.71
1999 19.5% 36.8% 216.41 106.50
2000 -10.1% -27.2% 195.62 81.14
2001 -13.0% -23.5% 171.77 64.15
2002 -23.4% -18.6% 135.93 53.26
2003 26.4% 24.5% 177.00 68.05
2004 9.0% 7.6% 193.67 73.42
2005 3.0% 40.2% 199.57 109.75
2006 13.6% 6.9% 228.64 117.59
Results
Standard & downside deviation S&P Nikkei S&P Nikkei

Standard deviation (STDEV) 18.74% 25.44% ### ###
Standard deviation (STDEVP) 17.78% 24.13%
Downside Deviation ### ###
Downside Deviation using HoadleyPerformanceLPM function ### ### 0.00% (MAR)
Correlation & covariance Standard Correl Downside Correl Downside Covar

S&P Nikkei S&P Nikkei S&P Nikkei
S&P ### #MACRO? ### ### ### ###
Nikkei ### #MACRO? ### ### ### ###
Portfolio downside deviation example 1 S&P Nikkei Portfolio

Portfolio weights 80% 20% 100%
Portfolio volatility (Standard deviation total) ###
Portfolio downside deviation ###
Portfolio downside deviation example 2: Exhibit 3 in the Estrada paper

Proportion in S&P 100% 90% 80% 70% 60% 50%
Proportion in Nikei 0% 10% 20% 30% 40% 50%
Notional aggregated portfolio value
Start ### #MACRO? ### ### ### ###
1997 ### #MACRO? ### ### ### ###
1998 ### #MACRO? ### ### ### ###
1999 ### #MACRO? ### ### ### ###
2000 ### #MACRO? ### ### ### ###
2001 ### #MACRO? ### ### ### ###
2002 ### #MACRO? ### ### ### ###
2003 ### #MACRO? ### ### ### ###
2004 ### #MACRO? ### ### ### ###
2005 ### #MACRO? ### ### ### ###
2006 ### #MACRO? ### ### ### ###
Portfolio downside deviations: approximate (using downside correlation) vs e
Exact portfolio downside deviation ### #MACRO? ### ### ### ###
Approx. portfolio downside deviation ### #MACRO? ### ### ### ###
Difference ### #MACRO? ### ### ### ###
This example replicates the results from the paper
"Mean-Semivariance Optimization: A Heuristic
Approach" by Javier Estrada, November 2007.
The approach described allows downside deviation

and downside correlation (ie semicovariance) to be
used in standard portfolio optimizer (MVO) programs.
This greatly simplifies optimization using downside risk
(DRO or Downside Risk Optimization) as standard tools
can be used. The paper argues that the results, whilst
only an approximation, are accurate enough in most
situations.
The example in the paper uses returns rather than

prices. The HoadleyDownsideDeviation and
HoadleyDownsideCorrel functions use prices (not
returns) as input, so in the examples on this sheet the
returns are converted to notional prices starting at the
arbitrary price of 100.
By comparing the results on this sheet with the results

in the paper it can be seen that the Hoadley downside
functions are a correct implementation of the
approach described.
40% 30% 20% 10% 0%

60% 70% 80% 90% 100%
gregated portfolio value
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
wnside correlation) vs exact (using portfolio value for each year)
### ### ### ### ###
### ### ### ### ###
### ### ### ### ###
HoadleyDownsideCorrel
Uses the "Javier Estrada" approximation to produce a correlation
matrix based on downside deviation. The matrix, together with asset
downside deviations, can be used place of regular correlation matrices
for calcualting portfolio volatility, portfolio optimization etc.
Help Index
Example
See the examples on the DownsideDeviation sheet
HoadleyPortfolioVol
Returns the volatility of a portfolio consisting of any number of linear
instruments.
Index
Help Index
Example
Inputs US EAFE
Portfolio Return
equities equities Efficient
13.5%
Volatilities 15.0% 17.5%
Expected annual returns 10% 13%
13.0%
US EAFE
Correlation matrix US 1.00 0.35 12.5%
EAFE 1.00
12.0%
Results: Portfolio scenarios 11.5%
% US % EAFE Portfolio Portfolio

equities equities return volatility 11.0%
0% 100% 13.0% ###
5.00% 95% 12.9% ### 10.5%
10.00% 90% 12.7% ###
15.00% 85% 12.6% ### 10.0%
20.00% 80% 12.4% ###
25.00% 75% 12.3% ### 9.5%
30.00% 70% 12.1% ### 13.0% 513.0% 1013.0%
Portfo
35.00% 65% 12.0% ###
40.00% 60% 11.8% ###
45.00% 55% 11.7% ###
50.00% 50% 11.5% ###
55.00% 45% 11.4% ###
60.00% 40% 11.2% ###
65.00% 35% 11.1% ###
70.00% 30% 10.9% ###
75.00% 25% 10.8% ###
80.00% 20% 10.6% ###
85.00% 15% 10.5% ###
90.00% 10% 10.3% ###
95.00% 5% 10.2% ###
100.00% 0% 10.0% ###
Efficient Frontier
100% EAFE
100% US
513.0% 1013.0% 1513.0% 2013.0% 2513.0%

Portfolio Volatility
HoadleyPortfolioVolFX
Returns the volatility of a portfolio consisting of a combination of
domestic and foreign assets.
Help Index
Example
Inputs
Assets
US UK Japan France
S&P 500 FTSE 100 NIKKEI 225 CAC 40
Volatilities 12.7% 10.0% 28.6% 15.4%
Correlation 1.00 0.11 -0.09 0.18

0.11 1.00 0.37 0.78
-0.09 0.37 1.00 0.22
0.18 0.78 0.22 1.00
0.08 0.26 0.02 0.35
-0.20 -0.09 -0.15 -0.06
-0.11 -0.13 -0.17 -0.17
-0.07 -0.05 0.00 -0.10
Asset positions ($US) 100 200 300 400

Asset currency exposures ($US)
(non currency assets only)
Results
Portfolio volatility #MACRO?
Exchange Rates
Germany UK Japan Euro
DAX100 US$/UK £ US$/Yen US$/EURO
12.8% 8.7% 9.5% 8.6%
0.08 -0.20 -0.11 -0.07

0.26 -0.09 -0.13 -0.05
0.02 -0.15 -0.17 0.00
0.35 -0.06 -0.17 -0.10
1.00 0.00 0.00 0.05
0.00 1.00 0.14 0.34
0.00 0.14 1.00 0.55
0.05 0.34 0.55 1.00
500 150
200 300 900
HoadleyPortfolioReturnFX
Returns the expected return of a portfolio consisting of a combination of
Domestic and foreign assets.
Help Index
Example
Inputs
Assets
US UK Japan France
S&P 500 FTSE 100 NIKKEI 225 CAC 40
Expected returns 4.49% 7.18% 12.21% 8.78%
Asset_positions 100.00 200.00 300.00 400.00

Currency_exposures (Optional)
Results
Portfolio expected return #MACRO?
Exchange Rates
Germany UK Japan Euro
DAX100 US$/UK £ US$/Yen US$/EURO
7.65% 0.52% 2.93% 2.49%
500.00 150.00
100.00 300.00 900.00
HoadleyPortfolioStats
Returns active management statistics and residuals covariance.
Help Index
Example
Inputs
Action
Risk_free_rate
Market_volatility
Market_return
TWX XOM CSCO GE KO

Returns 11.50% 11.80% 12.00% 9.50% 7.00%
Volatilities 16.97% 21.00% 18.70% 17.45% 11.95%
Corr_matrix TWX 1.00 0.22 0.46 0.22 0.19

XOM 0.22 1.00 0.14 0.23 0.04
CSCO 0.46 0.14 1.00 0.40 0.46
GE 0.22 0.23 0.40 1.00 0.19
KO 0.19 0.04 0.46 0.19 1.00
DIS 0.45 -0.16 0.32 0.18 0.36
MER 0.33 0.34 0.26 0.31 0.39
Positions 21.2% 26.0% 20.1% 9.3% 5.0%

Betas 1.100 1.300 1.200 0.689 0.633
Results
Active Portfolio Statistics Portfolio TWX XOM CSCO GE KO

#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
Residuals Covariance TWX XOM CSCO GE KO

Volatilities ### ### ### ### ###
Correlation matrix TWX ### ### ### ### ###
XOM ### ### ### ### ###
CSCO ### ### ### ### ###
GE ### ### ### ### ###
KO ### ### ### ### ###
DIS ### ### ### ### ###
MER ### ### ### ### ###
4.00%
9.80%
9.00%
DIS MER
8.90% 8.50%
18.31% 15.25%
0.45 0.33
-0.16 0.34
0.32 0.26
0.18 0.31
0.36 0.39
1.00 0.18
0.18 1.00
13.5% 5.0%
0.800 0.895
DIS MER
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
DIS MER
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
Returns the proportions of an active portfolio, the benchmark and the riskless asset (cash) required to set the
volatility of the combined portfolio equal to that of the benchmark and the tracking error of the combined portfolio
equal to a target tracking error.
Help
Example
Portfolio Prior to M3 Adjustment
Active Bench- This example shows how the
Portfolio Mark Cash impact on all active management
Volatilities 10.51% 10.14% 0 statistics of risk-adjusting an
Total expected returns 9.61% 10.00% 4.00% active portfolio with the
Betas 0.925 1 0 HoadleyM3Function can be
assessed by using the
Correlation matrix Active B/M Cash HoadleyPortfolioStats function.
Active Portfolio 1 0.892 0
Benchmark 1 0 Note: Inputs to the
Cash 1 HoadleyM3Function are shown
in white.
Results from the HoadleyM3Function

Active Tracking Error Target
Portfolio 0% 1% 2% 3% 4%
Percent active portfolio 100.00% ### ### ### ### ###
Percent passive benchmark 0.00% ### ### ### ### ###
Percent cash 0.00% ### ### ### ### ###
Active Management Statistics for Risk Adjusted Portfolios

Active Tracking Error Target
Portfolio 0% 1% 2% 3% 4%
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
#MACRO? ### ### ### ### ### ###
quired to set the
e combined portfolio
ple shows how the

all active management
f risk-adjusting an
folio with the
3Function can be
by using the
ortfolioStats function.
3Function are shown
5%
###
###
###
5%
###
###
###
###
###
###
###
###
###
###
###
###
###
###
HoadleyRiskAttribution
Identifies the contribution of individual assets, or asset groups, to total portfolio volatility
Help Index
Example 1
Inputs
Example 1 shows risk attribution at the individual asset level.
Note: Volatilities and correlation matrix are calculated from prices below
Asset 1 Asset 2 Asset 3 Asset 4

Volatilities ### ### ### ###
Corr_matrix Asset 1 ### ### ### ###

Asset 2 ### ### ### ###
Asset 3 ### ### ### ###
Asset 4 ### ### ### ###
Weights 18.0% 10.0% 30.0% 42.0% 100%
Results
Action Asset 1 Asset 2 Asset 3 Asset 4 Total
Marginal contribution to risk M ### ### ### ###
Portfolio Volatility ###
Contribution to risk C ### ### ### ### ###
Percent contribution to risk P ### ### ### ### ###
Example 3
Inputs
Asset 1 Asset 2 Asset 3 Asset 4 Cash
Volatilies ### ### ### ### 0.0%
Corr_matrix (including cash) Asset 1 ### ### ### ### 0.00

Asset 2 ### ### ### ### 0.00
Asset 3 ### ### ### ### 0.00
Asset 4 ### ### ### ### 0.00
Cash 0.00 0.00 0.00 0.00 1.00
Weights 18.001% 10.000% 30.000% 42.000% -0.001%
Results
Asset 1 Asset 2 Asset 3 Asset 4 Cash
Contribution to risk ### ### ### ### ###
Original portfolio volatility (from example 1)
Change in portfolio volatility as a result of 1%pt increase in asset 1, funded by cash account:
Daily Prices Asset 1 Asset 2 Asset 3 Asset 4

1494.50 6600.74 16501.55 6703.36
1489.26 6581.96 16130.90 6675.01
1481.99 6555.52 16040.23 6697.80
1484.91 6478.19 16190.52 6568.89
1480.87 6555.50 16213.28 6637.91
1465.81 6417.30 16213.28 6614.65
1444.51 6410.15 16061.16 6522.38
1459.90 6403.50 16124.19 6529.95
1451.34 6279.87 16458.31 6405.43
1449.05 6199.16 16311.05 6254.77
1448.72 6205.92 15818.25 6258.58
1439.03 6257.13 15992.90 6336.28
1427.21 6213.21 15928.62 6294.06
1426.57 6269.34 15639.95 6319.79
1458.29 6264.06 15626.96 6311.03
1436.51 6294.24 15747.26 6266.63
1436.23 6284.46 15902.51 6349.24
1426.46 6345.04 15912.09 6400.43
1434.32 6334.94 16149.08 6296.13
1436.28 6381.98 16099.26 6335.12
1408.99 6391.23 15994.24 6258.41
1402.03 6264.84 15994.24 6110.06
1387.02 6247.68 15827.72 6143.30
1364.59 6117.63 15513.57 5956.12
Example 2
Inputs
Example 2 shows how risk can be attributed to groups (eg industries) as well as
to individual assets. Group 1 consists of Asset 1 & Asset 2 combined using the
HoadleyPortAggregate function. The example shows risk contributions are additive.
Group 1 Asset 3 Asset 4

Volatilities ### ### ###
Corr_matrix Group 1 ### ### ###

Asset 3 ### ### ###
Asset 4 ### ### ###
Weights 28.0% 30.0% 42.0% 100%
Results
Action Group 1 Asset 3 Asset 4 Total
Marginal contribution to risk M ### ### ###
Portfolio Volatility ###
Contribution to risk C ### ### ### ###
Percent contribution to risk P ### ### ### ###
Example 3:
This example illustrates how, in the risk attribution model, the marginal contribution
of asset n to total risk represents an increase in the holding of asset n by one
percentage point financed by a decrease in the cash account by one percentage
point.
This is shown in example 3 where the number of assets is expanded by one to
include a cash account. Initially when the cash account holding is zero the results
would be exactly the same as example 1.
The weight of asset 1 is increased by a small amount and the holding of cash
decreased by the same amount. The original volatility from example 1 is then
subtracted from the new volatility (shown in Cell I46) and the result scaled up to
100.00% show the change in portfolio volatility from increasing the holding of asset 1 by 1%.
The result, as expected, is the same as the marginal contribution of asset 1 in
example 1 (circled in red).
Total Vol. Total Vol
### ###
### ###
### ###
Daily prices (for example 2) Group 1 Asset 3 Asset 4

### 16501.55 6703.36
### 16130.90 6675.01
### 16040.23 6697.80
### 16190.52 6568.89
### 16213.28 6637.91
### 16213.28 6614.65
### 16061.16 6522.38
### 16124.19 6529.95
### 16458.31 6405.43
### 16311.05 6254.77
### 15818.25 6258.58
### 15992.90 6336.28
### 15928.62 6294.06
### 15639.95 6319.79
### 15626.96 6311.03
### 15747.26 6266.63
### 15902.51 6349.24
### 15912.09 6400.43
### 16149.08 6296.13
### 16099.26 6335.12
### 15994.24 6258.41
### 15994.24 6110.06
### 15827.72 6143.30
### 15513.57 5956.12
contribution
one
centage
ne to
he results
cash
then
ed up to
et 1 by 1%.
t 1 in
HoadleyStyleAnalysis
Returns a matrix containing a style analysis for a fund or portfolio using returns-based methodology originally developed b
F Sharpe. This approach uses quadratic programming to determine the combination of indices, style benchmarks , or a
that best represents the exposure of a fund to these "benchmarks".
This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of 1
A commercial/corporate (for a business) or pro (private) license is required to process more than 12 returns or 1
Help Index To process more than 12 returns or one year

enter corporate/commercial license key
Example
Inputs Hoadley Portfolio Sty
Period Fund Benchmarks Returns The Hoadley Portfolio Style

Ending Returns Growth Value Large Small application, which uses this
Jan-06 0.05581 0.10423 0.07087 0.07518 0.12244 be downloaded from the Ho
Feb-06 0.05396 0.03207 0.04645 0.00757 -0.08027 Investment Tools web site.
Mar-06 -0.05795 -0.03849 -0.10807 -0.01557 -0.18031
Apr-06 -0.04524 -0.08447 -0.08930 -0.02077 -0.05772
May-06 0.09448 0.03410 0.05983 0.03674 -0.04636
Jun-06 -0.12566 -0.13344 -0.19462 -0.06142 -0.19575
Jul-06 0.00121 -0.02596 -0.03758 -0.00908 -0.01673
Aug-06 -0.10253 0.07445 -0.10503 -0.07246 -0.21350
Sep-06 -0.13441 -0.12275 -0.02218 -0.07900 -0.21773
Oct-06 0.05280 0.02292 0.07301 0.00488 0.09991
Nov-06 -0.09476 -0.10915 -0.22638 -0.11002 -0.07543
Dec-06 0.25214 0.22258 0.35378 0.08645 0.26053
Min_weights 0% 0% 0% 0%
Max_weights 100% 100% 100% 100%
Results from HoadleyStyleAnalysis function Re-arranged results

### ### ### ###
### ### ### ### Style Analysis Growth
### ### ### ### Style weights ###
### ### ### ###
### ### ### ### Returns and volatilities
### ### ### ### Mean annualzied returns
### ### ### ### Geometric (compounding) returns
### ### ### ### Volatility (annualized St Dev)
Beta & R-Squared

Percent Active Risk: ###
Percent Residual Risk: ###
Benchmark returns and volatilities Growth
Mean annualzied returns ###
Geometric (compounding) returns ###
Volatility (annualized St Dev) ###
dology originally developed by William
es, style benchmarks , or asset classes
n will handle a maximum of 12 Returns.

more than 12 returns or 1 year.
Hoadley Portfolio Style Analyzer
The Hoadley Portfolio Style Analyzer

application, which uses this function can
be downloaded from the Hoadley Trading &
Investment Tools web site.
More Information
Value Large Small

### ### ###
Fund Style Selection

### ### ###
### ### ###
### ### ###
Beta R-Squared
### ###
Value Large Small

### ### ###
### ### ###
### ### ###
HoadleyDrawdown
Produces an analysis of fund drawdowns
Help Index
Example
Period Log Under
No. Date Returns Water Drawdown Summary
1 01-Mar-01 0.0126 ### Rank - highest to lowest
2 31-Mar-01 -0.0110 ### Measure 1
3 30-Apr-01 0.0422 ### Drawdown amount ###
4 31-May-01 0.0302 ### Drawdown start period ###
5 30-Jun-01 -0.0271 ### Drawdown end period ###
6 31-Jul-01 0.0355 ### Recovery start period ###
7 30-Aug-01 0.0235 ###
8 30-Sep-01 -0.0323 ###
9 30-Oct-01 -0.0023 ### Drawdown Analysis - Time Under Wa
10 29-Nov-01 0.0617 ### 1200%
11 30-Dec-01 0.0241 ###
12 29-Jan-02 -0.0297 ###
13 01-Mar-02 0.0162 ### 1000%
14 31-Mar-02 0.0360 ###
15 01-May-02 -0.0281 ###
800%
16 31-May-02 -0.0198 ###
17 01-Jul-02 0.0337 ###
18 31-Jul-02 -0.0540 ###
600%
19 30-Aug-02 -0.0270 ###
20 30-Sep-02 0.0459 ###
21 30-Oct-02 -0.0205 ### 400%
22 30-Nov-02 -0.0208 ###
23 30-Dec-02 -0.0259 ###
24 30-Jan-03 0.0155 ### 200%
25 01-Mar-03 -0.0360 ###
26 31-Mar-03 -0.0169 ###
27 01-May-03 -0.0154 ### 0%
28 31-May-03 0.0529 ### 01-Mar-01 01-Feb-02 01-Jan-03 01-Dec-03 01-Nov-04 01-Oc
29 01-Jul-03 0.0302 ###
30 31-Jul-03 0.0097 ### Hoadley Portfolio Style Analyzer
31 31-Aug-03 0.0093 ###
32 30-Sep-03 0.0504 ### The Hoadley Portfolio Style Analyzer
33 31-Oct-03 -0.0141 ### application, which uses this function can
34 30-Nov-03 0.0248 ### be downloaded from the Hoadley Trading &
35 30-Dec-03 -0.0916 ### Investment Tools web site.
36 30-Jan-04 -0.0006 ###
37 29-Feb-04 0.0457 ### More Information
38 31-Mar-04 0.0006 ###
39 30-Apr-04 0.0056 ###
40 31-May-04 0.0369 ### http://www.hoadley.net/options
41 30-Jun-04 -0.0077 ###
42 30-Jul-04 0.0509 ###
43 30-Aug-04 0.0134 ###
44 29-Sep-04 -0.0272 ###
45 30-Oct-04 0.0321 ###
46 29-Nov-04 -0.0246 ###
47 30-Dec-04 0.0334 ###
48 29-Jan-05 0.0192 ###
49 01-Mar-05 -0.0064 ###
50 31-Mar-05 -0.0076 ###
51 30-Apr-05 0.0029 ###
52 31-May-05 0.0154 ###
53 30-Jun-05 0.0454 ###
54 31-Jul-05 0.0646 ###
55 30-Aug-05 0.0361 ###
56 30-Sep-05 -0.0491 ###
57 30-Oct-05 0.0004 ###
58 29-Nov-05 0.0325 ###
59 30-Dec-05 0.0632 ###
60 29-Jan-06 -0.0104 ###
61 01-Mar-06 -0.0201 ###
62 31-Mar-06 -0.0146 ###
63 01-May-06 0.0182 ###
64 31-May-06 0.0033 ###
65 01-Jul-06 0.0045 ###
66 31-Jul-06 0.0395 ###
67 30-Aug-06 -0.0139 ###
68 30-Sep-06 -0.0393 ###
69 30-Oct-06 0.0349 ###
70 30-Nov-06 0.0097 ###
71 30-Dec-06 -0.0016 ###
72 30-Jan-07 0.0454 ###
73 01-Mar-07 0.0123 ###
74 31-Mar-07 0.0273 ###
75 01-May-07 -0.0094 ###
76 31-May-07 0.0314 ###
77 01-Jul-07 -0.0247 ###
78 31-Jul-07 0.0063 ###
79 31-Aug-07 0.0190 ###
80 30-Sep-07 -0.0192 ###
81 31-Oct-07 -0.0056 ###
82 30-Nov-07 -0.0121 ###
83 30-Dec-07 0.0328 ###
84 30-Jan-08 0.0801 ###
85 29-Feb-08 -0.0005 ###
wdown Summary
Rank - highest to lowest
2 3
### ###
### ###
### ###
### ###
own Analysis - Time Under Water
-03 01-Dec-03 01-Nov-04 01-Oct-05 01-Sep-06 01-Aug-07

HoadleyPerformanceLPM
Returns a number of performance measures based on Lower Partial Moments
Help Index
Example (using returns on Drawdown sheet)

Inputs
Performance_measure
Returns (using monthly returns on Drawdown sheet)
MAR (minimum acceptable return) 0.05%
Optional argument
Are_log_returns 1
Performance
Results - example 1: All measures Measure Value
Omega O #MACRO?
Downside deviation D #MACRO?
Sortino ratio S #MACRO?
Kappa 3 K #MACRO?
Upside potential ratio U #MACRO?
Results - example 2: Omega by MAR MAR Omega

0.00% #MACRO?
0.25% #MACRO?
0.50% #MACRO?
0.75% #MACRO?
1.00% #MACRO?
1.25% #MACRO?
1.50% #MACRO?
1.75% #MACRO?
2.00% #MACRO?
Omega
12.00
10.00
8.00
6.00
4.00
2.00
0.00
0.00% 0.25% 0.50% 0.75% 1.00%
MAR (Minimum 1.25%
Acceptable Return)1.50% 1.75% 2.00%
The Hoadley Style Analyzer includes all LPM performance measures for the fund
and benchmarks/indices.
HoadleyPCA
Undertakes a principal component analysis of a portfolio of assets using price histories as input.
Help Index
Example
Inputs: General
Calc_method 1
Normalization 1
Optional arguments
EWMA_decay_factor 1
Return_covar 0
Flip_vector_sign column number; 0 = none) 0
Results: PCA
PC1 PC2 PC3 PC4
Eigenvectors ANZ ### ### ### ###
(Factor loadings) NAB ### ### ### ###
CBA ### ### ### ###
WOW ### ### ### ###
Eigenvalues (PC variances) ### ### ### ###
Explanatory power: Individual PC ### ### ### ###
Cumulative ### ### ### ###
Principal component (factor scores ) standard deviations ### ### ### ###
Asset Standard deviations ### ### ### ###
Mean returns ### ### ### ###
ANZ NAB CBA WOW
Anualized asset volatility ### ### ### ###
Anualized asset returns for period ### ### ### ###
Sum of squares of factor loadings: ### ### ### ###
Results: Covariance matrix

ANZ NAB CBA WOW
ANZ ### ### ### ###
NAB ### ### ### ###
CBA ### ### ### ###
WOW ### ### ### ###

Date ANZ NAB CBA WOW
24-Jul-06 25.34 34.60 44.21 18.87
25-Jul-06 25.61 35.27 44.62 19.28
26-Jul-06 25.29 35.00 44.25 19.00
27-Jul-06 25.48 35.75 45.10 19.00
28-Jul-06 25.10 35.67 44.65 18.85
31-Jul-06 25.25 35.90 44.80 19.04
1-Aug-06 25.55 35.90 45.05 19.00
2-Aug-06 25.55 35.66 45.13 18.85
3-Aug-06 25.74 36.05 45.90 19.10
4-Aug-06 25.65 35.80 45.86 19.02
7-Aug-06 25.69 35.93 46.15 19.05
8-Aug-06 26.15 36.43 46.80 19.30
9-Aug-06 26.12 36.10 46.30 19.10
10-Aug-06 26.40 36.38 45.79 18.98
11-Aug-06 26.38 36.20 45.75 18.92
14-Aug-06 26.55 36.52 44.57 19.36
15-Aug-06 26.65 36.30 44.55 19.32
16-Aug-06 26.89 36.60 44.93 19.42
17-Aug-06 27.15 36.79 45.38 19.65
18-Aug-06 27.04 36.53 45.35 19.66
21-Aug-06 26.97 36.70 45.47 19.93
22-Aug-06 26.81 36.40 45.44 19.90
23-Aug-06 26.64 36.36 45.60 20.44
24-Aug-06 26.20 35.62 44.51 20.09
25-Aug-06 26.45 35.85 44.70 20.30
28-Aug-06 26.45 35.65 44.65 20.47
29-Aug-06 26.85 36.01 45.16 20.80
30-Aug-06 26.95 36.12 45.41 20.71
31-Aug-06 27.25 36.32 45.72 20.70
1-Sep-06 27.09 35.93 45.74 20.66
4-Sep-06 27.22 36.21 46.12 20.30
5-Sep-06 27.36 36.50 46.10 20.60
6-Sep-06 27.09 36.20 45.81 20.38
7-Sep-06 27.23 36.20 45.99 20.50
8-Sep-06 27.40 36.26 46.09 20.80
11-Sep-06 27.20 35.97 45.47 20.50
12-Sep-06 27.24 36.20 45.95 20.59
13-Sep-06 27.22 36.40 46.10 20.33
14-Sep-06 27.34 36.68 46.37 20.58
15-Sep-06 27.15 36.35 46.11 20.42
18-Sep-06 27.30 36.94 46.65 20.50
19-Sep-06 27.00 36.91 46.40 20.47
20-Sep-06 26.60 36.64 45.56 20.21
21-Sep-06 26.29 36.23 45.00 20.18
22-Sep-06 26.00 36.00 44.75 19.89
25-Sep-06 26.10 36.16 44.72 19.74
26-Sep-06 26.07 36.05 44.70 19.82
27-Sep-06 26.76 36.35 45.15 20.20
28-Sep-06 26.80 36.34 45.13 20.18
29-Sep-06 26.86 36.70 45.75 20.26
2-Oct-06 26.95 36.80 45.90 20.37
3-Oct-06 27.13 36.95 46.11 20.58
4-Oct-06 27.03 37.09 45.95 20.63
5-Oct-06 27.55 37.69 46.80 20.90
6-Oct-06 27.42 37.55 46.70 20.98
9-Oct-06 27.34 37.25 46.45 20.58
10-Oct-06 27.34 37.25 46.45 20.58
11-Oct-06 27.78 37.70 47.13 20.60
12-Oct-06 27.81 37.62 46.96 20.71
13-Oct-06 27.81 37.95 46.90 20.75
16-Oct-06 27.80 37.85 47.00 20.84
17-Oct-06 27.64 37.48 46.33 20.68
18-Oct-06 27.98 37.60 46.40 20.68
19-Oct-06 28.10 37.42 45.99 20.57
20-Oct-06 28.23 37.60 46.45 20.72
23-Oct-06 28.21 37.66 47.09 20.55
24-Oct-06 28.15 37.95 47.18 20.40
25-Oct-06 28.42 38.06 47.32 20.55
26-Oct-06 28.75 38.48 48.07 20.61
0
1
2
1
0
###
###
###
HoadleyPCAFromCovar
Undertakes a principal component analysis of a portfolio of assets using their
covariance matrix of returns.
Help Index
Example
Inputs
The covariance matrix produced on the PCA sample sheet is used as input
to this example. For normalization types 0 and 1, the results will equal the PCA on the
PCA samples sheet.
Results: PCA
PC1 PC2 PC3 PC4
Eigenvectors ANZ ### ### ### ###
(factor loadings) NAB ### ### ### ###
CBA ### ### ### ###
WOW ### ### ### ###
Eigenvalues ### ### ### ###
HoadleyPCAToCovar
Recreates the original covariance matrix from the principal component analysis using the specified number of componen
Help Index
Example
Inputs
Normalization (only 0 or 2 can be used to restore original covariance matrix)
PC1
Principal component analysis Eigenvectors ANZ #MACRO?
NAB #MACRO?
CBA #MACRO?
WOW #MACRO?
Eigenvalues #MACRO?
Num_components (number of components to use in recreating original covariance matrix - 4 restores exactly)
Results
ANZ
Recreated covariance matrix using 3 component(s) ANZ #MACRO?
NAB #MACRO?
CBA #MACRO?
WOW #MACRO?
ANZ
Covariance matrix produced from original data ANZ #MACRO?
NAB #MACRO?
CBA #MACRO?
WOW #MACRO?
ANZ
Squared differences between original and recreated matrix ANZ #MACRO?
NAB
CBA
WOW
Average squared difference #MACRO?

Average difference (the smaller the better the fit) #MACRO?
0
2
1
2
3
4
using the specified number of components.
PC2 PC3 PC4

ce matrix - 4 restores exactly) 3
NAB CBA WOW

NAB CBA WOW

NAB CBA WOW

#MACRO? #MACRO?
#MACRO?
HoadleyPCAFactorScores
Calculates the value of each principal component -- ie the factor scores.
Help Index
Example
This example does the following:
1. Undertakes a principal component analysis using the closing prices below.
2. Calculates the daily returns.
3. Uses the HoadleyPCAFactorScores function to calculate the factor scores for each day using the PCA and daily return
4. Demonstrates that the returns for each day can be recreated as the linear sum of the factors using the factor scores a
5. Demonstrates that the factor loadings (eigenvectors) can be re-created by linear regression using the factor scores an
6. Calculates the factor scores covering the entire period and demonstrates that this is equivalent to the average of the d
uncorrelated by calculating the factor scores without using the HoadleyPCAFactorScores function. This would only be po
7. Demonstrates that the standard deviation of the factor scores calculated using STDEV equals the standard deviation
8. Demonstrates directly that the factor scores for principal components are uncorrelated.
1. Factor loadings (eigenvectors) from PCA 6. Factor scores for enti

PC1 PC2 PC3 PC4
ANZ ### ### ### ### Using function
NAB ### ### ### ### Without using function
CBA ### ### ### ### Using average
WOW ### ### ### ###
### ### ### ###
### ### ### ### 7. Standard deviation of
### ### ### ###
Factor score SDs ### ### ### ### Factor score SDs
5. Factor loadings recovered by linear regression 8. Correlation matrix of

PC1 PC2 PC3 PC4
ANZ ### ### ### ###
NAB ### ### ### ###
CBA ### ### ### ###
WOW ### ### ### ###
Date Historical prices 2. Daily returns

ANZ NAB CBA WOW ANZ NAB CBA
24-Jul-06 25.34 34.60 44.21 18.87
25-Jul-06 25.61 35.27 44.62 19.28 0.0106 0.0192 0.0092
26-Jul-06 25.29 35.00 44.25 19.00 -0.0126 -0.0077 -0.0083
27-Jul-06 25.48 35.75 45.10 19.00 0.0075 0.0212 0.0190
28-Jul-06 25.10 35.67 44.65 18.85 -0.0150 -0.0022 -0.0100
31-Jul-06 25.25 35.90 44.80 19.04 0.0060 0.0064 0.0034
1-Aug-06 25.55 35.90 45.05 19.00 0.0118 0.0000 0.0056
2-Aug-06 25.55 35.66 45.13 18.85 0.0000 -0.0067 0.0018
3-Aug-06 25.74 36.05 45.90 19.10 0.0074 0.0109 0.0169
4-Aug-06 25.65 35.80 45.86 19.02 -0.0035 -0.0070 -0.0009
7-Aug-06 25.69 35.93 46.15 19.05 0.0016 0.0036 0.0063
8-Aug-06 26.15 36.43 46.80 19.30 0.0177 0.0138 0.0140
9-Aug-06 26.12 36.10 46.30 19.10 -0.0011 -0.0091 -0.0107
10-Aug-06 26.40 36.38 45.79 18.98 0.0107 0.0077 -0.0111
11-Aug-06 26.38 36.20 45.75 18.92 -0.0008 -0.0050 -0.0009
14-Aug-06 26.55 36.52 44.57 19.36 0.0064 0.0088 -0.0261
15-Aug-06 26.65 36.30 44.55 19.32 0.0038 -0.0060 -0.0004
16-Aug-06 26.89 36.60 44.93 19.42 0.0090 0.0082 0.0085
17-Aug-06 27.15 36.79 45.38 19.65 0.0096 0.0052 0.0100
18-Aug-06 27.04 36.53 45.35 19.66 -0.0041 -0.0071 -0.0007
21-Aug-06 26.97 36.70 45.47 19.93 -0.0026 0.0046 0.0026
22-Aug-06 26.81 36.40 45.44 19.90 -0.0060 -0.0082 -0.0007
Average returns: 0.0027 0.0024 0.0013
ng the PCA and daily returns.
rs using the factor scores and the factor loadings.
n using the factor scores and the returns for each asset.
lent to the average of the daily factor scores. It also demonstrates that the principal components are
ction. This would only be possible if the PCs were uncorrelated. See help file for additional details.
uals the standard deviation of the factor scrores from the HoadleyPCA function.
6. Factor scores for entire period

PC1 PC2 PC3 PC4
Using function ### ### ### ###
Without using function ### ### ### ###
Using average ### ### ### ###
7. Standard deviation of factor scores

PC1 PC2 PC3 PC4
Factor score SDs ### ### ### ###
8. Correlation matrix of factor scores (all correlations = 0)

PC1 PC2 PC3 PC4
PC1 1 ### ### ###
PC2 1 ### ###
PC3 1 ###
PC4 1
3. Principal component factor scores 4. Recreated daily returns

WOW PC1 PC2 PC3 PC4 ANZ NAB CBA WOW
0.0215 ### ### ### ### ### ### ### ###

-0.0146 ### ### ### ### ### ### ### ###
0.0000 ### ### ### ### ### ### ### ###
-0.0079 ### ### ### ### ### ### ### ###
0.0100 ### ### ### ### ### ### ### ###
-0.0021 ### ### ### ### ### ### ### ###
-0.0079 ### ### ### ### ### ### ### ###
0.0132 ### ### ### ### ### ### ### ###
-0.0042 ### ### ### ### ### ### ### ###
0.0016 ### ### ### ### ### ### ### ###
0.0130 ### ### ### ### ### ### ### ###
-0.0104 ### ### ### ### ### ### ### ###
-0.0063 ### ### ### ### ### ### ### ###
-0.0032 ### ### ### ### ### ### ### ###
0.0230 ### ### ### ### ### ### ### ###
-0.0021 ### ### ### ### ### ### ### ###
0.0052 ### ### ### ### ### ### ### ###
0.0118 ### ### ### ### ### ### ### ###
0.0005 ### ### ### ### ### ### ### ###
0.0136 ### ### ### ### ### ### ### ###
-0.0015 ### ### ### ### ### ### ### ###
0.0025
HoadleyPCAPortVols
Decompose portfolio volatility into market risk and specific risk
Help Index
Example
Inputs
Normalization (only 0 or 2 can be used
EWMA decay factor (1=equally weighted)
PC1 PC2
Principal component analysis Eigenvectors ANZ #MACRO? #MACRO?
NAB #MACRO? #MACRO?
CBA #MACRO? #MACRO?
WOW #MACRO? #MACRO?
Eigenvalues #MACRO? #MACRO?
ANZ NAB
Positions (position values) 5,520 8,220
Num_components (number of components to use)

Num_trading_days_pa
Results: HoadleyPortVols Total. Vol with Total

Port Vol functn Volatility
Portfolio volatility #MACRO? #MACRO?
Results: HoadleyAssetVols Total Vol with Total

Hist Vol function Volatility
Individual asset volatilities ANZ #MACRO? #MACRO?
NAB #MACRO? #MACRO?
CBA #MACRO? #MACRO?
WOW #MACRO? #MACRO?
0
2
1
2
3
4
2
0.94
PC3 PC4
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
CBA WOW
7,225 4,896
2
252
Volatility due Specific

to Market Volatility
#MACRO? #MACRO?
Volatility due to Specific

Market Factors Volatility
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
HoadleyPCAAssetVols
Decomposes individual asset volatilities into market risk and specific risk
Help Index
Example
See the examples on the PCAPortVols sheet
HoadleyPortAggregate
Returns a single price series (a synthetic security) representing the weighted aggegated price histories
of individual assets in a portfolio. The price series of the synthetic security starts at the arbitrary value of 100.
Help Index The VaR additional samples spreadsheet includes an example

PortAggregate to calculate VaR.
Examples
1. Portfolio volatility
This example shows that the volatility of the portfolio measured using the HoadleyPortfolioVol function
using all prices, is exactly the same as the volatility on the aggregated price history using the
Hoadley Historic Volatility function. Volatilities are calculated using EWMA.
Volatility of weighted price history using HoadleyPortAggregate

Volatility using individual asset prices using HoadleyPortfolioVolatility
2. Value at risk (VaR) aggregation

This example shows that calculating VaR using six individual assets is exactly the same as calculating VaR
using the weighted price history plus the other two assets. (VaR is 5 days at 1% conf. level).
VaR calculated using six assets:

VaR calculated using three "assets": two "other" assets plus the aggregated asset
Inputs: Equities historic closing prices Other assets

ANZ NAB CBA WOW S&P 500
Position values: 52,500 75,020 63,255 45,620 80,256
Price histories:
24-Jul-06 25.34 34.60 44.21 18.87 1494.50
25-Jul-06 25.61 35.27 44.62 19.28 1489.26
26-Jul-06 25.29 35.00 44.25 19.00 1481.99
27-Jul-06 25.48 35.75 45.10 19.00 1484.91
28-Jul-06 25.10 35.67 44.65 18.85 1480.87
31-Jul-06 25.25 35.90 44.80 19.04 1465.81
1-Aug-06 25.55 35.90 45.05 19.00 1444.51
2-Aug-06 25.55 35.66 45.13 18.85 1459.90
3-Aug-06 25.74 36.05 45.90 19.10 1451.34
4-Aug-06 25.65 35.80 45.86 19.02 1449.05
7-Aug-06 25.69 35.93 46.15 19.05 1448.72
8-Aug-06 26.15 36.43 46.80 19.30 1439.03
9-Aug-06 26.12 36.10 46.30 19.10 1427.21
10-Aug-06 26.40 36.38 45.79 18.98 1426.57
11-Aug-06 26.38 36.20 45.75 18.92 1458.29
14-Aug-06 26.55 36.52 44.57 19.36 1436.51
15-Aug-06 26.65 36.30 44.55 19.32 1436.23
16-Aug-06 26.89 36.60 44.93 19.42 1426.46
17-Aug-06 27.15 36.79 45.38 19.65 1434.32
18-Aug-06 27.04 36.53 45.35 19.66 1436.28
21-Aug-06 26.97 36.70 45.47 19.93 1408.99
22-Aug-06 26.81 36.40 45.44 19.90 1402.03
23-Aug-06 26.64 36.36 45.60 20.44 1387.02
24-Aug-06 26.20 35.62 44.51 20.09 1364.59
Volatilities: ### ### ### ### ###
itrary value of 100.
cludes an example
###
###
calculating VaR
###
###
Other assets Results Correlation matrices

$US/Euro Equities
1. All Assets
27,580 236,395 ANZ NAB CBA WOW S&P 500 $US/Euro
Weighted price ANZ ### ### ### ### ### ###
history NAB ### ### ### ### ### ###
0.8664 #MACRO? CBA ### ### ### ### ### ###
0.8618 #MACRO? WOW ### ### ### ### ### ###
0.8607 #MACRO? S&P 500 ### ### ### ### ### ###
0.8646 #MACRO? $US/Euro ### ### ### ### ### ###
0.8614 #MACRO?
0.8631 #MACRO? 2. Equities
0.8544 #MACRO? ANZ NAB CBA WOW
0.8536 #MACRO? ANZ ### ### ### ###
0.8475 #MACRO? NAB ### ### ### ###
0.8529 #MACRO? CBA ### ### ### ###
0.8817 #MACRO? WOW ### ### ### ###
0.8733 #MACRO?
0.8801 #MACRO? 3. Aggregated equities with other two assets:
0.8813 #MACRO? S&P 500 $US/Euro Equities
0.8829 #MACRO? S&P 500 ### ### ###
0.8825 #MACRO? $US/Euro ### ### ###
0.8817 #MACRO? Equities ### ### ###
0.8764 #MACRO?
0.8728 #MACRO?
0.8695 #MACRO?
0.8697 #MACRO?
0.8690 #MACRO?
0.8682 #MACRO?
0.8739 #MACRO?
### #MACRO?
HoadleyPCAPortAggregate
Returns a single price series representing the weighted aggegated price histories
of individual assets in a portfolio. The number of principal components to be used to represent
the portfolio can be specificed. The price series starts at the arbitrary value of 100.
Help Index The VaR additional samples spreadsheet includes an exam

of using HoadleyPCAPortAggregate to calculate VaR.
Example
Inputs
Prices (This examples uses price data on the PortAggregate sample sheet)
Positions ANZ NAB CBA

52,500 75,020 63,255
PCA:
Normalization (only 0 or 2 can be used
PC1 PC2 PC3
Eigenvectors ANZ ### #MACRO? #MACRO?
NAB ### #MACRO? #MACRO?
CBA ### #MACRO? #MACRO?
WOW ### #MACRO? #MACRO?
Eigenvalues ### #MACRO? #MACRO?
num_components
Results
The results below show the price series for both the specificed number of components ("Market factors") and the remaind
of the factors ("specific factors" or "residuals"). The volatility is calculated on both price series using the
HoadleyHistoricVolatility function and the results compared to the output from the HoadleyPCAPortVols function. As exp
the results are the same.
Market factors
Volatility calculated on prices using HoadleyHistoricVolaitlity: #MACRO?
Volatility calculated using HoadleyPCAPortVols: #MACRO? #MACRO?
calc_type 1
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
0
2
0
1
2
3
4
adsheet includes an example
ate to calculate VaR.
WOW
45,620
2
PC4
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
t factors") and the remainder
PortVols function. As expcted
Specific factors
#MACRO?
#MACRO?
2
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
HoadleyImpliedReturns
Uses reverse optimization to produce the equilibreum returns for assets or markets based on their market capitalizations.
The outputs from this function would normally be used by Black-Litterman model.
Help Index
Example
Inputs
Action
Market_return 8.50%
Market/asset details: US bonds Int'l bonds US large equ'ty

Capitalizations 10.50% 5.20% 29.50%
Volatilities 6.20% 5.50% 18.00%
Corr_matrix S bonds 1 0.3 0.2

Int'l bonds 1 0.4
US large equ'ty 1
US Small equ'ty
Int'l. dev equ'ty
Int'l emerging
Optional aruguments
Risk Aversion
Results Action
US bonds Int'l bonds US large equ'ty
Implied returns R #MACRO? #MACRO? #MACRO?
Implied market return #MACRO?
Implied betas (HoadleyImplied Betas) #MACRO? #MACRO? #MACRO?

Returns implied by the CAPM #MACRO? #MACRO? #MACRO?
Risk aversion parameter RAP #MACRO?
Optimal portfolio (as a check) #MACRO? #MACRO? #MACRO?
http://www.hoadley.net/options Additional samples spreadsheet cont

reproduce results from two key paper
Login in to hoadley.net to download
on their market capitalizations.
US Small equ'ty Int'l. dev equ'ty Int'l emerging

4.00% 38.00% 12.80%
25.00% 17.00% 32.00%
0.3 0.2 0.2

0.3 0.2 0.2
0.7 0.5 0.4
1 0.6 0.7
1 0.5
1


onal samples spreadsheet contains examples which

duce results from two key papers on Black-Litterman.
in to hoadley.net to download
HoadleyImpliedReturnsFX
Uses reverse optimization to produce the equilibrium returns for portfolios or markets based on their market capitalization
The function takes into account currency exposure/currency hedging on international assets.
Help Index
Example
Inputs
Action
Market_return 10.00%
Excess return 6.00%
US UK Japan
S&P 500 FTSE 100 NIKKEI 225
Asset_positions 100.00 200.00 300.00
Pre-hedging currency exposures
Currency hedging
Net currency exposures
Volatilities 12.7% 10.0% 28.6%
Corr_matrix S&P 500 1.00 0.11 -0.09

FTSE 100 0.11 1.00 0.37
NIKKEI 225 -0.09 0.37 1.00
CAC 40 0.18 0.78 0.22
DAX100 0.08 0.26 0.02
US$/UK £ -0.20 -0.09 -0.15
US$/Yen -0.11 -0.13 -0.17
US$/EURO -0.07 -0.05 0.00
Optional aruguments
Risk_aversion
Results Action
S&P 500 FTSE 100 NIKKEI 225
Implied total returns R #MACRO? #MACRO? #MACRO?
Implied excess returns ER #MACRO? #MACRO? #MACRO?
Total returns less excess returns #MACRO? #MACRO? #MACRO?
Risk aversion parameter RAP #MACRO?
Optimal unconstrained portfolio Percent #MACRO? #MACRO? #MACRO?

Optimal unconstrained portfolio $Value #MACRO? #MACRO? #MACRO?
Asset total returns including currency impact #MACRO? #MACRO? #MACRO?

Asset excess returns including currency impact #MACRO? #MACRO? #MACRO?
Portfolio return #MACRO?

Portfolio excess return #MACRO?
This example is from the perspective of a US investor who holds foreign currency assets. All positions and exposures are
returns from a global market/portfolio that may include currency hedging, can be backed out from equilibrium portfolio w
various levels of currency hedging on portfolio returns and portfolio volatility.
In this example, UK investments are 50% hedged (the UK pound currency position is half the value of the asset position).
exposure of non-US assets, the portfolio (in this simplified example) includes a holding of Japanese Yen.
To verify the results, an optimal unconstrained portfolio is calculated using the HoadleyOptimalPortfolio function. Note th
free rate must be set to zero and the portfolio must not be scaled to 100%. There are solid theoretical, but complex, reas
of the optimal portfolio equals the total of the asset and currency positions used as input to the HoadleyImpliedReturnsF
Asset total and excess returns which include currency returns are simply calculated by adding the relevant currency retur
various levels of currency hedging on portfolio returns and portfolio volatility.
In this example, UK investments are 50% hedged (the UK pound currency position is half the value of the asset position).
exposure of non-US assets, the portfolio (in this simplified example) includes a holding of Japanese Yen.
To verify the results, an optimal unconstrained portfolio is calculated using the HoadleyOptimalPortfolio function. Note th
free rate must be set to zero and the portfolio must not be scaled to 100%. There are solid theoretical, but complex, reas
of the optimal portfolio equals the total of the asset and currency positions used as input to the HoadleyImpliedReturnsF
Asset total and excess returns which include currency returns are simply calculated by adding the relevant currency retur
the market return from which they were derived.
Finally the portfolio returns (total and excess) are calculated using the HoadleyPortfolioReturnFX function. Again, as expe
return used as input to the HoadleyImpliedReturnsFX function.
ased on their market capitalizations.
France Germany UK Japan Euro

CAC 40 DAX100 US$/UK £ US$/Yen US$/EURO
400.00 500.00 150.00
200.00 300.00 900.00
-100
100.00 300.00 900.00
15.4% 12.8% 8.7% 9.5% 8.6%
0.18 0.08 -0.20 -0.11 -0.07

0.78 0.26 -0.09 -0.13 -0.05
0.22 0.02 -0.15 -0.17 0.00
1.00 0.35 -0.06 -0.17 -0.10
0.35 1.00 0.00 0.00 0.05
-0.06 0.00 1.00 0.14 0.34
-0.17 0.00 0.14 1.00 0.55
-0.10 0.05 0.34 0.55 1.00
CAC 40 DAX100 US$/UK £ US$/Yen US$/EURO Port. Totals



s. All positions and exposures are expressed in US dollars. The example illustrates how the
ed out from equilibrium portfolio weights. This can aid in the assessment of the impact of
alf the value of the asset position). Other assets are unhedged. In addition to the currency
of Japanese Yen.
yOptimalPortfolio function. Note that excess returns (not total returns) must be used, the risk
solid theoretical, but complex, reasons for this! It can be seen, as expected, that the dollar value
put to the HoadleyImpliedReturnsFX function.
adding the relevant currency returns to each asset return. The total "portfolio returns" equal
alf the value of the asset position). Other assets are unhedged. In addition to the currency
of Japanese Yen.
yOptimalPortfolio function. Note that excess returns (not total returns) must be used, the risk
solid theoretical, but complex, reasons for this! It can be seen, as expected, that the dollar value
put to the HoadleyImpliedReturnsFX function.
adding the relevant currency returns to each asset return. The total "portfolio returns" equal
oReturnFX function. Again, as expected, the returns equal the "market return" and the excess
### HoadleyImpliedBetas
Uses reverse optimization to produce the equilibreum implied betas for assets or markets based on their market capitalization
Help Index
Example
See the example on the HoadleyImpliedReturns sheet (under results)
heir market capitalizations.
HoadleyImpliedViews
Backs out the expected returns for a portfolio based on the estimated expected
return for a single asset.
Index
Help
Example
Inputs
Returns from ImpliedReturns sheet 5.04% 5.07% 8.62%

(These are NOT an input to this function)
Asset_return 8.62%
Positions 10.50% 5.20% 29.50%

Volatilities 6.20% 5.50% 18.00%
Corr_matrix S bonds 1 0.3 0.2

Int'l bonds 1 0.4
US large equ'ty 1
US Small equ'ty
Int'l. dev equ'ty
Int'l emerging
Results
Implied returns #MACRO? #MACRO? #MACRO?
Portfolio weights calculated from #MACRO? #MACRO? #MACRO?

implied returns using HoadleyOptimalPortfolio
Portfolio return #MACRO?

This example uses data from the ImpliedReturns sample sheet. Because the implied returns on that sheet are produced
function, the volatilities, returns, correlation matrix and position weights represent an optimal portfolio.
Using the same volatilities, position weights and correlations as inputs to the HoadleyImpliedView function, together wit
therefore produce returns which exactly equal the returns produced by the HoadleyImpliedReturns function on the Impl
Implied returns under "Results" above should equal the returns from the ImpliedReturns sheet (also duplicated on line 1
Also, irrespective of the returns used, the HoadleyOptimalPortfolio function can be used to recover the position weights u
HoadleyImpliedViews function. This is shown above (line 32).
10.54% 8.68% 11.30%
4.00% 38.00% 12.80%

25.00% 17.00% 32.00%
0.3 0.2 0.2

0.3 0.2 0.2
0.7 0.5 0.4
1 0.6 0.7
1 0.5
1

rns on that sheet are produced by the HoadleyImpliedReturns

timal portfolio.
liedView function, together with one of the returns, should
edReturns function on the ImpliedReturns sample sheet. ie the
sheet (also duplicated on line 13 above).
o recover the position weights used as input to the

HoadleyBlackLitterman
Aplies user-defined views to the equilibreum market returns to produce a set of modified returns reflecting these views.
Will also produce the posterior volatilities and correlation matrix for the assets or markets.
This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of 1
assets. A commercial/corporate (for a business) or pro (private) license is required to process more than 10 assets.
Help Index To process more than 10 assets enter

corporate/commercial license key
Example
Inputs
Action
Market_return 8.50%
Market/asset details: US bonds Int'l bonds US large equ'ty

Capitalizations (portfolio weights) 10.50% 5.20% 29.50%
Volatilities 6.20% 5.50% 18.00%
Corr_matrix 1.000 0.300 0.200

1.000 0.400
1.000
Implied market equilibrium returns #MACRO? #MACRO? #MACRO?

Risk aversion parameters (RAP) #MACRO?
View Matrix, view values View matrix

View 1 1 0 0
View 2 0 0 -1
View 3 0 0 1
Optional arguments
Risk_aversion
Do_calculation
Tau
Results Action
Portfolio returns R #MACRO? #MACRO? #MACRO?
Portfolio volatilities & correlations C #MACRO? #MACRO? #MACRO?

Norm.
Unconstrained optimal portfolio 1 #MACRO? #MACRO? #MACRO?
R
RA
C
CA
1
0
ed returns reflecting these views.
version will handle a maximum of 10

process more than 10 assets.
Additional samples spreadsheet contains examples which reproduce

the results from two key papers on the Black-Litterman model.
Login in to hoadley.net to download
View Descriptions
View 1: The return on US bonds

will be 5.25%. pa (Confidence
US small equ'ty Int'l. dev equ'ty Int'l emerging 30%)
4.00% 38.00% 12.80%
25.00% 17.00% 32.00% View 2: US Small equities will
outperform US large equities by
4.00% pa. (confidence 80%)
0.300 0.200 0.200
0.300 0.200 0.200 View 3: US equities as a group will
0.700 0.500 0.400 outperform international equities
1.000 0.600 0.700 as a group by 1.00% (confidence
1.000 0.500 50%)
1.000
View matrix View values view confidence

0 0 0 5.25% 30.0%
1 0 0 4.00% 80.0%
1 -1 -1 1.00% 50.0%
US small equ'ty Int'l. dev equ'ty Int'l emerging Portfolio return

#MACRO? #MACRO? #MACRO? Volatilities

#MACRO? #MACRO? #MACRO? Correlation

HoadleyOptimalPortfolio
Returns the unconstrained optimal portfolio for a given set of returns,
correlations and volatilities.
Help Index
Example
See the example on the HoadleyBlackLitterman sheet (under results)
HoadleyEfficientFrontier
Undertakes a mean-variance optimization on a potfolio and returns the efficient frontier. The optimal (tangency) portfolio i
returned. If linear constraints were sepcified the weights allocated to each constraint are returned.
This function is not available in the trial version of the add-in. The full private/personal version will handle a maximum of t
A commercial/corporate (for a business) or pro (private) license is required to optimize more than ten assets.
Help Index To optimize more than 10 assets

enter corporate/commercial license key
Example
Inputs
Risk free rate:

Asset IDs TWX XOM CSCO GE
Returns 10.6% 11.8% 11.2% 8.1%
Volatilities 17.0% 21.0% 18.7% 17.4%
Minimum weights 0% 0% 5% 0%
Maximum weights 100% 80% 30% 50%
Correlation matrix TWX 1.00 0.22 0.46 0.22

XOM 0.22 1.00 0.14 0.23
CSCO 0.46 0.14 1.00 0.40
GE 0.22 0.23 0.40 1.00
KO 0.19 0.04 0.46 0.19
DIS 0.45 -0.16 0.32 0.18
MER 0.33 0.34 0.26 0.31
Linear constraints Min/Max Value TWX XOM CSCO GE

Tech: Min 2 10% 1 0 1 0
Max 1 100% 1 0 1 0
Energy: Min 2 0% 0 1 0 0
Max 1 30% 0 1 0 0
Finance: Min 2 0% 0 0 0 0
Max 1 100% 0 0 0 0
Other: Min 2 0% 0 0 0 1
Max 1 100% 0 0 0 1
Results Portfolio Portfolio Individual asset weights

Returns Volatilities TWX XOM CSCO GE
Minimum variance portfolio ### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
Efficient portfolios ### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
### ### ### ### ### ###
Maximum return portfolio ### ### ### ### ### ###
Optimal (tangency) portfolio ### ### ### ### ### ###
Sharpe ratio: ###
Capital market line
0 4.00%
#MACRO? #MACRO?
100% #MACRO?
The optimal (tangency) portfolio is also
rsion will handle a maximum of ten assets.

mize more than ten assets.
The Hoadley Portfolio Optimizer Pro provides an example of how

this function can be used in a VBA module to build a portfolio
4.00% optimizer application. More Information
KO DIS MER
7.8% 8.8% 9.4%
11.9% 18.3% 15.2%
0% 5% 5%
Efficient Frontier
50% 100% 20%
0.19 0.45 0.33 10.80%

Returns
0.04 -0.16 0.34

0.46 0.32 0.26
0.19 0.18 0.31 10.30%
1.00 0.36 0.39
0.36 1.00 0.18
0.39 0.18 1.00
9.80%
KO DIS MER
0 0 0
0 0 0 9.30%
0 0 0
0 0 0
0 0 1
0 0 1 8.80%
1 1 0 0.0924 0.0974 0.1024 0.1074 0.1124 0.1174 0.1224 0.1
Volatility
1 1 0
dual asset weights Industry sector groupings (linear constraints)

KO DIS MER Tech Energy Finance
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
### ### ### ### ### ### ### ### ###
an example of how
uild a portfolio
er
0.1174 0.1224 0.1274
onstraints)
Other
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
HoadleyRiskParity
Returns the Risk Parity Portfolio -- the portfolio with the contribution
of each component to overall portfolio volatility equally weighted.
Help Index
Example
Inputs
US bonds Int'l bonds US large equ'ty US small equ'ty Int'l. dev equ'ty
Volatilities 6.20% 5.50% 18.00% 25.00% 17.00%
Corr_matrix 1.000 0.300 0.200 0.300 0.200

1.000 0.400 0.300 0.200
1.000 0.700 0.500
1.000 0.600
1.000
Do_Calc (Set Do_Calc to TRUE to run the function)
Results (live, using function with Do_Calc = TRUE)

Asset weights #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Risk contributions 0.000% 0.000% 0.000% 0.000% 0.000%

Portfolio volatility
Contribution percentages 0.000% 0.000% 0.000% 0.000% 0.000%
Results (values only)

Asset weights 33.82% 36.02% 8.95% 5.76% 10.08%
Risk contributions 1.202% 1.202% 1.202% 1.202% 1.202%

Portfolio volatility
Contribution percentages 16.667% 16.667% 16.667% 16.667% 16.667%
1
0
Int'l emerging
32.00%
0.200
0.200
0.400
0.700
0.500
1.000
Int'l emerging Totals

#MACRO? ###
0.000% 0.00%
0.00%
0.000% 0.00%
Int'l emerging Totals

5.37% 100.00%
1.202% 7.21%
7.21%
16.667% 100.00%
HoadleyAfterTaxTaxable
Calculates the tax adjusted return, volatility, current after tax value,
and future value of a taxable investment. The outputs can then be used
for tax adjusted (ie after tax) portfolio optimization.
Help Index
Example
Inputs
Action
Market Value 1,000
Pre_tax_return 7.0%
Volatility 30%
Years 20
Optional arguments
LT_CGT_Rate 15%
Tax_rate_1 15%
Tax_1_percent 10%
Tax_rate_2 40%
Tax_2_percent 35%
Tax_rate_3
Tax_3_percent
Cost_base 700
Results Action Value

After tax return RET #MACRO?
After tax volatility VOL #MACRO?
After tax future value FV #MACRO?
After tax current value CV #MACRO?
After tax future value calculated using above results #MACRO?
An additional samples spreadsheet is available for download. It includes

examples which illustrate how to use this function as part of after tax
portfolio optimization for new portfolios and for existing portfolios with
unrealized capital gains, and how to optimize the asset allocation across
multiple locations (investment accounts). An example is also included
showing the derivation of after tax rates and values using a discounted
cash flow technique.
Details and download
HoadleyAfterTaxTaxDef
Calculates the tax adjusted return, volatility, current after tax value,
and future value of a tax deferred investment. -- eg in a tax deferred
retirement account -- for tax adjusted (ie after tax) portfolio optimization.
Help Index
Example
Inputs
Action
Market Value 1,000
Pre_tax_return 7.0%
Volatility 30%
Years 20
tax_on_withdrawals 40%
Results Action Value

After tax return RET #MACRO?
After tax volatility VOL #MACRO?
After tax future value FV #MACRO?
After tax current value CV #MACRO?
After tax future value calculated using above results #MACRO?

Portfolio Monte Carlo Simulation Class
The portfolio Monte Carlo Simulation class is used in a VBA module to simulate
the range of returns and risk from a portfolio consisting of multiple asset classes
or individual assets (eg equities).
Overview of the simulation class: Help

For a comprehensive example of how to use the simulation class, download the
Hoadley Monte Carlo Simulator from the Hoadley Trading & Portfolio Investment Tools
web site (available to current users of the full version of the Finance Add-in for Excel.
Overview of the Hoadley Portfolio Monte Carlo Simulator
1
0
Retirement Planning Monte Carlo Simulation Class
The Retirment Planning Simulation class is used in a VBA module to prepare a
retirement plan.
Overview of the Retirement Planning class: Help

For a comprehensive example of how to use the Retirement Planning class, download the
Hoadley Retirment Planner from the Hoadley Trading & Portfolio Investment Tools
web site (available to current users of the full version of the Finance Add-in for Excel.
Overview of the Hoadley Retirement Planner
HoadleyYahooQuotes (Function)
A function for retrieving stock quotes from Yahoo.
Help Index
Example
Inputs
Ticker ANZ
Data_item Last
Example
Symbol Name Date Time Last Change
IBM #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
MSFT #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
Dell #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
GE #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
F #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
C #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
BA #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
BAC #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
GOOG #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
^GSPC #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
AUDUSD=X #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

USDCAD=X #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
0005.HK #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?

KOTAKBANK.NS #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NAB.AX #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
BHP.AX #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
LastUpdate #MACRO?
Note:
1. The quotes toolbar can also be made to appear by using the HoadleyOptions
menu (HoadleyOptionMenu/Insert Function/On-line data)
2. Quotes can also be refreshed from the quotes toolbar. Quotes cannot be
refreshed more frequently than once every ten seconds.
3. If you are using the trial version of the add-in, then the refresh button will stop
working after approximately three minutes.
%Change
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
HoadleyGetQuotes (subroutine)
A subroutine which can be called from a VBA module to return stock quotes from
Yahoo.
Index
Help
Example
Click on heading fields below to select/change columns
Symbol Name Date Last Trade Change
IBM INTL BUS MACHINE 27-Dec-02 77.36 -1.14

MSFT MICROSOFT CP 27-Dec-02 52.97 -0.42
Dell DELL COMPUTER 27-Dec-02 27.02 -0.36
GE GENERAL ELEC CO 27-Dec-02 24.70 -0.41
F FORD MOTOR CO 27-Dec-02 9.58 -0.21
C CITIGROUP 27-Dec-02 35.17 -0.85
BA BOEING CO 27-Dec-02 32.33 -0.30
BAC BANK OF AMERICA 27-Dec-02 69.17 -0.67
MER MERRILL LYNCH 27-Dec-02 38.30 -1.24
XOM EXXON MOBIL 27-Dec-02 34.64 -0.68
ANZ.AX ANZ BANKING GRP 27-Dec-02 17.70 0.03

NWS.AX NEWS CORP 27-Dec-02 11.81 -0.16
#VALUE! (yahoo format string) Unhide YahooFormatString sheet to view format character tabl
w to select/change columns
Last Trade
Day's High Day's Low (Real-time)
Click on column
79.18 76.61 77.25 headings to change
54.00 52.9 52.86 selection.
27.45 26.83 27.03
25.30 24.54 24.75
9.80 9.53 9.64
36.06 34.85 35.17
33.09 32.14 32.33
70.20 68.9 69.12
39.48 38.08 38.27
35.52 34.6 34.58
17.74 17.53 17.7

11.93 11.76 11.81
to view format character table

HoadleyMFQuotes
A function for retrieving streaming real-time quotes from the Marketfeed service.
Help Index
Example: Equities
Symbol Name Date Time Bid
IBM #MACRO? #MACRO? #MACRO? ###
MSFT #MACRO? #MACRO? #MACRO? ###
Dell #MACRO? #MACRO? #MACRO? ###
GE #MACRO? #MACRO? #MACRO? ###
F #MACRO? #MACRO? #MACRO? ###
C #MACRO? #MACRO? #MACRO? ###
BA #MACRO? #MACRO? #MACRO? ###
QQQQ #MACRO? #MACRO? #MACRO? ###
I:SPX.CBO #MACRO? #MACRO? #MACRO? ###

I:NDX.NAS #MACRO? #MACRO? #MACRO? ###
Example: Options
Option Symbol Expiry Date Strike Option Type Bid
O:SPY\11L17\20.0 #MACRO? #MACRO? #MACRO? ###
O:SPX\12X22\550.0 #MACRO? #MACRO? #MACRO? ###
O:IBM\11A22\135.0 #MACRO? #MACRO? #MACRO? ###
Marketfeed streaming quotes: Service details and subscriptio
Notes:
1. The quotes toolbar can also be made to appear by using the HoadleyOptions menu:
HoadleyOptionMenu/ Insert Function/ On-line data
2. A subscription to the Marketfeed streaming quotes service is required to use this function.
Subscribe to Marketfeed steaming quotes
3. Once you subscribe to Marketfeed your User ID and Password should be entered using the "User"
button on the Hoadley Marketfeed Quotes toolbar. You will only need to do this once.
4. A subscription to Marketfeed will also enable you to retrieve real-time option chains using the option
chain component. See option chains sheet in this samples workbook for a simple example, and the Implied
volatility calculator application downloaded with the add-in for a more sophisticated example of using option.
chains.
Ask Last
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
Ask Last
### #MACRO?
### #MACRO?
### #MACRO?
es: Service details and subscription
ing the "User"
sing the option

ple, and the Implied
mple of using option.
HoadleyOXQuotes
A function for retrieving streaming real-time quotes from the OptionsXpress streamer.
Currently free to OptionsXpress account holders.
Help Index
Example: Equities
Symbol Name Time Bid
IBM #MACRO? #MACRO? ###
MSFT #MACRO? #MACRO? ###
Dell #MACRO? #MACRO? ###
GE #MACRO? #MACRO? ###
F #MACRO? #MACRO? ###
C #MACRO? #MACRO? ###
SPY #MACRO? #MACRO? ###
QQQQ #MACRO? #MACRO? ###
SPX #MACRO? #MACRO? ###

NDX #MACRO? #MACRO? ###
Example: Options
Option Symbol Name Strike Time Bid
IBM^^^120121P00100000 #MACRO? #MACRO? #MACRO? ###
SPX^^^111217C01200000 #MACRO? #MACRO? #MACRO? ###
C^^^^^120121C00005000 #MACRO? #MACRO? #MACRO? ###
OptionsXpress streaming quotes: Details
Notes:
2. This service is currently free to OptionsXpress account holders.
3. The HoadleyOXQuotes function will automatically log in to your OptionsXpress account. For security
reasons your OptionsXpress password will not be saved on your hard drive and you will need to re-enter
it each time you re-start Excel and use the OptionsXpress service. Both your OptionsXpress user ID and
password are encrypted using secure sockets layer (SSL) technology before being sent to OptionsXpress.
4. Joining OptionsXress will also enable you to retrieve real-time option chains using the option
chains.
Ask Last
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
### #MACRO?
Ask Last
### #MACRO?
### #MACRO?
### #MACRO?
treaming quotes: Details
For security
ed to re-enter
s user ID and
OptionsXpress.
and the Implied

e of using option.
HoadleyESQuotes
A function for retrieving streaming real-time quotes from eSignal.
Help Index
Examples: General
Location Type Symbol Name
US Equities GE #MACRO?
MSFT #MACRO?
DELL #MACRO?
Index $INDU #MACRO?
Future SP M1 #MACRO?
Futures Option SP Z0C1475 #MACRO?
Canada Equities - Toronto BMO-TC #MACRO?
Equities - Venture BLR-VC #MACRO?
Spain Equities TEF-MAC #MACRO?
UK Equities LLOY-LON #MACRO?
BARC-LON #MACRO?
Index $UKX-FTSE #MACRO?
Australia Equities ANZ-ASX #MACRO?
BHP-ASX #MACRO?
Index $XAO-ASX #MACRO?
Germany Equites BMW-BER #MACRO?
US Currency AUD A0-FX #MACRO?
Examples: Stock & Index options
Location Type Symbol Name

US Equity O:IBM 12M100.00 #MACRO?
O:MSFT 12A37.50 #MACRO?
Index O:SPX 12X1100.00 #MACRO?
eSignal streaming quotes: Details
Notes:
2. A subscription to the eSignal streaming quotes service is required to use this function.
4. A subscription to eSignal will also let you retrieve real-time US option chains using the option chain component.
Time Bid Ask Last Change Volume
#MACRO? #MACRO? #MACRO? #MACRO? ### #MACRO?
Expiry Open
Time Date Strike Ask Last Interest
al streaming quotes: Details
eSignal details
option chain component.

HoadleySWQuotes
A function for retrieving real-time streaming quotes from StockWatch.
Help Index
Example: Equities and indices

Symbol Bid Ask Last Change Volume High
MSFT #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
DELL #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
IBM #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
XOM #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
T:BMO #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?

T:SLF #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
V:BLR #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
$INDU ### #MACRO? #MACRO? #MACRO?

$SPX ### #MACRO? #MACRO? #MACRO?
$NDX ### #MACRO? #MACRO? #MACRO?
V:VIJX #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?

T:TITX60 #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
Example: Options
Option Option Option
Option Symbol Year Month Strike Type Bid Ask
IBMA211270.00 #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
M:BMO120121C56.00 #MACRO? #MACRO? ### #MACRO? #MACRO? #MACRO?
Stockwatch streaming quotes: Details
Notes:
2. A subscription to Stockwatch is required to use this function.
4. A subscription to Stockwatch will also let you retrieve real-time US and Canadian
option chains using the option chain component.
Low
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
Last
#MACRO?
#MACRO?
etails
HoadleyBSQuotes
A function for retrieving streaming real-time quotes for the Australian market from
WebLink's BullSignal quotes service.
Help Index
Example: Equities
Symbol Name Date Time Bid Ask
AGK #MACRO? #MACRO? #MACRO? ### ###
ANZ #MACRO? #MACRO? #MACRO? ### ###
BHP #MACRO? #MACRO? #MACRO? ### ###
FGL #MACRO? #MACRO? #MACRO? ### ###
NAB #MACRO? #MACRO? #MACRO? ### ###
NWS #MACRO? #MACRO? #MACRO? ### ###
TLS #MACRO? #MACRO? #MACRO? ### ###
WDC #MACRO? #MACRO? #MACRO? ### ###
XJO #MACRO?
XAO #MACRO?
Example: Options
Option Symbol Expiry Date Strike Security Type Bid Ask
ANZYG7 #MACRO? #MACRO? #MACRO? ### ###
BHPKV8 #MACRO? #MACRO? #MACRO? ### ###
XJOQH9 #MACRO? #MACRO? #MACRO? ### ###
BullSignal streaming quotes: Service details and subscription
Notes:
2. A subscription to the WebLink Australia's BullSignal streaming quotes service is required to use this function.
Subscribe to BullSignal steaming quotes
3. A subscription to BullSignal will also enable you to retrieve real-time option chains using the option
Volatility Calculator application downloaded with the add-in for a more sophisticated example of using option
chains.
Last
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
Last
#MACRO?
#MACRO?
#MACRO?
details and subscription
red to use this function.
ng the option
ample of using option
HoadleyAMQuotes
A function for retrieving streaming real-time UK quotes from the MoneyAM streamer.
Free streaming is available (with time limits), and unlimited by subscription.
Help Index
Example: Equities
Symbol Name Last Change Time Bid
BARC #MACRO? #MACRO? ### ### ###
LLOY #MACRO? #MACRO? ### ### ###
VOD #MACRO? #MACRO? ### ### ###
BLT #MACRO? #MACRO? ### ### ###
RIO #MACRO? #MACRO? ### ### ###
ABC #MACRO? #MACRO? ### ### ###
BT.A #MACRO? #MACRO? ### ### ###
RSA #MACRO? #MACRO? ### ### ###
BP. #MACRO? #MACRO? ### ### ###
GSK #MACRO? #MACRO? ### ### ###
TSCO #MACRO? #MACRO? ### ### ###
UKX #MACRO? #MACRO? ### ### ###
MoneyAM streaming quotes: Details
Notes:
2. This service requires registration at www.moneyam.com
3. Quotes are available for equity and indices. Streaming option quotes are not available from MoneyAM.
Ask
###
###
###
###
###
###
###
###
###
###
###
###
uotes: Details
from MoneyAM.
HoadleyTDQuotes
A function for retrieving streaming real-time quotes from the TD Ameritrade streamer.
Available to TD Ameritrade account holders.
Help Index
Example
Symbol Name Last Change Time
IBM #MACRO? ### ### ###
GE #MACRO? ### ### ###
GOOG #MACRO? ### ### ###
DELL #MACRO? ### ### ###
DNB #MACRO? ### ### ###
BA #MACRO? ### ### ###
C #MACRO? ### ### ###
HP #MACRO? ### ### ###
XOM #MACRO? ### ### ###
IBM_012112P105 #MACRO? ### ### ###

SPX_121711C1600 #MACRO? ### ### ###
$RUT.X #MACRO? ### ### ###

$SPX.X #MACRO? ### ### ###
TD Ameritrade streaming quotes: Details
Notes:
2. This service is available to TD Ameritrade account holders.
3. The HoadleyTDQuotes function will automatically log in to your TD Ameritrade account.

Your TD Ameritrade password will be stored on your hard drive in encrypted form.
Both your TD Ameritrade user ID and password are encrypted using secure sockets layer (SSL) technology
before being sent to TD Ameritrade.
4. Joining TD Ameritrade will also enable you to retrieve real-time option chains using the option
chains.
Bid Ask
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
### ###
streaming quotes: Details
(SSL) technology
e, and the Implied

ple of using option.
HoadleyIBQuotes
A function for retrieving streaming real-time quotes from the Interactive Brokers.
Available to IB account holders.
Help Index
Example
Security Curr-
Type of quote Symbol Type Exchange ency Expiry Date
Equities GOOG
MSFT
MSFT USD
IBM SMART USD
IBM SMART EUR
BARC LSE GBP
AMAT STK SMART
ALTR STK
KOPSUB STK NSE INR
BMW STK SMART EUR
Indices SPX IND CBOE USD
NDX IND NASDAQ
NIFTY50 IND NSE INR
DAX IND DTB EUR
Equity options MSFT 110122C00031000 OPT
MSFT OPT USD 201101
IBM OPT SMART USD 201201

IBM 120121P00125000 OPT SMART USD
C BMW DEC 10 3600 OPT DTB EUR

BMW OPT DTB EUR 201012
Index options SPX 111217P01050000 OPT CBOE
SPX OPT SMART 201112
SPX OPT USD 20111215
P ODAX DEC 10 5000 OPT DTB EUR

DAX OPT DTB 201012
Futures ESZ0 FUT GLOBEX
ZG JUN 11 FUT NYSELIFFE USD

ZG FUT NYSELIFFE USD 201106
ZB FUT ECBOT USD 201012

Futures options C OZB DEC 10 12100 FOP ECBOT
ZB FOP ECBOT USD 201012
ESZ0 C1095 FOP GLOBEX

ES FOP GLOBEX USD 20101217
Currencies USD.GBP CASH IDEAL GBP
AUD.USD CASH IDEALPRO
Notes:
2. This service is available to IB account holders.
3. The HoadleyIBQuotes function requires that the IB Application Programming Interface (API)
be installed and that the IB TWS be running and correctly configured.
See the IB help notes for more information.
4. Joining IB will also enable you to retrieve real-time option chains using the option
chains.
Put/ Multi- Primary
Strike Call plier Exchnage Bid Ask High Low Last
NASDAQ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
ISLAND #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
NASDAQ #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
31.00 C #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
125.00 P #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?


36.00 C 100 #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?




Interactive Brokers streaming quotes: Details

mple of using option.
Volume
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
#MACRO?
Option Chain Class
A component for retrieving option chains for specified underlying assets.
Index
Help
Example
Inputs
Example 1:
Ticker IBM
Information provider (click cell) MSN

Exchange (or blank for default) Example 2:
Note: six sort options are available
Results
Spot: 127.99 Error status: OK
Option Open
Expiry Strike Type Symbol Interest Volume Bid
18-Sep-10 75.00 C .IBM\10I18\75.0 0 0 51.950
P .IBM\10U18\75.0 51 0 0.000
80.00 C .IBM\10I18\80.0 0 0 46.950
P .IBM\10U18\80.0 132 0 0.000
85.00 C .IBM\10I18\85.0 0 0 41.950
P .IBM\10U18\85.0 229 0 0.000
90.00 C .IBM\10I18\90.0 1 0 36.950
P .IBM\10U18\90.0 1,871 0 0.000
95.00 C .IBM\10I18\95.0 69 0 32.900
P .IBM\10U18\95.0 619 6 0.000
100.00 C .IBM\10I18\100.0 56 17 27.950
P .IBM\10U18\100.0 650 0 0.000
105.00 C .IBM\10I18\105.0 185 11 22.950
P .IBM\10U18\105.0 737 32 0.020
110.00 C .IBM\10I18\110.0 221 41 18.000
P .IBM\10U18\110.0 2,388 27 0.030
115.00 C .IBM\10I18\115.0 276 12 13.000
P .IBM\10U18\115.0 5,428 449 0.050
120.00 C .IBM\10I18\120.0 1,282 415 8.050
P .IBM\10U18\120.0 11,835 354 0.070
125.00 C .IBM\10I18\125.0 8,591 2,580 3.250
P .IBM\10U18\125.0 12,094 3,379 0.270
130.00 C .IBM\10I18\130.0 14,491 4,640 0.360
P .IBM\10U18\130.0 4,913 2,016 2.340
135.00 C .IBM\10I18\135.0 9,779 970 0.030
P .IBM\10U18\135.0 2,992 372 6.950
140.00 C .IBM\10I18\140.0 3,041 4 0.000
P .IBM\10U18\140.0 231 1 11.900
145.00 C .IBM\10I18\145.0 1,163 0 0.000
P .IBM\10U18\145.0 0 0 16.650
150.00 C .IBM\10I18\150.0 224 0 0.000
P .IBM\10U18\150.0 1 0 21.650
155.00 C .IBM\10I18\155.0 0 0 0.000
P .IBM\10U18\155.0 0 0 26.650
160.00 C .IBM\10I18\160.0 0 0 0.000
P .IBM\10U18\160.0 0 0 31.650
16-Oct-10 60.00 C .IBM\10J16\60.0 0 0 66.500

P .IBM\10V16\60.0 299 0 0.000
65.00 C .IBM\10J16\65.0 0 0 61.500
P .IBM\10V16\65.0 1,550 0 0.000
70.00 C .IBM\10J16\70.0 0 0 56.500
P .IBM\10V16\70.0 630 0 0.000
75.00 C .IBM\10J16\75.0 0 0 51.500
P .IBM\10V16\75.0 364 0 0.010
80.00 C .IBM\10J16\80.0 0 1 46.500
P .IBM\10V16\80.0 506 0 0.010
85.00 C .IBM\10J16\85.0 0 0 41.550
P .IBM\10V16\85.0 590 0 0.030
90.00 C .IBM\10J16\90.0 0 0 37.900
P .IBM\10V16\90.0 1,009 0 0.050
95.00 C .IBM\10J16\95.0 7 0 32.850
P .IBM\10V16\95.0 673 110 0.080
100.00 C .IBM\10J16\100.0 11 2 27.900
P .IBM\10V16\100.0 2,138 20 0.120
105.00 C .IBM\10J16\105.0 25 0 22.950
P .IBM\10V16\105.0 6,053 12 0.170
110.00 C .IBM\10J16\110.0 334 10 18.250
P .IBM\10V16\110.0 4,515 79 0.270
115.00 C .IBM\10J16\115.0 684 1 13.450
P .IBM\10V16\115.0 11,707 691 0.460
120.00 C .IBM\10J16\120.0 1,366 122 8.900
P .IBM\10V16\120.0 12,733 983 0.880
125.00 C .IBM\10J16\125.0 4,578 615 4.900
P .IBM\10V16\125.0 13,685 2,618 1.880
130.00 C .IBM\10J16\130.0 11,088 3,678 2.010
P .IBM\10V16\130.0 3,516 1,144 3.950
135.00 C .IBM\10J16\135.0 13,232 612 0.580
P .IBM\10V16\135.0 1,550 68 7.500
140.00 C .IBM\10J16\140.0 10,237 251 0.130
P .IBM\10V16\140.0 521 0 11.900
145.00 C .IBM\10J16\145.0 6,100 75 0.020
P .IBM\10V16\145.0 142 11 16.900
150.00 C .IBM\10J16\150.0 26,223 0 0.000
P .IBM\10V16\150.0 4 0 21.700
155.00 C .IBM\10J16\155.0 761 0 0.000
P .IBM\10V16\155.0 2 0 26.650
160.00 C .IBM\10J16\160.0 808 0 0.000
P .IBM\10V16\160.0 2 0 31.650
165.00 C .IBM\10J16\165.0 598 0 0.000
P .IBM\10V16\165.0 0 0 36.650
170.00 C .IBM\10J16\170.0 216 0 0.000
P .IBM\10V16\170.0 0 0 41.650
175.00 C .IBM\10J16\175.0 202 0 0.000
P .IBM\10V16\175.0 0 0 46.650
180.00 C .IBM\10J16\180.0 20 0 0.000
P .IBM\10V16\180.0 0 0 51.650
185.00 C .IBM\10J16\185.0 0 0 0.000
P .IBM\10V16\185.0 0 0 56.650
22-Jan-11 20.00 C .IBM\11A22\20.0 0 0 106.300

P .IBM\11M22\20.0 2,149 0 0.000
22.50 C .IBM\11A22\22.5 0 0 103.800
P .IBM\11M22\22.5 777 0 0.000
25.00 C .IBM\11A22\25.0 0 0 101.300
P .IBM\11M22\25.0 1,138 0 0.000
30.00 C .IBM\11A22\30.0 0 0 96.300
P .IBM\11M22\30.0 3,356 0 0.000
35.00 C .IBM\11A22\35.0 0 0 91.300
P .IBM\11M22\35.0 1,300 0 0.000
40.00 C .IBM\11A22\40.0 0 0 86.300
P .IBM\11M22\40.0 2,372 0 0.010
45.00 C .IBM\11A22\45.0 3 0 81.300
P .IBM\11M22\45.0 1,853 0 0.020
50.00 C .IBM\11A22\50.0 6 0 76.300
P .IBM\11M22\50.0 2,718 0 0.050
55.00 C .IBM\11A22\55.0 0 0 71.300
P .IBM\11M22\55.0 979 0 0.070
60.00 C .IBM\11A22\60.0 70 1 66.300
P .IBM\11M22\60.0 1,448 0 0.090
65.00 C .IBM\11A22\65.0 1 0 61.350
P .IBM\11M22\65.0 1,447 0 0.140
70.00 C .IBM\11A22\70.0 0 0 56.850
P .IBM\11M22\70.0 2,892 0 0.210
75.00 C .IBM\11A22\75.0 0 0 52.700
P .IBM\11M22\75.0 2,529 0 0.280
80.00 C .IBM\11A22\80.0 30 0 47.750
P .IBM\11M22\80.0 3,792 0 0.370
85.00 C .IBM\11A22\85.0 6 0 42.900
P .IBM\11M22\85.0 3,245 95 0.500
90.00 C .IBM\11A22\90.0 690 0 37.950
P .IBM\11M22\90.0 4,866 43 0.660
95.00 C .IBM\11A22\95.0 1,585 0 33.150
P .IBM\11M22\95.0 6,406 15 0.880
100.00 C .IBM\11A22\100.0 1,677 0 28.750
P .IBM\11M22\100.0 9,049 60 1.180
105.00 C .IBM\11A22\105.0 452 5 24.100
P .IBM\11M22\105.0 6,482 7 1.610
110.00 C .IBM\11A22\110.0 3,199 1,755 19.750
P .IBM\11M22\110.0 16,676 13 2.220
115.00 C .IBM\11A22\115.0 5,193 2 15.550
P .IBM\11M22\115.0 13,302 175 3.050
120.00 C .IBM\11A22\120.0 4,803 12 11.700
P .IBM\11M22\120.0 11,102 249 4.200
125.00 C .IBM\11A22\125.0 5,090 39 8.350
P .IBM\11M22\125.0 8,149 174 5.850
130.00 C .IBM\11A22\130.0 12,933 402 5.550
P .IBM\11M22\130.0 7,872 56 8.050
135.00 C .IBM\11A22\135.0 10,948 264 3.400
P .IBM\11M22\135.0 1,108 13 10.900
140.00 C .IBM\11A22\140.0 7,470 2,410 1.910
P .IBM\11M22\140.0 984 20 14.400
145.00 C .IBM\11A22\145.0 4,385 91 0.980
P .IBM\11M22\145.0 339 0 18.450
150.00 C .IBM\11A22\150.0 11,286 93 0.470
P .IBM\11M22\150.0 422 0 22.900
155.00 C .IBM\11A22\155.0 4,103 29 0.200
P .IBM\11M22\155.0 243 0 27.550
160.00 C .IBM\11A22\160.0 2,647 1 0.080
P .IBM\11M22\160.0 1,046 0 32.350
165.00 C .IBM\11A22\165.0 1,281 0 0.030
P .IBM\11M22\165.0 109 0 37.300
170.00 C .IBM\11A22\170.0 680 0 0.010
P .IBM\11M22\170.0 1,660 0 42.200
175.00 C .IBM\11A22\175.0 771 0 0.000
P .IBM\11M22\175.0 86 0 47.200
180.00 C .IBM\11A22\180.0 755 0 0.000
P .IBM\11M22\180.0 0 0 52.200
185.00 C .IBM\11A22\185.0 363 0 0.000
P .IBM\11M22\185.0 0 0 57.200
190.00 C .IBM\11A22\190.0 386 0 0.000
P .IBM\11M22\190.0 0 0 62.200
195.00 C .IBM\11A22\195.0 242 0 0.000
P .IBM\11M22\195.0 10 0 67.100
200.00 C .IBM\11A22\200.0 0 0 0.000
P .IBM\11M22\200.0 5 0 72.100
16-Apr-11 65.00 C .IBM\11D16\65.0 0 0 61.550

P .IBM\11P16\65.0 331 0 0.300
70.00 C .IBM\11D16\70.0 0 0 57.550
P .IBM\11P16\70.0 25 0 0.410
75.00 C .IBM\11D16\75.0 0 0 52.650
P .IBM\11P16\75.0 188 0 0.550
80.00 C .IBM\11D16\80.0 0 0 47.700
P .IBM\11P16\80.0 77 0 0.720
85.00 C .IBM\11D16\85.0 0 0 42.850
P .IBM\11P16\85.0 44 12 0.960
90.00 C .IBM\11D16\90.0 0 0 38.200
P .IBM\11P16\90.0 10 12 1.260
95.00 C .IBM\11D16\95.0 0 0 33.850
P .IBM\11P16\95.0 849 21 1.670
100.00 C .IBM\11D16\100.0 8 0 29.200
P .IBM\11P16\100.0 499 0 2.200
105.00 C .IBM\11D16\105.0 4 1 25.000
P .IBM\11P16\105.0 448 25 2.900
110.00 C .IBM\11D16\110.0 106 0 20.800
P .IBM\11P16\110.0 594 80 3.800
115.00 C .IBM\11D16\115.0 357 0 17.000
P .IBM\11P16\115.0 350 2 4.950
120.00 C .IBM\11D16\120.0 77 7 13.400
P .IBM\11P16\120.0 605 0 6.400
125.00 C .IBM\11D16\125.0 491 30 10.250
P .IBM\11P16\125.0 985 40 8.250
130.00 C .IBM\11D16\130.0 422 56 7.550
P .IBM\11P16\130.0 312 0 10.550
135.00 C .IBM\11D16\135.0 605 14 5.300
P .IBM\11P16\135.0 45 18 13.350
140.00 C .IBM\11D16\140.0 328 18 3.550
P .IBM\11P16\140.0 10 0 16.600
145.00 C .IBM\11D16\145.0 235 35 2.300
P .IBM\11P16\145.0 0 0 20.300
150.00 C .IBM\11D16\150.0 96 21 1.390
P .IBM\11P16\150.0 1 0 24.200
155.00 C .IBM\11D16\155.0 80 5 0.800
P .IBM\11P16\155.0 3 0 28.700
160.00 C .IBM\11D16\160.0 24 0 0.440
P .IBM\11P16\160.0 0 0 33.200
165.00 C .IBM\11D16\165.0 29 0 0.230
P .IBM\11P16\165.0 0 0 38.100
170.00 C .IBM\11D16\170.0 11 0 0.100
P .IBM\11P16\170.0 0 0 42.900
175.00 C .IBM\11D16\175.0 0 0 0.050
P .IBM\11P16\175.0 0 0 47.850
180.00 C .IBM\11D16\180.0 0 0 0.020
P .IBM\11P16\180.0 0 0 52.800
21-Jan-12 65.00 C .IBM\12A21\65.0 15 0 61.450

P .IBM\12M21\65.0 846 1 1.400
70.00 C .IBM\12A21\70.0 18 0 56.600
P .IBM\12M21\70.0 1,617 20 1.780
75.00 C .IBM\12A21\75.0 12 0 51.700
P .IBM\12M21\75.0 705 0 2.270
80.00 C .IBM\12A21\80.0 8 0 47.450
P .IBM\12M21\80.0 745 0 2.840
85.00 C .IBM\12A21\85.0 69 0 43.850
P .IBM\12M21\85.0 788 35 3.500
90.00 C .IBM\12A21\90.0 342 0 39.550
P .IBM\12M21\90.0 1,728 0 4.350
95.00 C .IBM\12A21\95.0 206 0 35.200
P .IBM\12M21\95.0 562 0 5.300
100.00 C .IBM\12A21\100.0 2,259 0 31.250
P .IBM\12M21\100.0 3,375 0 6.450
105.00 C .IBM\12A21\105.0 7 0 27.500
P .IBM\12M21\105.0 706 0 7.750
110.00 C .IBM\12A21\110.0 618 4 24.300
P .IBM\12M21\110.0 1,735 6 9.250
115.00 C .IBM\12A21\115.0 39 0 21.450
P .IBM\12M21\115.0 504 3 11.000
120.00 C .IBM\12A21\120.0 884 0 18.450
P .IBM\12M21\120.0 1,165 0 13.000
125.00 C .IBM\12A21\125.0 603 8 15.650
P .IBM\12M21\125.0 1,121 71 15.200
130.00 C .IBM\12A21\130.0 4,538 13 13.150
P .IBM\12M21\130.0 5,699 545 17.700
135.00 C .IBM\12A21\135.0 493 19 10.900
P .IBM\12M21\135.0 183 0 20.450
140.00 C .IBM\12A21\140.0 3,305 11 8.900
P .IBM\12M21\140.0 2,096 0 23.550
145.00 C .IBM\12A21\145.0 328 0 7.250
P .IBM\12M21\145.0 29 0 26.650
150.00 C .IBM\12A21\150.0 2,578 46 5.750
P .IBM\12M21\150.0 130 0 30.300
155.00 C .IBM\12A21\155.0 314 2 4.600
P .IBM\12M21\155.0 10 0 33.950
160.00 C .IBM\12A21\160.0 2,529 20 3.600
P .IBM\12M21\160.0 100 0 37.900
165.00 C .IBM\12A21\165.0 262 0 2.790
P .IBM\12M21\165.0 0 0 42.050
170.00 C .IBM\12A21\170.0 6,690 0 2.160
P .IBM\12M21\170.0 95 1 46.500
175.00 C .IBM\12A21\175.0 288 0 1.640
P .IBM\12M21\175.0 0 0 50.800
180.00 C .IBM\12A21\180.0 925 0 1.210
P .IBM\12M21\180.0 141 0 55.350
185.00 C .IBM\12A21\185.0 60 0 0.900
P .IBM\12M21\185.0 11 0 60.050
190.00 C .IBM\12A21\190.0 338 0 0.670
P .IBM\12M21\190.0 433 0 64.750
195.00 C .IBM\12A21\195.0 125 0 0.490
P .IBM\12M21\195.0 0 0 69.550
200.00 C .IBM\12A21\200.0 497 0 0.360
P .IBM\12M21\200.0 439 0 74.350
19-Jan-13 100.00 C .IBM\13A19\100.0 0 0 0.000

P .IBM\13M19\100.0 0 0 0.000
105.00 C .IBM\13A19\105.0 0 0 0.000
P .IBM\13M19\105.0 0 0 0.000
110.00 C .IBM\13A19\110.0 0 0 0.000
P .IBM\13M19\110.0 0 0 0.000
115.00 C .IBM\13A19\115.0 0 0 0.000
P .IBM\13M19\115.0 0 0 0.000
120.00 C .IBM\13A19\120.0 0 0 0.000
P .IBM\13M19\120.0 0 0 0.000
125.00 C .IBM\13A19\125.0 0 0 0.000
P .IBM\13M19\125.0 0 0 0.000
130.00 C .IBM\13A19\130.0 0 0 0.000
P .IBM\13M19\130.0 0 0 0.000
135.00 C .IBM\13A19\135.0 0 0 0.000
P .IBM\13M19\135.0 0 0 0.000
140.00 C .IBM\13A19\140.0 0 0 0.000
P .IBM\13M19\140.0 0 0 0.000
145.00 C .IBM\13A19\145.0 0 0 0.000
P .IBM\13M19\145.0 0 0 0.000
150.00 C .IBM\13A19\150.0 0 0 0.000
P .IBM\13M19\150.0 0 0 0.000
sort options are available
Notes for each info provider

Ask Last
53.400 52.070
0.020 0.020 Notes for Interactive Brokers
48.400 0.000
0.020 0.010
43.400 0.000 Note on Eurex symbols
0.020 0.010
38.350 38.350 Note on applying filters
0.020 0.020
33.250 31.900
0.020 0.010 Importing chains from a file
28.150 27.600
0.020 0.030 Download option chain file generator example
23.100 21.700
0.040 0.020
18.150 16.600
0.050 0.040
13.150 13.050
0.060 0.050
8.200 8.000
0.090 0.080
3.350 3.300
0.290 0.300
0.390 0.360
2.380 2.370
0.040 0.030
7.050 6.900
0.010 0.010
12.050 11.770
0.020 0.010
18.150 15.200
0.020 0.010
23.100 23.050
0.020 0.010
28.100 0.000
0.020 0.000
33.100 0.000
68.500 0.000
0.030 0.030
63.400 0.000
0.020 0.020
58.400 60.000
0.020 0.030
53.400 0.000
0.030 0.040
48.300 47.800
0.040 0.050
43.350 0.000
0.050 0.100
38.300 38.750
0.070 0.100
33.300 31.000
0.090 0.090
28.300 28.100
0.130 0.130
23.400 21.800
0.190 0.190
18.400 18.200
0.290 0.270
13.550 12.620
0.480 0.460
9.000 9.000
0.900 0.900
5.000 4.900
1.910 1.910
2.050 2.030
4.050 3.990
0.610 0.600
7.600 7.450
0.150 0.150
12.300 14.150
0.040 0.040
17.050 18.350
0.030 0.030
23.550 23.960
0.030 0.030
28.500 30.850
0.020 0.020
33.500 32.400
0.020 0.080
38.500 35.950
0.020 0.020
43.500 44.050
0.020 0.080
48.500 48.650
0.020 0.060
53.500 0.000
0.020 0.000
58.500 0.000
108.450 104.050
0.020 0.050
105.950 0.000
0.030 0.030
103.450 0.000
0.020 0.050
98.450 0.000
0.050 0.010
93.450 92.400
0.050 0.040
88.450 83.700
0.080 0.060
83.450 83.500
0.090 0.090
78.500 78.200
0.090 0.150
73.550 72.800
0.100 0.150
68.450 67.500
0.130 0.160
63.400 66.500
0.170 0.260
58.450 61.220
0.230 0.240
53.500 0.000
0.300 0.330
48.550 51.500
0.400 0.420
43.650 46.750
0.520 0.520
38.700 37.000
0.690 0.680
33.850 35.440
0.910 0.920
29.000 27.750
1.210 1.190
24.450 24.200
1.650 1.620
19.900 19.750
2.260 2.230
15.700 14.500
3.100 3.100
11.850 11.860
4.300 4.400
8.450 8.500
5.950 5.830
5.600 5.530
8.150 8.000
3.450 3.400
11.050 10.800
1.950 1.900
14.550 14.550
1.020 0.980
18.700 21.950
0.490 0.500
23.150 25.730
0.220 0.220
28.200 30.000
0.110 0.100
33.100 37.650
0.070 0.100
39.350 36.350
0.050 0.060
42.700 44.200
0.040 0.070
49.250 50.450
0.040 0.080
54.300 0.000
0.030 0.150
59.300 0.000
0.030 0.100
64.300 0.000
0.030 0.020
69.300 73.550
0.030 0.000
74.300 71.500
63.450 0.000
0.330 0.490
58.450 0.000
0.440 0.670
53.500 0.000
0.580 0.880
48.550 0.000
0.760 0.850
43.750 0.000
0.990 0.960
38.950 0.000
1.310 1.350
34.150 0.000
1.710 1.730
29.550 28.050
2.250 2.620
25.150 25.100
2.940 2.980
21.000 19.450
3.850 3.800
17.100 16.050
5.050 4.900
13.550 13.500
6.500 6.990
10.400 10.300
8.350 8.350
7.650 7.600
10.700 12.800
5.400 5.300
13.500 13.300
3.650 3.600
16.750 19.100
2.330 2.280
20.450 0.000
1.430 1.400
24.600 26.460
0.830 0.800
29.050 31.900
0.460 0.430
34.050 0.000
0.260 0.360
38.900 0.000
0.140 0.200
43.800 0.000
0.080 0.000
48.750 0.000
0.050 0.000
54.850 0.000
63.550 63.500
1.460 1.470
58.700 53.620
1.850 1.870
54.000 57.430
2.330 2.430
49.350 46.700
2.910 3.050
44.900 48.090
3.600 3.650
40.400 38.450
4.450 4.880
36.350 38.000
5.400 5.850
32.250 30.870
6.550 7.090
28.500 27.350
7.900 8.540
25.000 24.440
9.400 9.650
21.650 19.200
11.150 11.200
18.600 17.300
13.150 13.600
15.850 15.900
15.350 15.700
13.300 13.100
17.850 17.850
11.050 10.800
20.700 20.750
9.100 8.650
23.750 25.000
7.400 7.150
27.100 24.560
5.900 5.500
30.600 34.910
4.700 4.500
34.350 36.300
3.750 3.600
38.350 40.270
2.880 2.800
42.450 0.000
2.230 2.220
46.900 46.850
1.730 1.500
52.800 0.000
1.300 1.390
57.400 53.950
0.970 1.120
62.100 58.050
0.740 0.780
66.850 66.150
0.550 0.670
71.550 0.000
0.420 0.450
76.450 73.900
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
0.000 0.000
MSN
CBOE
CBOE/M
ASX
LIFFE
EUREX
eSignal
Stockwatch
Marketfeed
OptionsXpress
TDAmeritrade
InteractiveBrokers
BullSignal
NSE
File
Option Chain Class - Futures Option Chains
A component for retrieving option chains for specified underlying assets.
This example shows how options on futures contracts for US and some
international markets can be handled by the option chain class.
Index
Help Help - Futures Options
Example
Inputs
Example 1:
Ticker ES #F
Information provider eSignal

Note: six sort options are available
Results
Error status: OK
Option Open
Expiry Strike Type Symbol Interest Volume Bid Ask
19-Feb-10 375.00 C ES G0C375 0 0 0.000 0.000
P ES G0P375 0 0 0.000 1.000
400.00 C ES G0C400 0 0 0.000 0.000
P ES G0P400 0 0 0.000 1.000
425.00 C ES G0C425 0 0 0.000 0.000
P ES G0P425 0 0 0.000 1.000
450.00 C ES G0C450 0 0 0.000 0.000
P ES G0P450 0 0 0.000 1.000
475.00 C ES G0C475 0 0 0.000 0.000
P ES G0P475 0 0 0.000 0.000
500.00 C ES G0C500 0 0 592.500 598.000
P ES G0P500 0 0 0.000 1.000
525.00 C ES G0C525 0 0 567.500 573.000
P ES G0P525 0 0 0.000 1.000
545.00 C ES G0C545 0 0 547.500 553.000
P ES G0P545 0 0 0.000 0.000
550.00 C ES G0C550 0 0 542.500 548.000
P ES G0P550 0 0 0.000 1.000
575.00 C ES G0C575 0 0 517.500 523.000
P ES G0P575 0 0 0.000 1.000
600.00 C ES G0C600 0 0 492.500 498.000
P ES G0P600 1 0 0.000 0.000
610.00 C ES G0C610 0 0 482.500 488.000
P ES G0P610 0 0 0.000 1.000
620.00 C ES G0C620 0 0 472.500 478.000
P ES G0P620 110 0 0.000 0.000
625.00 C ES G0C625 0 0 467.500 473.000
P ES G0P625 0 0 0.000 1.000
630.00 C ES G0C630 0 0 462.500 468.000
P ES G0P630 10 0 0.000 0.000
640.00 C ES G0C640 0 0 452.500 458.000
P ES G0P640 91 0 0.000 0.000
650.00 C ES G0C650 0 0 442.500 448.000
P ES G0P650 25 0 0.000 0.000
660.00 C ES G0C660 0 0 432.500 438.000
P ES G0P660 0 0 0.000 0.000
670.00 C ES G0C670 0 0 422.500 428.000
P ES G0P670 245 0 0.000 0.000
675.00 C ES G0C675 0 0 417.500 423.000
P ES G0P675 188 20 0.000 0.000
680.00 C ES G0C680 0 0 412.500 418.000
P ES G0P680 20 19 0.000 0.000
690.00 C ES G0C690 0 0 402.500 408.000
P ES G0P690 2 1 0.000 0.000
700.00 C ES G0C700 0 0 392.500 398.000
P ES G0P700 149 2 0.000 0.000
710.00 C ES G0C710 0 0 382.500 388.000
P ES G0P710 22 20 0.000 0.000
720.00 C ES G0C720 0 0 372.500 378.000
P ES G0P720 73 25 0.000 0.000
725.00 C ES G0C725 0 0 367.500 373.000
P ES G0P725 135 0 0.000 0.000
730.00 C ES G0C730 0 0 362.500 368.000
P ES G0P730 229 10 0.000 0.000
735.00 C ES G0C735 0 0 357.500 363.000
P ES G0P735 10 10 0.000 0.000
740.00 C ES G0C740 0 0 352.500 358.000
P ES G0P740 210 0 0.000 0.000
750.00 C ES G0C750 0 0 342.500 348.000
P ES G0P750 391 5 0.000 0.000
760.00 C ES G0C760 0 0 332.500 338.000
P ES G0P760 67 59 0.000 0.000
770.00 C ES G0C770 0 0 322.500 328.000
P ES G0P770 287 146 0.000 0.000
775.00 C ES G0C775 0 0 317.500 323.000
P ES G0P775 363 301 0.000 0.000
780.00 C ES G0C780 0 0 312.500 318.000
P ES G0P780 412 63 0.000 0.000
790.00 C ES G0C790 0 0 302.500 308.000
P ES G0P790 445 1 0.000 0.000
800.00 C ES G0C800 0 0 292.500 298.000
P ES G0P800 1,908 5 0.000 0.000
810.00 C ES G0C810 0 0 282.750 288.250
P ES G0P810 461 10 0.000 0.000
820.00 C ES G0C820 0 0 272.750 278.250
P ES G0P820 694 10 0.000 0.000
825.00 C ES G0C825 0 0 267.750 273.250
P ES G0P825 589 1 0.000 0.000
830.00 C ES G0C830 0 0 262.750 268.250
P ES G0P830 223 1 0.000 0.000
840.00 C ES G0C840 0 0 252.750 258.250
P ES G0P840 2,877 1 0.000 0.000
850.00 C ES G0C850 0 0 242.750 248.250
P ES G0P850 2,446 4 0.000 0.550
855.00 C ES G0C855 0 0 237.750 243.250
P ES G0P855 0 0 0.000 0.000
860.00 C ES G0C860 0 0 232.750 238.250
P ES G0P860 493 8 0.000 0.000
865.00 C ES G0C865 0 0 227.750 233.250
P ES G0P865 16 6 0.000 0.000
870.00 C ES G0C870 0 0 222.750 228.250
P ES G0P870 4,368 5 0.000 0.000
875.00 C ES G0C875 0 0 217.750 223.250
P ES G0P875 2,187 85 0.000 0.900
880.00 C ES G0C880 0 0 212.750 218.250
P ES G0P880 720 2 0.000 0.000
885.00 C ES G0C885 0 0 207.750 213.250
P ES G0P885 450 12 0.000 0.000
890.00 C ES G0C890 0 0 202.750 208.250
P ES G0P890 5,149 41 0.000 0.000
895.00 C ES G0C895 0 0 198.000 203.500
P ES G0P895 2,902 20 0.000 0.000
900.00 C ES G0C900 1 2 0.000 0.000
P ES G0P900 15,876 891 0.000 1.000
905.00 C ES G0C905 0 0 188.000 193.500
P ES G0P905 2,471 155 0.000 0.000
910.00 C ES G0C910 0 0 183.000 188.500
P ES G0P910 1,252 102 0.000 0.000
915.00 C ES G0C915 0 0 178.000 183.500
P ES G0P915 683 14 0.000 0.000
920.00 C ES G0C920 0 0 173.000 178.500
P ES G0P920 795 3 0.000 0.000
925.00 C ES G0C925 0 0 168.000 173.500
P ES G0P925 2,702 119 0.000 1.150
930.00 C ES G0C930 1 0 0.000 0.000
P ES G0P930 6,968 92 0.000 0.000
935.00 C ES G0C935 0 0 158.250 163.500
P ES G0P935 1,695 57 0.000 0.000
940.00 C ES G0C940 0 0 153.250 158.750
P ES G0P940 1,172 87 0.000 0.000
945.00 C ES G0C945 0 0 148.250 153.750
P ES G0P945 912 60 0.000 0.000
950.00 C ES G0C950 2 4 0.000 0.000
P ES G0P950 9,946 436 0.200 1.400
955.00 C ES G0C955 0 0 138.250 143.750
P ES G0P955 1,328 16 0.000 0.900
960.00 C ES G0C960 0 0 133.500 139.000
P ES G0P960 5,091 329 0.000 0.000
965.00 C ES G0C965 0 0 128.500 134.000
P ES G0P965 1,912 473 0.000 1.000
970.00 C ES G0C970 0 0 123.500 129.000
P ES G0P970 2,096 111 0.000 4.000
975.00 C ES G0C975 0 0 118.750 124.250
P ES G0P975 4,537 261 0.000 1.350
980.00 C ES G0C980 1 0 0.000 0.000
P ES G0P980 2,772 114 0.500 1.900
985.00 C ES G0C985 0 0 108.750 114.250
P ES G0P985 913 95 0.650 2.050
990.00 C ES G0C990 0 0 104.000 109.500
P ES G0P990 4,492 387 0.000 2.150
995.00 C ES G0C995 0 0 99.250 104.750
P ES G0P995 2,019 154 0.000 2.450
1,000.00 C ES G0C1000 35 3 0.000 0.000
P ES G0P1000 11,055 748 0.000 2.650
1,005.00 C ES G0C1005 3 3 0.000 0.000
P ES G0P1005 2,208 40 1.150 2.800
1,010.00 C ES G0C1010 154 9 0.000 0.000
P ES G0P1010 5,417 598 1.350 3.050
1,015.00 C ES G0C1015 77 2 0.000 0.000
P ES G0P1015 2,045 67 1.600 3.300
1,020.00 C ES G0C1020 7 7 0.000 0.000
P ES G0P1020 4,344 99 1.900 3.700
1,025.00 C ES G0C1025 45 4 0.000 0.000
P ES G0P1025 5,601 649 2.200 4.050
1,030.00 C ES G0C1030 15 10 0.000 0.000
P ES G0P1030 4,158 1,375 2.600 4.250
1,035.00 C ES G0C1035 182 2 0.000 0.000
P ES G0P1035 3,133 356 3.000 4.850
1,040.00 C ES G0C1040 61 1 0.000 0.000
P ES G0P1040 8,238 350 3.500 5.250
1,045.00 C ES G0C1045 22 1 0.000 0.000
P ES G0P1045 2,034 126 4.100 6.000
1,050.00 C ES G0C1050 149 5 0.000 0.000
P ES G0P1050 8,631 1,411 4.750 6.500
1,055.00 C ES G0C1055 20 6 0.000 0.000
P ES G0P1055 3,472 165 5.500 7.250
1,060.00 C ES G0C1060 88 11 0.000 0.000
P ES G0P1060 4,540 538 6.250 8.250
1,065.00 C ES G0C1065 66 4 0.000 0.000
P ES G0P1065 2,616 355 7.250 9.000
1,070.00 C ES G0C1070 243 74 0.000 0.000
P ES G0P1070 4,046 779 8.500 10.000
1,075.00 C ES G0C1075 694 66 10.000 0.000
P ES G0P1075 4,479 421 9.500 11.750
1,080.00 C ES G0C1080 1,329 108 0.000 0.000
P ES G0P1080 9,813 2,847 11.500 13.000
1,085.00 C ES G0C1085 1,056 67 21.250 24.000
P ES G0P1085 1,969 202 12.500 15.000
1,090.00 C ES G0C1090 3,784 727 18.000 20.750
P ES G0P1090 5,278 3,018 14.500 16.750
1,095.00 C ES G0C1095 2,054 916 15.500 17.750
P ES G0P1095 2,149 661 16.250 19.000
1,100.00 C ES G0C1100 6,244 1,613 12.750 15.000
P ES G0P1100 11,109 1,221 18.750 21.250
1,105.00 C ES G0C1105 3,515 441 10.500 12.500
P ES G0P1105 1,435 25 21.000 24.250
1,110.00 C ES G0C1110 5,277 1,079 8.250 10.250
P ES G0P1110 3,062 90 0.000 0.000
1,115.00 C ES G0C1115 3,485 411 6.750 8.250
P ES G0P1115 1,910 10 0.000 0.000
1,120.00 C ES G0C1120 6,801 846 5.500 6.750
P ES G0P1120 6,244 45 0.000 0.000
1,125.00 C ES G0C1125 6,748 1,383 3.550 5.250
P ES G0P1125 3,037 28 0.000 0.000
1,130.00 C ES G0C1130 6,034 1,255 3.000 4.150
P ES G0P1130 3,547 18 0.000 0.000
1,135.00 C ES G0C1135 5,217 2,286 1.600 3.300
P ES G0P1135 2,202 6 0.000 0.000
1,140.00 C ES G0C1140 9,173 840 1.200 2.650
P ES G0P1140 3,451 7 0.000 0.000
1,145.00 C ES G0C1145 4,926 797 0.000 2.150
P ES G0P1145 1,157 5 0.000 0.000
1,150.00 C ES G0C1150 9,297 1,151 0.000 1.200
P ES G0P1150 804 4 0.000 54.000
1,155.00 C ES G0C1155 2,701 609 0.200 1.400
P ES G0P1155 323 10 0.000 0.000
1,160.00 C ES G0C1160 4,499 1,149 0.000 1.250
P ES G0P1160 40 1 0.000 0.000
1,165.00 C ES G0C1165 4,243 133 0.000 1.100
P ES G0P1165 13 1 0.000 0.000
1,170.00 C ES G0C1170 6,973 456 0.000 0.500
P ES G0P1170 20 5 0.000 0.000
1,175.00 C ES G0C1175 4,695 117 0.000 0.950
P ES G0P1175 0 16 0.000 0.000
1,180.00 C ES G0C1180 3,821 406 0.000 0.900
P ES G0P1180 21 1 0.000 0.000
1,185.00 C ES G0C1185 2,590 65 0.000 0.850
P ES G0P1185 0 0 87.000 92.500
1,190.00 C ES G0C1190 3,598 131 0.100 0.850
P ES G0P1190 33 1 0.000 0.000
1,195.00 C ES G0C1195 2,753 171 0.100 0.800
P ES G0P1195 28 20 0.000 0.000
1,200.00 C ES G0C1200 7,129 646 0.000 0.800
P ES G0P1200 4 4 0.000 0.000
1,205.00 C ES G0C1205 1,681 41 0.050 0.000
P ES G0P1205 0 0 107.000 112.500
1,210.00 C ES G0C1210 2,168 49 0.000 0.000
P ES G0P1210 0 0 112.000 117.500
1,215.00 C ES G0C1215 705 33 0.000 0.750
P ES G0P1215 0 0 117.000 122.500
1,220.00 C ES G0C1220 2,264 73 0.000 0.000
P ES G0P1220 0 0 122.000 127.500
1,225.00 C ES G0C1225 3,613 64 0.000 0.750
P ES G0P1225 0 0 127.000 132.500
1,230.00 C ES G0C1230 1,818 61 0.000 0.350
P ES G0P1230 0 0 132.000 137.500
1,235.00 C ES G0C1235 626 20 0.000 0.000
P ES G0P1235 0 0 137.000 142.500
1,240.00 C ES G0C1240 1,675 20 0.000 0.000
P ES G0P1240 0 0 142.000 147.500
1,245.00 C ES G0C1245 1,410 15 0.000 0.000
P ES G0P1245 0 0 147.000 152.500
1,250.00 C ES G0C1250 1,680 19 0.000 0.000
P ES G0P1250 0 0 152.000 157.500
1,255.00 C ES G0C1255 277 6 0.000 0.000
P ES G0P1255 0 0 157.000 162.500
1,260.00 C ES G0C1260 923 42 0.000 0.000
P ES G0P1260 0 0 161.750 167.250
1,265.00 C ES G0C1265 225 2 0.000 0.000
P ES G0P1265 0 0 166.750 172.250
1,270.00 C ES G0C1270 547 1 0.000 0.000
P ES G0P1270 0 0 171.750 177.250
1,275.00 C ES G0C1275 36 2 0.000 0.000
P ES G0P1275 0 0 176.750 182.250
1,280.00 C ES G0C1280 802 250 0.000 0.000
P ES G0P1280 0 0 181.750 187.250
1,285.00 C ES G0C1285 0 0 0.000 0.000
P ES G0P1285 0 0 186.750 192.250
1,290.00 C ES G0C1290 1,141 3 0.000 0.000
P ES G0P1290 0 0 191.750 197.250
1,295.00 C ES G0C1295 0 0 0.000 0.000
P ES G0P1295 0 0 196.750 202.250
1,300.00 C ES G0C1300 327 1 0.000 0.700
P ES G0P1300 0 0 201.750 207.250
1,310.00 C ES G0C1310 417 300 0.000 0.000
P ES G0P1310 0 0 211.750 217.250
1,320.00 C ES G0C1320 8 4 0.000 0.000
P ES G0P1320 0 0 221.750 227.250
1,325.00 C ES G0C1325 18 3 0.000 0.000
P ES G0P1325 0 0 226.750 232.250
1,330.00 C ES G0C1330 18 10 0.000 0.000
P ES G0P1330 0 0 0.000 0.000
1,340.00 C ES G0C1340 18 4 0.000 0.000
P ES G0P1340 0 0 0.000 0.000
1,350.00 C ES G0C1350 59 4 0.000 0.000
P ES G0P1350 0 0 251.750 257.250
1,375.00 C ES G0C1375 0 0 0.000 0.100
P ES G0P1375 0 0 276.750 282.250
1,400.00 C ES G0C1400 0 0 0.000 0.000
P ES G0P1400 0 0 0.000 0.000
1,425.00 C ES G0C1425 0 0 0.000 0.100
P ES G0P1425 0 0 0.000 0.000
1,450.00 C ES G0C1450 0 0 0.000 0.100
P ES G0P1450 0 0 0.000 0.000
1,475.00 C ES G0C1475 0 0 0.000 0.100
P ES G0P1475 0 0 0.000 0.000
1,500.00 C ES G0C1500 0 0 0.000 0.000
P ES G0P1500 0 4 0.000 0.000
1,525.00 C ES G0C1525 0 0 0.000 1.650
P ES G0P1525 0 0 0.000 0.000
1,550.00 C ES G0C1550 0 0 0.000 1.650
P ES G0P1550 0 0 0.000 0.000
1,575.00 C ES G0C1575 0 0 0.000 1.650
P ES G0P1575 0 0 0.000 0.000
1,600.00 C ES G0C1600 0 0 0.000 1.600
P ES G0P1600 0 0 0.000 0.000
1,625.00 C ES G0C1625 0 0 0.000 1.600
P ES G0P1625 0 0 508.000 548.750
1,650.00 C ES G0C1650 0 0 0.000 1.000
P ES G0P1650 0 0 0.000 0.000
1,675.00 C ES G0C1675 0 0 0.000 1.600
P ES G0P1675 0 0 0.000 0.000
19-Mar-10 375.00 C ES H0C375 0 0 0.000 0.000
P ES H0P375 621 0 0.000 0.000
400.00 C ES H0C400 6 6 0.000 0.000
P ES H0P400 415 0 0.000 0.000
425.00 C ES H0C425 0 0 667.250 672.750
P ES H0P425 524 0 0.000 0.000
450.00 C ES H0C450 0 0 642.250 647.750
P ES H0P450 702 0 0.000 0.000
475.00 C ES H0C475 0 0 617.250 622.750
P ES H0P475 209 0 0.000 0.000
500.00 C ES H0C500 0 0 592.250 597.750
P ES H0P500 498 0 0.000 0.000
525.00 C ES H0C525 0 0 567.500 573.000
P ES H0P525 194 0 0.000 0.000
545.00 C ES H0C545 0 0 547.500 553.000
P ES H0P545 0 0 0.000 0.000
550.00 C ES H0C550 0 0 542.500 548.000
P ES H0P550 370 0 0.000 0.000
575.00 C ES H0C575 0 0 517.500 523.000
P ES H0P575 242 0 0.000 0.000
600.00 C ES H0C600 3 0 0.000 0.000
P ES H0P600 274 2 0.000 0.000
610.00 C ES H0C610 0 0 482.500 488.000
P ES H0P610 368 0 0.000 0.000
620.00 C ES H0C620 0 0 472.500 478.000
P ES H0P620 382 0 0.000 0.000
625.00 C ES H0C625 0 0 467.500 473.000
P ES H0P625 547 0 0.000 0.000
630.00 C ES H0C630 0 0 462.500 468.000
P ES H0P630 233 0 0.000 0.000
640.00 C ES H0C640 0 0 452.500 458.000
P ES H0P640 242 0 0.000 0.000
650.00 C ES H0C650 0 0 442.500 448.000
P ES H0P650 314 20 0.000 0.000
660.00 C ES H0C660 0 0 432.500 438.000
P ES H0P660 614 291 0.000 0.000
670.00 C ES H0C670 0 0 422.500 428.000
P ES H0P670 147 0 0.000 0.000
675.00 C ES H0C675 0 0 417.500 423.000
P ES H0P675 444 22 0.000 0.000
680.00 C ES H0C680 0 0 412.500 418.000
P ES H0P680 364 0 0.000 0.000
690.00 C ES H0C690 0 0 402.500 408.000
P ES H0P690 202 41 0.000 0.000
700.00 C ES H0C700 0 0 392.500 398.000
P ES H0P700 769 17 0.000 0.000
710.00 C ES H0C710 0 0 0.000 0.000
P ES H0P710 455 40 0.000 0.000
720.00 C ES H0C720 0 0 372.500 378.000
P ES H0P720 150 20 0.000 0.000
725.00 C ES H0C725 0 0 367.500 373.000
P ES H0P725 208 3 0.000 1.050
730.00 C ES H0C730 0 0 362.750 368.250
P ES H0P730 436 20 0.000 0.000
735.00 C ES H0C735 0 0 357.750 363.250
P ES H0P735 41 41 0.000 0.000
740.00 C ES H0C740 0 0 352.750 358.250
P ES H0P740 335 20 0.000 0.000
750.00 C ES H0C750 0 0 0.000 0.000
P ES H0P750 2,994 1 0.150 0.000
760.00 C ES H0C760 0 0 332.750 338.250
P ES H0P760 590 102 0.000 0.000
770.00 C ES H0C770 0 0 322.750 328.250
P ES H0P770 522 1 0.000 0.000
775.00 C ES H0C775 0 0 317.750 323.250
P ES H0P775 702 2 0.000 1.150
780.00 C ES H0C780 0 0 312.750 318.250
P ES H0P780 614 5 0.000 0.000
790.00 C ES H0C790 0 0 303.000 308.500
P ES H0P790 973 1 0.000 0.000
800.00 C ES H0C800 51 0 0.000 0.000
P ES H0P800 2,024 494 0.000 1.300
810.00 C ES H0C810 102 0 0.000 0.000
P ES H0P810 757 3 0.000 0.000
820.00 C ES H0C820 0 0 0.000 0.000
P ES H0P820 730 200 0.000 0.000
825.00 C ES H0C825 51 0 0.000 0.000
P ES H0P825 1,872 2 0.500 0.000
830.00 C ES H0C830 3 0 0.000 0.000
P ES H0P830 2,009 41 0.000 0.000
840.00 C ES H0C840 1 0 0.000 0.000
P ES H0P840 751 10 0.000 0.000
850.00 C ES H0C850 6 3 0.000 0.000
P ES H0P850 2,463 11 0.000 1.700
855.00 C ES H0C855 0 0 238.500 244.000
P ES H0P855 0 0 0.600 1.500
860.00 C ES H0C860 87 0 0.000 0.000
P ES H0P860 997 13 0.000 0.000
865.00 C ES H0C865 0 0 229.000 233.750
P ES H0P865 275 22 0.000 0.000
870.00 C ES H0C870 3 0 0.000 0.000
P ES H0P870 1,078 20 0.000 0.000
875.00 C ES H0C875 197 0 0.000 0.000
P ES H0P875 2,190 27 0.250 2.050
880.00 C ES H0C880 80 1 0.000 0.000
P ES H0P880 1,395 338 0.000 0.000
885.00 C ES H0C885 0 0 209.500 214.250
P ES H0P885 293 144 0.000 0.000
890.00 C ES H0C890 91 0 0.000 0.000
P ES H0P890 1,244 103 0.000 0.000
895.00 C ES H0C895 0 0 199.750 204.250
P ES H0P895 257 40 0.000 0.000
900.00 C ES H0C900 360 0 0.000 0.000
P ES H0P900 5,908 767 0.750 2.550
910.00 C ES H0C910 104 0 0.000 0.000
P ES H0P910 1,209 158 0.000 0.000
915.00 C ES H0C915 0 0 180.250 185.000
P ES H0P915 303 3 0.000 0.000
920.00 C ES H0C920 259 0 0.000 0.000
P ES H0P920 1,021 89 0.000 0.000
925.00 C ES H0C925 381 0 0.000 0.000
P ES H0P925 2,526 182 1.350 3.450
930.00 C ES H0C930 649 1 0.000 0.000
P ES H0P930 1,650 327 0.000 4.750
935.00 C ES H0C935 0 0 161.000 165.500
P ES H0P935 671 72 0.000 0.000
940.00 C ES H0C940 398 0 0.000 0.000
P ES H0P940 1,517 140 0.000 0.000
945.00 C ES H0C945 0 0 151.250 156.000
P ES H0P945 476 97 3.300 4.700
950.00 C ES H0C950 995 25 0.000 0.000
P ES H0P950 5,478 1,217 2.450 4.000
955.00 C ES H0C955 0 0 141.750 146.500
P ES H0P955 900 7 2.700 4.800
960.00 C ES H0C960 167 0 0.000 0.000
P ES H0P960 4,926 103 3.000 5.000
965.00 C ES H0C965 0 0 132.500 137.250
P ES H0P965 1,460 44 3.300 5.500
970.00 C ES H0C970 223 0 0.000 0.000
P ES H0P970 1,572 486 3.650 5.750
975.00 C ES H0C975 113 0 0.000 0.000
P ES H0P975 5,101 636 4.000 6.000
980.00 C ES H0C980 367 0 0.000 0.000
P ES H0P980 2,139 599 0.000 6.000
985.00 C ES H0C985 0 0 114.000 118.500
P ES H0P985 1,434 24 4.550 7.000
990.00 C ES H0C990 734 2 0.000 0.000
P ES H0P990 1,663 259 5.250 7.500
995.00 C ES H0C995 0 0 104.750 109.500
P ES H0P995 1,280 390 5.500 8.000
1,000.00 C ES H0C1000 1,957 1 0.000 0.000
P ES H0P1000 13,995 315 6.750 8.500
1,005.00 C ES H0C1005 0 0 97.750 102.500
P ES H0P1005 925 5 6.500 9.000
1,010.00 C ES H0C1010 372 0 0.000 0.000
P ES H0P1010 1,313 205 7.250 9.500
1,015.00 C ES H0C1015 0 0 89.000 90.750
P ES H0P1015 847 261 8.000 10.250
1,020.00 C ES H0C1020 349 2 0.000 0.000
P ES H0P1020 1,683 798 8.500 10.750
1,025.00 C ES H0C1025 1,101 1 0.000 0.000
P ES H0P1025 3,502 282 9.250 11.750
1,030.00 C ES H0C1030 371 5 0.000 0.000
P ES H0P1030 3,042 1,247 10.000 12.500
1,035.00 C ES H0C1035 41 0 0.000 0.000
P ES H0P1035 1,469 115 11.000 13.500
1,040.00 C ES H0C1040 153 1 0.000 0.000
P ES H0P1040 1,721 344 12.000 14.250
1,045.00 C ES H0C1045 200 0 0.000 0.000
P ES H0P1045 2,437 16 13.000 15.500
1,050.00 C ES H0C1050 1,013 1 61.750 0.000
P ES H0P1050 7,397 2,459 14.000 16.500
1,055.00 C ES H0C1055 91 0 0.000 0.000
P ES H0P1055 2,142 176 15.250 17.750
1,060.00 C ES H0C1060 446 155 0.000 0.000
P ES H0P1060 2,440 430 16.500 19.250
1,065.00 C ES H0C1065 144 1 0.000 0.000
P ES H0P1065 1,387 66 17.750 20.500
1,070.00 C ES H0C1070 202 10 0.000 0.000
P ES H0P1070 2,007 117 19.500 22.000
1,075.00 C ES H0C1075 702 1 0.000 0.000
P ES H0P1075 4,427 271 21.000 23.750
1,080.00 C ES H0C1080 797 176 40.000 51.000
P ES H0P1080 6,625 161 22.750 25.000
1,085.00 C ES H0C1085 730 37 33.500 36.500
P ES H0P1085 1,582 144 24.500 27.250
1,090.00 C ES H0C1090 937 23 30.500 33.500
P ES H0P1090 1,725 245 26.500 29.250
1,095.00 C ES H0C1095 996 118 27.500 30.500
P ES H0P1095 1,655 795 28.500 31.250
1,100.00 C ES H0C1100 6,838 396 24.750 27.750
P ES H0P1100 5,636 263 30.750 33.500
1,105.00 C ES H0C1105 965 1 22.000 25.000
P ES H0P1105 853 6 33.250 36.250
1,110.00 C ES H0C1110 1,325 29 19.750 22.500
P ES H0P1110 1,158 13 35.250 39.000
1,115.00 C ES H0C1115 915 47 17.250 20.000
P ES H0P1115 1,327 13 37.750 41.750
1,120.00 C ES H0C1120 2,690 162 15.250 17.750
P ES H0P1120 1,243 33 41.250 41.750
1,125.00 C ES H0C1125 3,489 390 13.250 15.750
P ES H0P1125 1,135 12 0.000 0.000
1,130.00 C ES H0C1130 2,713 208 11.500 13.750
P ES H0P1130 1,743 54 39.000 0.000
1,135.00 C ES H0C1135 1,436 15 9.750 12.250
P ES H0P1135 742 51 0.000 0.000
1,140.00 C ES H0C1140 1,951 141 9.000 11.000
P ES H0P1140 524 9 0.000 0.000
1,145.00 C ES H0C1145 1,718 11 7.000 9.500
P ES H0P1145 553 1 0.000 0.000
1,150.00 C ES H0C1150 9,460 403 6.250 8.250
P ES H0P1150 372 15 61.000 0.000
1,155.00 C ES H0C1155 1,670 488 4.800 7.250
P ES H0P1155 11 1 0.000 0.000
1,160.00 C ES H0C1160 3,143 810 0.000 6.500
P ES H0P1160 25 7 0.000 0.000
1,165.00 C ES H0C1165 2,261 273 3.050 5.500
P ES H0P1165 0 0 71.500 76.250
1,170.00 C ES H0C1170 2,003 769 2.400 4.950
P ES H0P1170 5 1 0.000 0.000
1,175.00 C ES H0C1175 5,198 734 1.750 4.300
P ES H0P1175 3 2 0.000 0.000
1,180.00 C ES H0C1180 2,427 182 2.000 3.650
P ES H0P1180 20 20 0.000 0.000
1,185.00 C ES H0C1185 1,707 138 0.000 3.150
P ES H0P1185 65 65 0.000 0.000
1,190.00 C ES H0C1190 2,217 479 0.700 0.000
P ES H0P1190 0 0 93.750 98.500
1,195.00 C ES H0C1195 1,001 411 0.450 2.550
P ES H0P1195 0 0 98.250 103.000
1,200.00 C ES H0C1200 8,211 1,090 0.200 2.600
P ES H0P1200 11 1 0.000 0.000
1,205.00 C ES H0C1205 959 303 0.000 0.000
P ES H0P1205 0 0 108.000 112.750
1,210.00 C ES H0C1210 1,194 166 0.000 0.000
P ES H0P1210 50 0 0.000 0.000
1,215.00 C ES H0C1215 607 38 0.000 0.000
P ES H0P1215 0 0 117.500 122.250
1,220.00 C ES H0C1220 2,095 42 0.000 0.000
P ES H0P1220 0 0 122.500 127.250
1,225.00 C ES H0C1225 3,119 366 0.000 1.350
P ES H0P1225 1 1 0.000 0.000
1,230.00 C ES H0C1230 2,095 5 0.300 0.000
P ES H0P1230 0 0 132.250 137.750
1,235.00 C ES H0C1235 431 2 0.000 0.000
P ES H0P1235 0 0 137.250 142.750
1,240.00 C ES H0C1240 847 8 0.000 0.000
P ES H0P1240 0 0 142.000 147.500
1,245.00 C ES H0C1245 656 3 0.000 0.000
P ES H0P1245 0 0 147.000 152.500
1,250.00 C ES H0C1250 1,929 5 0.000 1.100
P ES H0P1250 0 0 152.000 157.500
1,255.00 C ES H0C1255 434 1 0.000 0.000
P ES H0P1255 0 0 157.000 162.500
1,260.00 C ES H0C1260 1,546 5 0.000 0.000
P ES H0P1260 0 0 162.000 167.500
1,265.00 C ES H0C1265 380 3 0.000 0.000
P ES H0P1265 0 0 167.000 172.500
1,270.00 C ES H0C1270 220 1 0.000 0.000
P ES H0P1270 0 0 172.000 177.500
1,275.00 C ES H0C1275 1,597 20 0.050 1.000
P ES H0P1275 0 0 176.750 182.250
1,280.00 C ES H0C1280 815 1 0.000 0.000
P ES H0P1280 0 0 181.750 187.250
1,285.00 C ES H0C1285 102 102 0.000 0.000
P ES H0P1285 0 0 186.750 192.250
1,290.00 C ES H0C1290 1,032 3 0.000 0.000
P ES H0P1290 0 0 191.750 197.250
1,295.00 C ES H0C1295 0 0 0.000 0.000
P ES H0P1295 0 0 196.750 202.250
1,300.00 C ES H0C1300 1,029 2 0.000 0.950
P ES H0P1300 0 0 0.000 0.000
1,310.00 C ES H0C1310 402 100 0.000 0.000
P ES H0P1310 0 0 211.750 217.250
1,320.00 C ES H0C1320 305 5 0.000 0.000
P ES H0P1320 0 0 221.750 227.250
1,325.00 C ES H0C1325 1,012 25 0.000 0.900
P ES H0P1325 0 0 226.750 232.250
1,330.00 C ES H0C1330 0 0 0.050 0.800
P ES H0P1330 0 0 231.750 237.250
1,340.00 C ES H0C1340 0 0 0.050 0.800
P ES H0P1340 0 0 241.750 247.250
1,350.00 C ES H0C1350 639 25 0.000 0.900
P ES H0P1350 6 6 0.000 0.000
1,375.00 C ES H0C1375 19 0 0.000 0.900
P ES H0P1375 0 0 276.750 282.250
1,400.00 C ES H0C1400 30 0 0.000 0.900
P ES H0P1400 0 0 301.750 307.250
1,425.00 C ES H0C1425 0 0 0.000 0.000
P ES H0P1425 0 0 326.750 332.250
1,450.00 C ES H0C1450 50 0 0.000 0.000
P ES H0P1450 0 0 351.750 357.250
1,475.00 C ES H0C1475 0 0 0.000 1.350
P ES H0P1475 0 0 376.750 382.250
1,500.00 C ES H0C1500 0 0 0.000 1.350
P ES H0P1500 0 0 401.750 407.250
1,525.00 C ES H0C1525 0 0 0.000 1.350
P ES H0P1525 0 0 0.000 0.000
1,550.00 C ES H0C1550 1,500 0 0.000 0.000
P ES H0P1550 0 0 0.000 0.000
1,575.00 C ES H0C1575 0 0 0.000 0.850
P ES H0P1575 0 0 0.000 0.000
1,600.00 C ES H0C1600 0 0 0.000 1.000
P ES H0P1600 0 0 0.000 0.000
1,625.00 C ES H0C1625 0 0 0.000 1.000
P ES H0P1625 0 0 0.000 0.000
1,650.00 C ES H0C1650 0 0 0.000 1.000
P ES H0P1650 0 0 0.000 0.000
1,675.00 C ES H0C1675 0 0 0.000 1.600
P ES H0P1675 0 0 578.750 588.500
16-Apr-10 425.00 C ES J0C425 0 0 0.000 0.000

P ES J0P425 0 0 0.000 1.550
450.00 C ES J0C450 0 0 0.000 0.000
P ES J0P450 0 0 0.000 1.550
475.00 C ES J0C475 0 0 0.000 0.000
P ES J0P475 0 0 0.000 1.600
500.00 C ES J0C500 0 0 585.750 595.250
P ES J0P500 0 0 0.000 1.550
525.00 C ES J0C525 0 0 561.000 570.500
P ES J0P525 2 0 0.000 0.000
550.00 C ES J0C550 0 0 536.000 545.500
P ES J0P550 36 0 0.000 0.000
575.00 C ES J0C575 0 0 511.000 520.500
P ES J0P575 59 0 0.000 0.000
600.00 C ES J0C600 0 0 486.000 495.500
P ES J0P600 242 0 0.000 0.000
625.00 C ES J0C625 0 0 461.000 470.500
P ES J0P625 310 153 0.000 0.000
650.00 C ES J0C650 0 0 436.250 445.750
P ES J0P650 77 153 0.000 0.000
675.00 C ES J0C675 0 0 411.250 420.750
P ES J0P675 178 4 0.000 0.000
680.00 C ES J0C680 0 0 406.250 415.750
P ES J0P680 85 0 0.000 0.000
690.00 C ES J0C690 0 0 396.500 406.000
P ES J0P690 109 109 0.000 0.000
700.00 C ES J0C700 0 0 386.500 396.000
P ES J0P700 15 6 0.000 0.000
710.00 C ES J0C710 0 0 376.500 386.000
P ES J0P710 107 5 0.000 0.000
715.00 C ES J0C715 0 0 371.500 381.000
P ES J0P715 0 0 0.000 0.000
720.00 C ES J0C720 0 0 366.500 376.000
P ES J0P720 0 0 0.300 1.400
725.00 C ES J0C725 0 0 361.750 371.250
P ES J0P725 225 5 0.000 0.000
730.00 C ES J0C730 0 0 356.750 366.250
P ES J0P730 122 2 0.000 0.000
740.00 C ES J0C740 0 0 346.750 356.250
P ES J0P740 12 4 0.000 0.000
750.00 C ES J0C750 0 0 336.750 346.250
P ES J0P750 57 20 0.000 0.000
760.00 C ES J0C760 0 0 327.000 336.500
P ES J0P760 221 1 0.000 0.000
770.00 C ES J0C770 0 0 317.000 326.500
P ES J0P770 114 5 0.000 0.000
775.00 C ES J0C775 0 0 312.250 321.750
P ES J0P775 112 1 0.000 0.000
780.00 C ES J0C780 0 0 307.250 316.750
P ES J0P780 219 1 0.000 0.000
790.00 C ES J0C790 0 0 297.250 306.750
P ES J0P790 166 23 0.000 0.000
800.00 C ES J0C800 0 0 287.500 297.000
P ES J0P800 264 91 0.350 2.750
810.00 C ES J0C810 0 0 277.750 287.250
P ES J0P810 187 90 0.000 0.000
820.00 C ES J0C820 0 0 268.000 277.500
P ES J0P820 142 16 0.000 0.000
825.00 C ES J0C825 0 0 263.000 272.500
P ES J0P825 193 14 0.800 3.200
830.00 C ES J0C830 0 0 258.000 267.500
P ES J0P830 445 8 0.000 0.000
840.00 C ES J0C840 0 0 248.250 257.750
P ES J0P840 136 16 0.000 0.000
850.00 C ES J0C850 0 0 238.750 248.250
P ES J0P850 563 62 1.500 3.900
860.00 C ES J0C860 0 0 229.000 238.500
P ES J0P860 151 2 0.000 0.000
870.00 C ES J0C870 0 0 219.250 228.750
P ES J0P870 321 2 0.000 0.000
875.00 C ES J0C875 0 0 214.500 224.000
P ES J0P875 654 5 2.150 4.950
880.00 C ES J0C880 0 0 209.750 219.250
P ES J0P880 17 5 0.000 0.000
890.00 C ES J0C890 0 0 200.250 209.750
P ES J0P890 281 93 0.000 0.000
900.00 C ES J0C900 0 0 0.000 0.000
P ES J0P900 1,853 436 3.300 6.000
910.00 C ES J0C910 0 0 181.250 190.750
P ES J0P910 185 2 0.000 0.000
920.00 C ES J0C920 0 0 172.000 181.250
P ES J0P920 264 1 0.000 0.000
925.00 C ES J0C925 0 0 0.000 0.000
P ES J0P925 1,743 10 4.800 7.500
930.00 C ES J0C930 0 0 162.500 172.000
P ES J0P930 232 49 0.000 0.000
940.00 C ES J0C940 0 0 0.000 0.000
P ES J0P940 219 7 7.250 0.000
950.00 C ES J0C950 0 0 0.000 0.000
P ES J0P950 1,016 4 0.000 10.750
960.00 C ES J0C960 0 0 135.250 144.750
P ES J0P960 154 1 0.000 0.000
965.00 C ES J0C965 0 0 130.750 140.250
P ES J0P965 108 108 0.000 0.000
970.00 C ES J0C970 0 0 126.250 135.750
P ES J0P970 134 15 0.000 0.000
975.00 C ES J0C975 0 0 0.000 0.000
P ES J0P975 346 12 9.500 12.250
980.00 C ES J0C980 0 0 117.500 127.000
P ES J0P980 304 70 0.000 0.000
985.00 C ES J0C985 0 0 113.250 122.500
P ES J0P985 0 0 0.000 0.000
990.00 C ES J0C990 0 0 108.750 118.250
P ES J0P990 544 2 0.000 0.000
995.00 C ES J0C995 0 0 104.500 114.000
P ES J0P995 50 50 0.000 0.000
1,000.00 C ES J0C1000 0 0 104.000 106.500
P ES J0P1000 1,151 144 13.000 16.250
1,005.00 C ES J0C1005 0 0 100.000 102.250
P ES J0P1005 2 2 0.000 0.000
1,010.00 C ES J0C1010 1 0 0.000 0.000
P ES J0P1010 420 30 0.000 0.000
1,015.00 C ES J0C1015 0 0 91.750 94.000
P ES J0P1015 0 0 0.000 0.000
1,020.00 C ES J0C1020 1 0 0.000 0.000
P ES J0P1020 420 116 0.000 0.000
1,025.00 C ES J0C1025 2 0 0.000 0.000
P ES J0P1025 649 31 17.750 21.000
1,030.00 C ES J0C1030 0 0 0.000 0.000
P ES J0P1030 284 4 0.000 0.000
1,035.00 C ES J0C1035 0 0 73.500 81.250
P ES J0P1035 465 30 0.000 0.000
1,040.00 C ES J0C1040 0 0 69.750 77.500
P ES J0P1040 201 11 0.000 0.000
1,045.00 C ES J0C1045 0 0 66.000 73.750
P ES J0P1045 91 1 0.000 0.000
1,050.00 C ES J0C1050 0 0 62.500 70.000
P ES J0P1050 872 5 23.750 27.250
1,055.00 C ES J0C1055 1 1 0.000 0.000
P ES J0P1055 282 150 0.000 0.000
1,060.00 C ES J0C1060 69 3 0.000 0.000
P ES J0P1060 27 10 0.000 0.000
1,065.00 C ES J0C1065 57 56 0.000 0.000
P ES J0P1065 56 6 28.250 32.250
1,070.00 C ES J0C1070 152 41 0.000 0.000
P ES J0P1070 415 200 29.750 33.750
1,075.00 C ES J0C1075 150 59 45.750 49.750
P ES J0P1075 419 2 31.750 35.750
1,080.00 C ES J0C1080 330 130 42.500 46.500
P ES J0P1080 380 100 33.500 37.500
1,085.00 C ES J0C1085 165 145 39.500 43.500
P ES J0P1085 128 10 35.500 39.500
1,090.00 C ES J0C1090 269 6 36.500 40.500
P ES J0P1090 444 14 37.500 41.500
1,095.00 C ES J0C1095 71 51 33.750 37.750
P ES J0P1095 285 10 39.750 43.750
1,100.00 C ES J0C1100 631 22 31.000 35.000
P ES J0P1100 768 1 0.000 0.000
1,105.00 C ES J0C1105 202 1 28.500 32.500
P ES J0P1105 173 13 0.000 0.000
1,110.00 C ES J0C1110 187 19 26.000 30.000
P ES J0P1110 480 2 0.000 0.000
1,115.00 C ES J0C1115 155 10 23.750 27.500
P ES J0P1115 350 200 0.000 0.000
1,120.00 C ES J0C1120 539 10 21.500 25.250
P ES J0P1120 123 87 0.000 0.000
1,125.00 C ES J0C1125 703 24 19.500 23.000
P ES J0P1125 254 2 0.000 0.000
1,130.00 C ES J0C1130 531 2 17.500 20.750
P ES J0P1130 331 100 0.000 0.000
1,135.00 C ES J0C1135 261 106 15.750 19.000
P ES J0P1135 147 101 0.000 0.000
1,140.00 C ES J0C1140 571 8 14.000 17.250
P ES J0P1140 170 1 0.000 0.000
1,145.00 C ES J0C1145 314 30 12.250 15.500
P ES J0P1145 12 12 0.000 0.000
1,150.00 C ES J0C1150 1,161 296 10.750 14.000
P ES J0P1150 11 5 0.000 0.000
1,155.00 C ES J0C1155 217 2 0.000 0.000
P ES J0P1155 15 2 0.000 0.000
1,160.00 C ES J0C1160 469 2 0.000 0.000
P ES J0P1160 0 0 74.250 83.750
1,165.00 C ES J0C1165 302 6 0.000 0.000
P ES J0P1165 0 0 78.000 87.500
1,170.00 C ES J0C1170 355 34 0.000 0.000
P ES J0P1170 0 0 0.000 0.000
1,175.00 C ES J0C1175 785 115 5.000 8.000
P ES J0P1175 3 3 0.000 0.000
1,180.00 C ES J0C1180 441 80 0.000 0.000
P ES J0P1180 0 0 90.000 99.500
1,185.00 C ES J0C1185 609 4 0.000 0.000
P ES J0P1185 0 0 0.000 0.000
1,190.00 C ES J0C1190 495 92 0.000 0.000
P ES J0P1190 0 0 98.500 108.000
1,195.00 C ES J0C1195 344 121 0.000 0.000
P ES J0P1195 0 0 103.000 112.500
1,200.00 C ES J0C1200 1,128 176 1.600 4.400
P ES J0P1200 0 0 107.250 116.750
1,205.00 C ES J0C1205 497 7 0.000 0.000
P ES J0P1205 0 0 111.750 121.250
1,210.00 C ES J0C1210 401 26 0.000 0.000
P ES J0P1210 0 0 116.500 126.000
1,215.00 C ES J0C1215 282 2 0.000 0.000
P ES J0P1215 0 0 121.000 130.500
1,220.00 C ES J0C1220 259 15 0.000 0.000
P ES J0P1220 0 0 125.750 135.250
1,225.00 C ES J0C1225 526 14 0.050 2.450
P ES J0P1225 0 0 130.500 140.000
1,230.00 C ES J0C1230 147 81 0.000 0.000
P ES J0P1230 0 0 135.250 144.750
1,235.00 C ES J0C1235 194 9 0.000 0.000
P ES J0P1235 0 0 140.000 149.500
1,240.00 C ES J0C1240 256 37 0.000 0.000
P ES J0P1240 0 0 145.000 154.500
1,245.00 C ES J0C1245 52 5 0.000 0.000
P ES J0P1245 0 0 149.750 159.250
1,250.00 C ES J0C1250 475 2 0.000 1.750
P ES J0P1250 0 0 154.750 164.250
1,260.00 C ES J0C1260 214 25 0.000 0.000
P ES J0P1260 0 0 164.500 174.000
1,270.00 C ES J0C1270 177 6 0.000 0.000
P ES J0P1270 0 0 174.250 183.750
1,275.00 C ES J0C1275 210 2 0.000 1.450
P ES J0P1275 0 0 179.250 188.750
1,280.00 C ES J0C1280 39 1 0.000 0.000
P ES J0P1280 0 0 184.250 193.750
1,290.00 C ES J0C1290 241 18 0.000 0.000
P ES J0P1290 0 0 194.250 203.750
1,300.00 C ES J0C1300 22 1 0.100 1.300
P ES J0P1300 0 0 204.250 213.750
1,310.00 C ES J0C1310 22 5 0.000 0.000
P ES J0P1310 0 0 214.000 223.500
1,320.00 C ES J0C1320 20 4 0.000 0.000
P ES J0P1320 0 0 224.000 233.500
1,325.00 C ES J0C1325 1 1 0.000 0.000
P ES J0P1325 0 0 229.000 238.500
1,330.00 C ES J0C1330 0 0 0.000 0.000
P ES J0P1330 0 0 234.000 243.500
1,340.00 C ES J0C1340 0 0 0.000 0.000
P ES J0P1340 0 0 244.000 253.500
1,350.00 C ES J0C1350 0 0 0.000 0.000
P ES J0P1350 0 0 254.000 263.500
1,375.00 C ES J0C1375 0 0 0.000 0.000
P ES J0P1375 0 0 279.000 288.500
1,400.00 C ES J0C1400 10 10 0.000 0.000
P ES J0P1400 0 0 304.000 313.500
1,425.00 C ES J0C1425 0 0 0.000 1.100
P ES J0P1425 0 0 329.000 338.500
1,450.00 C ES J0C1450 0 0 0.000 1.100
P ES J0P1450 0 0 354.000 363.500
1,475.00 C ES J0C1475 0 0 0.000 1.100
P ES J0P1475 0 0 379.000 388.500
1,500.00 C ES J0C1500 0 0 0.000 1.100
P ES J0P1500 0 0 404.000 413.500
1,525.00 C ES J0C1525 0 0 0.000 1.600
P ES J0P1525 0 0 0.000 0.000
1,550.00 C ES J0C1550 2,000 0 0.000 0.000
P ES J0P1550 0 0 0.000 0.000
1,575.00 C ES J0C1575 0 0 0.000 1.600
P ES J0P1575 0 0 0.000 0.000
1,600.00 C ES J0C1600 0 0 0.000 1.600
P ES J0P1600 0 0 0.000 0.000
1,625.00 C ES J0C1625 0 0 0.000 1.600
P ES J0P1625 0 0 0.000 0.000
1,650.00 C ES J0C1650 0 0 0.000 1.600
P ES J0P1650 0 0 0.000 0.000
21-May-10 425.00 C ES K0C425 0 0 0.000 0.000

450.00 C ES K0C450 0 0 0.000 0.000
475.00 C ES K0C475 0 0 0.000 0.000
P ES K0P475 0 0 0.000 0.000
500.00 C ES K0C500 0 0 0.000 0.000
P ES K0P500 0 0 0.000 0.000
525.00 C ES K0C525 0 0 0.000 0.000
P ES K0P525 0 0 0.000 0.000
550.00 C ES K0C550 0 0 0.000 0.000
P ES K0P550 0 0 0.000 0.000
575.00 C ES K0C575 0 0 0.000 0.000
600.00 C ES K0C600 0 0 0.000 0.000
P ES K0P600 0 0 0.000 0.000
625.00 C ES K0C625 0 0 0.000 0.000
P ES K0P625 0 0 0.000 0.000
650.00 C ES K0C650 0 0 0.000 0.000
P ES K0P650 2 2 0.000 0.000
675.00 C ES K0C675 0 0 0.000 0.000
P ES K0P675 230 230 0.000 0.000
680.00 C ES K0C680 0 0 0.000 0.000
P ES K0P680 2 2 0.000 0.000
690.00 C ES K0C690 0 0 0.000 0.000
P ES K0P690 230 230 0.000 0.000
700.00 C ES K0C700 0 0 0.000 0.000
P ES K0P700 45 30 0.000 0.000
710.00 C ES K0C710 0 0 0.000 0.000
715.00 P ES K0P715 0 0 0.550 3.050
720.00 C ES K0C720 0 0 0.000 0.000
725.00 C ES K0C725 0 0 0.000 0.000
P ES K0P725 230 230 0.000 0.000
730.00 C ES K0C730 0 0 0.000 0.000
P ES K0P730 144 144 0.000 0.000
740.00 C ES K0C740 0 0 0.000 0.000
P ES K0P740 144 144 0.000 0.000
750.00 C ES K0C750 0 0 0.000 0.000
P ES K0P750 194 42 0.000 0.000
760.00 C ES K0C760 0 0 0.000 0.000
P ES K0P760 142 42 0.000 0.000
770.00 C ES K0C770 0 0 0.000 0.000
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1,060.00 C ES K0C1060 10 10 0.000 0.000
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1,070.00 C ES K0C1070 1 1 56.750 64.000
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1,075.00 C ES K0C1075 0 0 53.750 61.000
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1,080.00 C ES K0C1080 101 101 50.750 57.750
P ES K0P1080 67 67 41.500 48.750
1,085.00 C ES K0C1085 0 0 47.500 54.750
P ES K0P1085 1 1 43.500 50.750
1,090.00 C ES K0C1090 0 0 44.750 52.000
P ES K0P1090 0 0 45.750 53.000
1,095.00 C ES K0C1095 11 1 41.750 49.000
P ES K0P1095 0 0 47.750 55.000
1,100.00 C ES K0C1100 44 1 39.000 46.250
P ES K0P1100 91 1 50.000 57.250
1,105.00 C ES K0C1105 98 96 0.000 0.000
P ES K0P1105 94 94 0.000 0.000
1,110.00 C ES K0C1110 10 10 0.000 0.000
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1,115.00 C ES K0C1115 1 2 0.000 0.000
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1,140.00 C ES K0C1140 350 300 0.000 0.000
1,145.00 C ES K0C1145 5 4 0.000 0.000
1,150.00 C ES K0C1150 127 2 17.750 23.250
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1,160.00 C ES K0C1160 99 6 0.000 0.000
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1,170.00 C ES K0C1170 321 2 0.000 0.000
1,175.00 C ES K0C1175 254 3 10.500 15.250
1,180.00 C ES K0C1180 248 60 0.000 0.000
1,185.00 C ES K0C1185 182 182 0.000 0.000
1,190.00 C ES K0C1190 252 1 0.000 0.000
1,195.00 C ES K0C1195 90 90 0.000 0.000
1,200.00 C ES K0C1200 356 6 5.750 9.750
1,205.00 C ES K0C1205 2 1 0.000 0.000
1,210.00 C ES K0C1210 58 1 0.000 0.000
1,215.00 C ES K0C1215 8 8 0.000 0.000
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1,260.00 C ES K0C1260 20 20 0.000 0.000
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1,270.00 C ES K0C1270 23 23 0.000 0.000
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1,275.00 C ES K0C1275 54 4 0.000 2.750
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1,320.00 C ES K0C1320 0 0 0.050 9.750
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1,650.00 C ES K0C1650 0 0 0.000 1.600
18-Jun-10 425.00 C ES M0C425 0 0 0.000 0.000

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450.00 C ES M0C450 0 0 0.000 0.000
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525.00 C ES M0C525 0 0 0.000 0.000
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550.00 C ES M0C550 0 0 0.000 0.000
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600.00 C ES M0C600 0 0 0.000 0.000
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650.00 C ES M0C650 0 0 0.000 0.000
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680.00 C ES M0C680 0 0 0.000 0.000
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780.00 C ES M0C780 3 0 0.000 0.000
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790.00 C ES M0C790 0 0 0.000 0.000
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800.00 C ES M0C800 1 0 0.000 0.000
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840.00 C ES M0C840 0 0 0.000 0.000
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870.00 C ES M0C870 0 0 0.000 0.000
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875.00 C ES M0C875 0 0 0.000 0.000
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880.00 C ES M0C880 1 0 0.000 0.000
P ES M0P880 368 10 0.000 0.000
890.00 C ES M0C890 0 0 0.000 0.000
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900.00 C ES M0C900 23 1 0.000 0.000
P ES M0P900 2,308 13 0.000 0.000
910.00 C ES M0C910 0 0 0.000 0.000
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920.00 C ES M0C920 0 0 0.000 0.000
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940.00 C ES M0C940 1 0 0.000 0.000
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950.00 C ES M0C950 228 0 0.000 0.000
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960.00 C ES M0C960 101 0 0.000 0.000
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965.00 P ES M0P965 0 0 17.750 22.250
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P ES M0P970 489 1 0.000 0.000
975.00 C ES M0C975 202 1 0.000 0.000
P ES M0P975 466 3 20.500 24.500
980.00 C ES M0C980 3 0 0.000 0.000
P ES M0P980 316 4 0.000 0.000
985.00 C ES M0C985 0 0 118.250 120.750
P ES M0P985 100 100 0.000 0.000
990.00 C ES M0C990 0 0 0.000 0.000
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995.00 C ES M0C995 0 0 118.000 120.500
P ES M0P995 195 50 0.000 0.000
1,000.00 C ES M0C1000 446 3 0.000 0.000
P ES M0P1000 5,168 1 25.500 29.500
1,005.00 C ES M0C1005 0 0 109.500 119.000
P ES M0P1005 71 25 0.000 0.000
1,010.00 C ES M0C1010 0 0 105.750 115.000
P ES M0P1010 389 100 0.000 0.000
1,015.00 C ES M0C1015 0 0 102.000 111.250
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1,020.00 C ES M0C1020 144 0 0.000 0.000
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1,030.00 C ES M0C1030 134 10 0.000 0.000
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1,070.00 C ES M0C1070 251 25 64.250 69.000
P ES M0P1070 242 1 0.000 0.000
1,075.00 C ES M0C1075 323 102 61.250 66.000
P ES M0P1075 419 2 47.250 52.000
1,080.00 C ES M0C1080 107 20 58.000 63.000
P ES M0P1080 1,059 7 49.000 53.750
1,085.00 C ES M0C1085 3 2 55.000 60.000
P ES M0P1085 28 2 51.000 55.750
1,090.00 C ES M0C1090 50 20 52.250 57.000
P ES M0P1090 161 20 53.250 58.000
1,095.00 C ES M0C1095 0 0 49.250 54.000
P ES M0P1095 106 20 55.250 60.000
1,100.00 C ES M0C1100 1,272 128 46.500 51.250
P ES M0P1100 952 15 57.500 62.250
1,105.00 C ES M0C1105 0 0 43.750 48.750
P ES M0P1105 102 120 0.000 0.000
1,110.00 C ES M0C1110 250 12 41.250 46.000
P ES M0P1110 205 4 0.000 0.000
1,115.00 C ES M0C1115 0 0 0.000 0.000
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1,120.00 C ES M0C1120 195 30 0.000 0.000
P ES M0P1120 220 1 0.000 0.000
1,125.00 C ES M0C1125 396 75 34.250 38.500
P ES M0P1125 1,183 1 0.000 0.000
1,130.00 C ES M0C1130 267 150 0.000 0.000
P ES M0P1130 9 1 0.000 0.000
1,135.00 C ES M0C1135 105 1 0.000 0.000
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P ES M0P1135 3 3 0.000 0.000
1,140.00 C ES M0C1140 273 1 0.000 0.000
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P ES M0P1140 6 1 0.000 0.000
1,145.00 C ES M0C1145 54 50 0.000 0.000
P ES K0P1145 0 0 82.500 92.250
P ES M0P1145 100 100 0.000 0.000
1,150.00 C ES M0C1150 2,090 33 24.000 28.000
P ES K0P1150 0 0 86.000 95.750
P ES M0P1150 27 6 0.000 0.000
1,155.00 C ES M0C1155 322 72 0.000 0.000
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P ES M0P1155 0 0 94.500 104.250
1,160.00 C ES M0C1160 676 8 0.000 0.000
P ES K0P1160 0 0 93.000 102.750
P ES M0P1160 0 0 98.000 107.750
1,165.00 C ES M0C1165 232 1 0.000 0.000
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P ES M0P1165 0 0 101.500 111.250
1,170.00 C ES M0C1170 406 8 0.000 0.000
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P ES M0P1170 0 0 105.000 114.750
1,175.00 C ES M0C1175 714 2 15.750 19.750
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P ES M0P1175 0 0 0.000 0.000
1,180.00 C ES M0C1180 129 3 0.000 0.000
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P ES M0P1180 4 0 0.000 0.000
1,185.00 C ES M0C1185 35 10 0.000 0.000
P ES K0P1185 0 0 108.000 117.750
P ES M0P1185 0 0 116.250 126.000
1,190.00 C ES M0C1190 403 2 0.000 0.000
P ES K0P1190 0 0 112.000 121.750
P ES M0P1190 0 0 116.250 126.000
1,195.00 C ES M0C1195 2 5 0.000 0.000
P ES K0P1195 0 0 115.750 125.500
P ES M0P1195 0 0 119.750 129.500
1,200.00 C ES M0C1200 4,341 60 9.750 13.250
P ES K0P1200 0 0 119.750 129.500
P ES M0P1200 2 3 0.000 0.000
1,205.00 C ES M0C1205 112 1 0.000 0.000
P ES K0P1205 0 0 123.750 133.500
P ES M0P1205 0 0 127.500 137.250
1,210.00 C ES M0C1210 1,033 10 0.000 0.000
P ES K0P1210 0 0 127.750 137.500
P ES M0P1210 0 0 131.500 141.250
1,215.00 C ES M0C1215 20 20 0.000 0.000
P ES M0P1215 0 0 135.250 145.000
1,220.00 C ES M0C1220 270 10 0.000 0.000
P ES M0P1220 0 0 139.500 149.250
1,225.00 C ES M0C1225 1,257 6 5.500 8.750
P ES M0P1225 0 0 0.000 0.000
1,230.00 C ES M0C1230 64 2 0.000 0.000
P ES M0P1230 0 0 0.000 0.000
1,235.00 C ES M0C1235 41 6 0.000 0.000
P ES M0P1235 0 0 0.000 0.000
1,240.00 C ES M0C1240 73 3 0.000 0.000
P ES M0P1240 0 0 0.000 0.000
1,245.00 C ES M0C1245 1 1 0.000 0.000
P ES M0P1245 0 0 160.500 170.250
1,250.00 C ES M0C1250 694 8 2.550 5.750
P ES M0P1250 0 0 0.000 0.000
1,260.00 C ES M0C1260 376 27 0.000 0.000
P ES M0P1260 0 0 0.000 0.000
1,270.00 C ES M0C1270 447 12 0.000 0.000
P ES M0P1270 0 0 0.000 0.000
1,275.00 C ES M0C1275 350 1 0.000 0.000
P ES M0P1275 0 0 0.000 0.000
1,280.00 C ES M0C1280 98 2 0.000 0.000
P ES M0P1280 0 0 0.000 0.000
1,290.00 C ES M0C1290 268 1 0.000 0.000
P ES M0P1290 0 0 0.000 0.000
1,300.00 C ES M0C1300 982 11 0.000 0.000
P ES M0P1300 0 0 0.000 0.000
1,310.00 C ES M0C1310 5,001 5,003 0.000 0.000
P ES M0P1310 0 0 0.000 0.000
1,320.00 C ES M0C1320 2 1 0.000 0.000
P ES M0P1320 0 0 0.000 0.000
1,325.00 C ES M0C1325 678 1 0.000 0.000
P ES M0P1325 0 0 0.000 0.000
1,330.00 C ES M0C1330 3 2 0.000 0.000
P ES M0P1330 0 0 0.000 0.000
1,340.00 C ES M0C1340 300 150 0.000 0.000
P ES M0P1340 0 0 0.000 0.000
1,350.00 C ES M0C1350 659 5 0.000 0.000
P ES M0P1350 0 0 0.000 0.000
1,375.00 C ES M0C1375 1,155 338 0.000 0.000
P ES M0P1375 0 0 0.000 0.000
1,400.00 C ES M0C1400 1,277 10 0.000 0.000
P ES M0P1400 0 0 0.000 0.000
1,425.00 C ES M0C1425 1,045 10 0.000 0.000
P ES M0P1425 0 0 0.000 0.000
1,450.00 C ES M0C1450 23 7 0.000 0.000
P ES M0P1450 0 0 0.000 0.000
1,475.00 C ES M0C1475 0 0 0.000 0.000
P ES M0P1475 0 0 0.000 0.000
1,500.00 C ES M0C1500 2,500 2,500 0.000 0.000
P ES M0P1500 0 0 0.000 0.000
1,525.00 C ES M0C1525 0 0 0.000 1.700
P ES M0P1525 0 0 0.000 0.000
1,550.00 C ES M0C1550 0 0 0.000 1.700
P ES M0P1550 0 0 0.000 0.000
1,575.00 C ES M0C1575 0 0 0.000 1.700
P ES M0P1575 0 0 0.000 0.000
1,600.00 C ES M0C1600 0 0 0.000 0.400
P ES M0P1600 0 0 0.000 0.000
1,625.00 C ES M0C1625 0 0 0.000 1.600
P ES M0P1625 0 0 0.000 0.000
1,650.00 C ES M0C1650 0 0 0.000 1.600
P ES K0P1650 0 0 558.750 568.500
P ES M0P1650 0 0 0.000 0.000
17-Sep-10 500.00 C ES U0C500 0 0 0.000 0.000

P ES U0P500 877 159 0.000 0.000
525.00 C ES U0C525 0 0 0.000 0.000
P ES U0P525 814 1 0.000 0.000
550.00 C ES U0C550 0 0 0.000 0.000
P ES U0P550 197 1 0.000 0.000
575.00 C ES U0C575 0 0 0.000 0.000
P ES U0P575 606 1 0.000 0.000
600.00 C ES U0C600 0 0 0.000 0.000
P ES U0P600 949 10 0.000 0.000
625.00 C ES U0C625 0 0 0.000 0.000
P ES U0P625 201 10 0.000 0.000
650.00 C ES U0C650 0 0 0.000 0.000
P ES U0P650 371 2 0.000 0.000
675.00 C ES U0C675 0 0 0.000 0.000
P ES U0P675 383 136 0.000 0.000
700.00 C ES U0C700 0 0 0.000 0.000
P ES U0P700 516 93 0.000 0.000
725.00 C ES U0C725 0 0 0.000 0.000
P ES U0P725 457 2 0.000 0.000
750.00 C ES U0C750 0 0 0.000 0.000
P ES U0P750 475 2 0.000 0.000
775.00 C ES U0C775 0 0 0.000 0.000
P ES U0P775 588 2 0.000 0.000
800.00 C ES U0C800 0 0 0.000 0.000
P ES U0P800 749 2 0.000 0.000
810.00 C ES U0C810 0 0 0.000 0.000
P ES U0P810 678 1 0.000 0.000
820.00 C ES U0C820 0 0 0.000 0.000
P ES U0P820 52 100 0.000 0.000
825.00 C ES U0C825 0 0 0.000 0.000
P ES U0P825 589 4 0.000 0.000
830.00 C ES U0C830 0 0 0.000 0.000
P ES U0P830 256 102 0.000 0.000
840.00 C ES U0C840 0 0 0.000 0.000
P ES U0P840 328 68 0.000 0.000
850.00 C ES U0C850 0 0 0.000 0.000
P ES U0P850 332 2 0.000 0.000
860.00 C ES U0C860 0 0 0.000 0.000
P ES U0P860 189 111 0.000 0.000
870.00 C ES U0C870 0 0 0.000 0.000
P ES U0P870 350 100 0.000 0.000
875.00 C ES U0C875 0 0 0.000 0.000
P ES U0P875 132 4 0.000 0.000
880.00 C ES U0C880 0 0 0.000 0.000
P ES U0P880 402 1 0.000 0.000
890.00 C ES U0C890 0 0 0.000 0.000
P ES U0P890 299 15 0.000 0.000
900.00 C ES U0C900 0 0 0.000 0.000
P ES U0P900 1,202 369 0.000 0.000
910.00 C ES U0C910 0 0 183.750 193.500
P ES U0P910 58 0 0.000 0.000
920.00 C ES U0C920 0 0 175.500 185.250
P ES U0P920 30 0 0.000 0.000
925.00 C ES U0C925 0 0 171.500 181.250
P ES U0P925 506 400 0.000 0.000
930.00 C ES U0C930 0 0 167.500 177.250
P ES U0P930 10 2 0.000 0.000
940.00 C ES U0C940 0 0 159.500 169.250
P ES U0P940 0 0 0.000 0.000
950.00 C ES U0C950 3 0 0.000 0.000
P ES U0P950 194 1 0.000 0.000
960.00 C ES U0C960 0 0 147.750 150.500
P ES U0P960 46 46 0.000 0.000
970.00 C ES U0C970 0 0 140.750 150.250
P ES U0P970 72 72 0.000 0.000
975.00 C ES U0C975 0 0 144.000 146.500
P ES U0P975 21 10 0.000 0.000
980.00 C ES U0C980 50 0 0.000 0.000
P ES U0P980 2 0 0.000 0.000
990.00 C ES U0C990 0 0 131.500 141.500
P ES U0P990 0 0 35.250 45.000
1,000.00 C ES U0C1000 380 200 0.000 0.000
P ES U0P1000 202 15 0.000 0.000
1,010.00 C ES U0C1010 100 0 0.000 0.000
P ES U0P1010 3 0 0.000 0.000
1,020.00 C ES U0C1020 63 0 0.000 0.000
P ES U0P1020 6 0 0.000 0.000
1,025.00 C ES U0C1025 249 0 0.000 0.000
P ES U0P1025 60 5 0.000 0.000
1,030.00 C ES U0C1030 690 0 0.000 0.000
P ES U0P1030 24 2 0.000 0.000
1,040.00 C ES U0C1040 89 0 0.000 0.000
P ES U0P1040 19 4 0.000 0.000
1,050.00 C ES U0C1050 78 0 0.000 0.000
P ES U0P1050 764 15 56.000 0.000
1,060.00 C ES U0C1060 303 1 0.000 0.000
P ES U0P1060 54 40 0.000 0.000
1,070.00 C ES U0C1070 321 0 0.000 0.000
P ES U0P1070 133 80 0.000 0.000
1,075.00 C ES U0C1075 800 1 0.000 0.000
P ES U0P1075 182 91 0.000 0.000
1,080.00 C ES U0C1080 479 1 0.000 0.000
P ES U0P1080 100 1 0.000 0.000
1,090.00 C ES U0C1090 218 0 0.000 0.000
P ES U0P1090 57 17 0.000 0.000
1,100.00 C ES U0C1100 573 1 0.000 0.000
P ES U0P1100 1,025 1 0.000 0.000
1,110.00 C ES U0C1110 184 2 0.000 0.000
P ES U0P1110 63 3 0.000 0.000
1,120.00 C ES U0C1120 197 2 0.000 0.000
P ES U0P1120 0 0 83.250 93.000
1,125.00 C ES U0C1125 243 0 0.000 0.000
P ES U0P1125 58 58 0.000 0.000
1,130.00 C ES U0C1130 4 2 0.000 0.000
P ES U0P1130 68 68 0.000 0.000
1,140.00 C ES U0C1140 46 2 0.000 0.000
P ES U0P1140 23 0 0.000 0.000
1,150.00 C ES U0C1150 225 21 0.000 0.000
P ES U0P1150 0 0 0.000 0.000
1,160.00 C ES U0C1160 115 40 0.000 0.000
P ES U0P1160 0 0 104.750 116.000
1,170.00 C ES U0C1170 467 10 0.000 0.000
P ES U0P1170 0 0 122.500 132.250
1,175.00 C ES U0C1175 70 1 0.000 0.000
P ES U0P1175 22 0 0.000 0.000
1,180.00 C ES U0C1180 61 0 0.000 0.000
P ES U0P1180 0 0 129.500 139.250
1,190.00 C ES U0C1190 204 91 0.000 0.000
P ES U0P1190 0 0 136.500 146.250
1,200.00 C ES U0C1200 262 100 0.000 0.000
P ES U0P1200 0 0 155.000 164.750
1,210.00 C ES U0C1210 268 0 0.000 0.000
P ES U0P1210 0 0 162.750 172.500
1,220.00 C ES U0C1220 101 3 0.000 0.000
P ES U0P1220 0 0 170.500 180.250
1,225.00 C ES U0C1225 234 1 0.000 0.000
P ES U0P1225 0 0 157.500 169.000
1,230.00 C ES U0C1230 148 0 0.000 0.000
P ES U0P1230 0 0 161.250 172.750
1,240.00 C ES U0C1240 364 0 0.000 0.000
P ES U0P1240 0 0 169.000 180.500
1,250.00 C ES U0C1250 438 3 0.000 0.000
P ES U0P1250 0 0 0.000 0.000
1,260.00 C ES U0C1260 108 3 0.000 0.000
P ES U0P1260 0 0 0.000 0.000
1,270.00 C ES U0C1270 417 1 0.000 0.000
P ES U0P1270 0 0 0.000 0.000
1,275.00 C ES U0C1275 7 1 0.000 0.000
P ES U0P1275 0 0 0.000 0.000
1,280.00 C ES U0C1280 545 0 0.000 0.000
P ES U0P1280 0 0 0.000 0.000
1,290.00 C ES U0C1290 216 0 0.000 0.000
P ES U0P1290 0 0 0.000 0.000
1,300.00 C ES U0C1300 565 27 0.000 0.000
P ES U0P1300 0 0 0.000 0.000
1,310.00 C ES U0C1310 2 1 0.000 0.000
P ES U0P1310 0 0 0.000 0.000
1,320.00 C ES U0C1320 1 1 0.000 0.000
P ES U0P1320 0 0 0.000 0.000
1,325.00 C ES U0C1325 11 1 0.000 0.000
P ES U0P1325 0 0 0.000 0.000
1,330.00 C ES U0C1330 1 1 0.000 0.000
P ES U0P1330 0 0 0.000 0.000
1,340.00 C ES U0C1340 0 0 1.050 9.750
P ES U0P1340 0 0 0.000 0.000
1,350.00 C ES U0C1350 111 3 0.000 0.000
P ES U0P1350 0 0 0.000 0.000
1,375.00 C ES U0C1375 12 1 0.000 0.000
P ES U0P1375 0 0 0.000 0.000
1,400.00 C ES U0C1400 159 1 0.000 0.000
P ES U0P1400 0 0 0.000 0.000
1,425.00 C ES U0C1425 89 4 0.000 0.000
P ES U0P1425 0 0 0.000 0.000
1,450.00 C ES U0C1450 9 9 0.000 0.000
P ES U0P1450 0 0 0.000 0.000
1,475.00 C ES U0C1475 718 418 0.000 0.000
P ES U0P1475 0 0 0.000 0.000
1,500.00 C ES U0C1500 363 10 0.000 0.000
P ES U0P1500 0 0 0.000 0.000
1,525.00 C ES U0C1525 456 0 0.000 0.000
P ES U0P1525 0 0 0.000 0.000
1,550.00 C ES U0C1550 50 0 0.000 0.000
P ES U0P1550 0 0 0.000 0.000
1,575.00 C ES U0C1575 2 0 0.000 0.000
P ES U0P1575 0 0 0.000 0.000
1,600.00 C ES U0C1600 0 0 0.050 1.200
P ES U0P1600 0 0 0.000 0.000
1,625.00 C ES U0C1625 0 0 0.000 2.050
P ES U0P1625 0 0 0.000 0.000
1,650.00 C ES U0C1650 0 0 0.000 14.250
P ES U0P1650 0 0 0.000 0.000
17-Dec-10 550.00 P ES Z0P550 107 2 0.000 0.000

575.00 C ES Z0C575 0 0 0.000 0.000
P ES Z0P575 515 195 0.000 0.000
600.00 C ES Z0C600 0 0 0.000 0.000
P ES Z0P600 339 51 0.000 0.000
625.00 C ES Z0C625 0 0 0.000 0.000
P ES Z0P625 296 1 0.000 0.000
650.00 C ES Z0C650 0 0 0.000 0.000
P ES Z0P650 164 23 0.000 0.000
675.00 C ES Z0C675 0 0 0.000 0.000
P ES Z0P675 65 15 0.000 0.000
700.00 C ES Z0C700 0 0 0.000 0.000
P ES Z0P700 5,073 116 0.000 0.000
725.00 C ES Z0C725 0 0 0.000 0.000
P ES Z0P725 745 4 0.000 0.000
750.00 C ES Z0C750 0 0 0.000 0.000
P ES Z0P750 293 1 0.000 0.000
775.00 C ES Z0C775 0 0 0.000 0.000
P ES Z0P775 364 144 0.000 0.000
800.00 C ES Z0C800 0 0 0.000 0.000
P ES Z0P800 293 1 0.000 0.000
825.00 C ES Z0C825 0 0 0.000 0.000
P ES Z0P825 13 3 0.000 0.000
850.00 C ES Z0C850 0 0 0.000 0.000
P ES Z0P850 42 1 0.000 0.000
860.00 P ES Z0P860 0 0 23.250 28.500
870.00 P ES Z0P870 0 0 24.750 30.250
875.00 C ES Z0C875 0 0 0.000 0.000
P ES Z0P875 15 2 0.000 0.000
880.00 C ES Z0C880 0 0 0.000 0.000
P ES Z0P880 6 1 0.000 0.000
890.00 C ES Z0C890 0 0 0.000 0.000
P ES Z0P890 0 0 26.000 35.750
900.00 C ES Z0C900 0 0 0.000 0.000
P ES Z0P900 385 101 0.000 0.000
910.00 C ES Z0C910 0 0 190.250 200.000
P ES Z0P910 8 2 0.000 0.000
920.00 C ES Z0C920 0 0 182.750 192.500
P ES Z0P920 0 0 31.750 41.500
925.00 C ES Z0C925 0 0 178.750 188.500
P ES Z0P925 105 2 0.000 0.000
930.00 C ES Z0C930 0 0 174.750 184.500
P ES Z0P930 0 0 33.750 43.500
940.00 C ES Z0C940 0 0 170.750 173.750
P ES Z0P940 0 0 36.000 45.750
950.00 C ES Z0C950 0 0 0.000 0.000
P ES Z0P950 174 3 0.000 0.000
960.00 C ES Z0C960 0 0 0.000 0.000
P ES Z0P960 99 99 0.000 0.000
970.00 C ES Z0C970 0 0 154.250 165.500
P ES Z0P970 20 20 0.000 0.000
975.00 C ES Z0C975 0 0 0.000 0.000
P ES Z0P975 510 510 0.000 0.000
980.00 C ES Z0C980 0 0 147.000 158.250
P ES Z0P980 0 0 46.000 55.750
990.00 C ES Z0C990 0 0 140.000 151.000
P ES Z0P990 106 43 0.000 0.000
1,000.00 C ES Z0C1000 200 200 0.000 0.000
P ES Z0P1000 135 20 0.000 0.000
1,010.00 C ES Z0C1010 0 0 126.000 137.000
P ES Z0P1010 0 0 54.750 64.500
1,020.00 C ES Z0C1020 0 0 0.000 0.000
P ES Z0P1020 0 0 0.000 0.000
1,025.00 C ES Z0C1025 0 0 0.000 0.000
P ES Z0P1025 2 2 0.000 0.000
1,030.00 C ES Z0C1030 0 0 112.750 123.500
P ES Z0P1030 0 0 61.750 71.000
1,040.00 C ES Z0C1040 0 0 106.500 117.000
P ES Z0P1040 0 0 65.250 74.500
1,050.00 C ES Z0C1050 1 1 0.000 0.000
P ES Z0P1050 112 10 0.000 0.000
1,060.00 C ES Z0C1060 0 0 94.000 104.250
P ES Z0P1060 0 0 73.000 83.000
1,070.00 C ES Z0C1070 8 6 0.000 0.000
P ES Z0P1070 0 0 0.000 0.000
1,075.00 C ES Z0C1075 0 0 0.000 0.000
P ES Z0P1075 5 5 0.000 0.000
1,080.00 C ES Z0C1080 1 1 0.000 0.000
P ES Z0P1080 96 1 0.000 0.000
1,090.00 C ES Z0C1090 4 4 0.000 0.000
P ES Z0P1090 1 1 0.000 0.000
1,100.00 C ES Z0C1100 207 2 0.000 0.000
P ES Z0P1100 113 10 0.000 0.000
1,110.00 C ES Z0C1110 2 1 0.000 0.000
P ES Z0P1110 3 1 0.000 0.000
1,120.00 C ES Z0C1120 1 1 0.000 0.000
P ES Z0P1120 1 1 0.000 0.000
1,125.00 C ES Z0C1125 98 20 0.000 0.000
P ES Z0P1125 98 20 0.000 0.000
1,130.00 C ES Z0C1130 0 0 57.000 66.500
P ES Z0P1130 0 0 103.750 115.250
1,140.00 C ES Z0C1140 0 0 0.000 0.000
P ES Z0P1140 96 25 0.000 0.000
1,150.00 C ES Z0C1150 54 20 0.000 0.000
P ES Z0P1150 0 0 114.500 126.500
1,160.00 C ES Z0C1160 1 1 0.000 0.000
P ES Z0P1160 0 0 120.250 132.500
1,170.00 C ES Z0C1170 0 0 39.750 49.500
P ES Z0P1170 0 0 126.000 138.500
1,175.00 C ES Z0C1175 2 1 0.000 0.000
P ES Z0P1175 101 0 0.000 0.000
1,180.00 C ES Z0C1180 176 76 0.000 0.000
P ES Z0P1180 0 0 144.250 154.000
1,190.00 C ES Z0C1190 77 77 0.000 0.000
P ES Z0P1190 0 0 151.000 160.750
1,200.00 C ES Z0C1200 270 1 0.000 0.000
P ES Z0P1200 8 5 0.000 0.000
1,210.00 C ES Z0C1210 12 12 0.000 0.000
P ES Z0P1210 0 0 165.000 174.750
1,220.00 C ES Z0C1220 10 12 0.000 0.000
P ES Z0P1220 0 0 172.000 181.750
1,225.00 C ES Z0C1225 117 76 0.000 0.000
P ES Z0P1225 0 0 175.750 185.500
1,230.00 C ES Z0C1230 0 0 20.250 30.000
P ES Z0P1230 0 0 179.500 189.250
1,240.00 C ES Z0C1240 1 1 0.000 0.000
P ES Z0P1240 0 0 181.500 194.500
1,250.00 C ES Z0C1250 212 2 0.000 0.000
P ES Z0P1250 0 0 189.000 202.000
1,260.00 C ES Z0C1260 249 2 0.000 0.000
P ES Z0P1260 0 0 0.000 0.000
1,270.00 C ES Z0C1270 0 0 11.250 21.000
P ES Z0P1270 0 0 0.000 0.000
1,275.00 C ES Z0C1275 97 50 0.000 0.000
P ES Z0P1275 0 0 0.000 0.000
1,280.00 C ES Z0C1280 145 30 0.000 0.000
P ES Z0P1280 0 0 0.000 0.000
1,290.00 C ES Z0C1290 0 0 0.000 0.000
P ES Z0P1290 0 0 0.000 0.000
1,300.00 C ES Z0C1300 51 1 0.000 0.000
P ES Z0P1300 0 0 0.000 0.000
1,310.00 C ES Z0C1310 0 0 5.000 14.750
P ES Z0P1310 0 0 0.000 0.000
1,320.00 C ES Z0C1320 0 0 3.750 13.500
P ES Z0P1320 0 0 0.000 0.000
1,325.00 C ES Z0C1325 374 4 0.000 0.000
P ES Z0P1325 0 0 0.000 0.000
1,330.00 C ES Z0C1330 0 0 2.700 12.500
P ES Z0P1330 0 0 0.000 0.000
1,340.00 C ES Z0C1340 0 0 1.700 11.500
P ES Z0P1340 0 0 0.000 0.000
1,350.00 C ES Z0C1350 591 1 0.000 0.000
P ES Z0P1350 0 0 0.000 0.000
1,375.00 C ES Z0C1375 100 34 0.000 0.000
P ES Z0P1375 0 0 0.000 0.000
1,400.00 C ES Z0C1400 175 1 0.000 0.000
P ES Z0P1400 0 0 0.000 0.000
1,425.00 C ES Z0C1425 11 1 0.000 0.000
P ES Z0P1425 0 0 0.000 0.000
1,450.00 C ES Z0C1450 1,036 2 0.000 0.000
P ES Z0P1450 0 0 0.000 0.000
1,475.00 C ES Z0C1475 99 33 0.000 0.000
P ES Z0P1475 0 0 0.000 0.000
1,500.00 C ES Z0C1500 2 1 0.000 0.000
P ES Z0P1500 0 0 0.000 0.000
1,525.00 C ES Z0C1525 0 0 0.200 9.750
P ES Z0P1525 0 0 0.000 0.000
1,550.00 C ES Z0C1550 0 0 0.050 9.750
P ES Z0P1550 0 0 0.000 0.000
1,575.00 C ES Z0C1575 0 0 0.050 9.750
P ES Z0P1575 0 0 0.000 0.000
1,600.00 C ES Z0C1600 0 0 0.050 9.750
P ES Z0P1600 0 0 0.000 0.000
1,625.00 C ES Z0C1625 0 0 0.000 14.250
P ES Z0P1625 0 0 0.000 0.000
1,650.00 C ES Z0C1650 0 0 0.000 14.250
P ES Z0P1650 0 0 0.000 0.000
utures Options
Real-time futures option chain providers
eSignal
U/L Futures U/L Futures

Last Contract Futures Option Description Price
0.000 ES H0 CME E-mini S&P 500 futures option 1,094.00
0.000 ES M0 CME E-mini S&P 500 futures option 1,088.50



0.000 ES U0 CME E-mini S&P 500 futures option 1,086.70

3.100 ES Z0 CME E-mini S&P 500 futures option 1,082.40

eSignal
File
Price History Toolbar and Wizard
A toolbar and wizard to simplify the download of historical price data
from Yahoo for multiple ticker symbols.
The toolbar and Wizard are only operation in the full version fo the add-in.
Index
Help
Example
Closing Price History
MSFT IBM ANZ.AX
03-Jan-05 24.29 89.49 19.61
04-Jan-05 24.38 88.53 19.68
05-Jan-05 24.33 88.34 19.52
06-Jan-05 24.30 88.07 19.43
07-Jan-05 24.23 87.69 19.64 Note: Due to public holidays in different
10-Jan-05 24.35 87.59 19.67 markets there are many days where there
11-Jan-05 24.28 86.97 19.72 is not a complete set of data across all stocks.
12-Jan-05 24.33 87.16 19.76
13-Jan-05 23.87 86.47 19.51 This is a normal situation, but it must be 'handled'
14-Jan-05 23.73 86.15 19.37 if the prices are to be used to calculate beta,
17-Jan-05 19.37 r-squared, correlation matrices etc.
18-Jan-05 23.91 86.88 19.29
19-Jan-05 23.60 85.23 19.33 You can use the wizard to impute missing data
20-Jan-05 23.49 85.14 19.23 or to remove any row with missing data.
21-Jan-05 23.30 84.57 19.24
24-Jan-05 23.32 84.03 19.21
25-Jan-05 23.64 84.40 19.27
26-Jan-05 23.63 84.18 19.27
27-Jan-05 23.72 84.21 19.67
28-Jan-05 23.78 85.04 19.57
31-Jan-05 23.88 85.52 19.61
01-Feb-05 23.98 85.93 19.53
02-Feb-05 24.04 86.33 19.72
03-Feb-05 23.78 85.63 19.53
04-Feb-05 23.91 86.52 19.76
07-Feb-05 23.77 86.54 19.77
08-Feb-05 23.84 86.34 19.67
09-Feb-05 23.68 85.03 19.93
10-Feb-05 23.68 85.08 20.79
11-Feb-05 23.59 85.58 20.62
14-Feb-05 23.63 85.83 20.18
15-Feb-05 23.63 86.52 20.19
16-Feb-05 23.50 86.79 20.38
17-Feb-05 23.38 85.99 20.21
18-Feb-05 23.22 85.55 20.23
21-Feb-05 20.14
22-Feb-05 22.99 84.68 20.56
23-Feb-05 22.97 84.48 20.29
24-Feb-05 23.12 84.97 20.11
25-Feb-05 23.01 85.12 20.37
28-Feb-05 22.93 84.92 20.36
01-Mar-05 23.04 85.58 20.29
02-Mar-05 23.02 85.23 20.37
03-Mar-05 22.94 84.76 20.54
04-Mar-05 22.94 84.72 20.77
07-Mar-05 23.21 84.02 20.72
08-Mar-05 23.15 84.50 20.72
09-Mar-05 23.07 84.71 20.73
10-Mar-05 23.17 84.76 20.54
11-Mar-05 22.86 83.94 20.37
14-Mar-05 22.88 84.29 20.45
15-Mar-05 22.70 83.82 20.65
16-Mar-05 22.45 83.15 20.74
17-Mar-05 22.36 82.42 20.62
18-Mar-05 22.15 81.89 20.39
21-Mar-05 22.05 82.10 20.31
22-Mar-05 21.86 82.09 20.18
23-Mar-05 22.04 83.03 19.89
24-Mar-05 22.13 83.19 19.87
25-Mar-05 19.87
28-Mar-05 22.05 83.50 19.87
29-Mar-05 21.80 83.10 19.61
30-Mar-05 22.02 83.17 19.72
31-Mar-05 22.03 83.82 19.64
01-Apr-05 21.98 82.95 19.77
04-Apr-05 22.08 82.84 19.73
05-Apr-05 22.30 82.16 19.80
06-Apr-05 22.48 81.63 19.86
07-Apr-05 22.87 81.12 19.91
08-Apr-05 22.73 80.35 20.01
11-Apr-05 22.76 79.07 19.90
12-Apr-05 23.07 78.65 20.12
13-Apr-05 22.82 77.57 20.21
14-Apr-05 22.64 76.72 19.96
15-Apr-05 22.29 70.35 19.78
18-Apr-05 22.46 70.31 19.66
19-Apr-05 22.45 69.23 19.77
20-Apr-05 22.16 66.05 19.81
21-Apr-05 23.04 67.90 19.81
22-Apr-05 22.76 68.07 19.70
25-Apr-05 22.77 68.43 19.70
26-Apr-05 22.56 69.19 19.76
27-Apr-05 22.77 70.67 20.23
28-Apr-05 22.28 69.63 20.77
29-Apr-05 23.06 70.06 20.55
Price History Class
A component for retrieving the price history of stocks and indices
from Yahoo.
Help Index
Examples
Inputs See the HoadleyPriceMatrix function (
converting a price matrix containing no
Start Date 01-Jul-05 and missing prices, to a form suitable
End Date 30-Sep-05 HoadleyBeta, HoadleyCorrel and othe
require as input a price matrix with no
Frequency D
Include_all_dates 0
Errors
Example 1: Single symbol Example 2: Multiple ticker symbol
Ticker symbol MSFT Ticker symbols
Results Results (Adjusted closing prices)

Date Open High Low Close Adj Close Date
01-Jul-05 24.85 24.99 24.67 24.71 24.21 01-Jul-05
05-Jul-05 24.66 25.19 24.62 24.98 24.48 05-Jul-05
06-Jul-05 24.97 25.08 24.69 24.70 24.20 06-Jul-05
07-Jul-05 24.58 24.71 24.50 24.65 24.16 07-Jul-05
08-Jul-05 24.64 25.12 24.63 25.09 24.59 08-Jul-05
11-Jul-05 25.15 25.38 25.11 25.29 24.78 11-Jul-05
12-Jul-05 25.24 25.62 25.20 25.61 25.10 12-Jul-05
13-Jul-05 25.53 25.75 25.48 25.66 25.15 13-Jul-05
14-Jul-05 25.79 26.10 25.79 25.97 25.45 14-Jul-05
15-Jul-05 26.04 26.10 25.75 25.79 25.27 15-Jul-05
18-Jul-05 25.71 25.79 25.55 25.55 25.04 18-Jul-05
19-Jul-05 25.79 26.25 25.75 26.16 25.64 19-Jul-05
20-Jul-05 26.00 26.23 25.88 26.19 25.66 20-Jul-05
21-Jul-05 26.30 26.48 26.00 26.44 25.91 21-Jul-05
22-Jul-05 25.99 26.34 25.63 25.68 25.17 22-Jul-05
25-Jul-05 25.69 25.90 25.65 25.69 25.17 25-Jul-05
26-Jul-05 25.72 25.74 25.53 25.54 25.03 26-Jul-05
27-Jul-05 25.61 25.80 25.53 25.72 25.20 27-Jul-05
28-Jul-05 25.75 25.85 25.66 25.75 25.23 28-Jul-05
29-Jul-05 25.78 26.00 25.59 25.61 25.10 29-Jul-05
01-Aug-05 25.81 26.05 25.76 25.92 25.40 01-Aug-05
02-Aug-05 25.90 26.90 25.87 26.81 26.27 02-Aug-05
03-Aug-05 26.76 27.43 26.73 27.25 26.70 03-Aug-05
04-Aug-05 27.16 27.50 27.05 27.32 26.77 04-Aug-05
05-Aug-05 27.29 27.94 27.25 27.76 27.20 05-Aug-05
08-Aug-05 27.80 27.84 27.08 27.13 26.59 08-Aug-05
09-Aug-05 27.22 27.51 27.01 27.35 26.80 09-Aug-05
10-Aug-05 27.41 27.50 26.85 26.95 26.41 10-Aug-05
11-Aug-05 26.98 27.30 26.89 27.27 26.72 11-Aug-05
12-Aug-05 27.08 27.14 26.90 27.05 26.51 12-Aug-05
15-Aug-05 26.98 27.30 26.69 27.13 26.66 15-Aug-05
16-Aug-05 27.03 27.14 26.70 26.74 26.28 16-Aug-05
17-Aug-05 26.82 27.15 26.66 26.95 26.49 17-Aug-05
18-Aug-05 26.89 27.08 26.80 26.82 26.36 18-Aug-05
19-Aug-05 26.85 26.91 26.70 26.72 26.26 19-Aug-05
22-Aug-05 26.79 27.17 26.77 26.91 26.45 22-Aug-05
23-Aug-05 26.84 27.07 26.74 26.87 26.41 23-Aug-05
24-Aug-05 26.84 27.16 26.78 26.81 26.35 24-Aug-05
25-Aug-05 26.90 27.09 26.85 27.03 26.57 25-Aug-05
26-Aug-05 27.06 27.08 26.87 26.97 26.51 26-Aug-05
29-Aug-05 26.81 27.23 26.81 27.15 26.68 29-Aug-05
30-Aug-05 27.06 27.23 26.96 27.18 26.71 30-Aug-05
31-Aug-05 27.17 27.44 27.04 27.38 26.91 31-Aug-05
01-Sep-05 27.38 27.39 27.15 27.20 26.73 01-Sep-05
02-Sep-05 27.21 27.27 26.97 27.02 26.56 02-Sep-05
06-Sep-05 27.06 27.29 26.98 27.00 26.54 06-Sep-05
07-Sep-05 26.94 27.11 26.82 26.85 26.39 07-Sep-05
08-Sep-05 26.80 26.88 26.52 26.61 26.15 08-Sep-05
09-Sep-05 26.62 26.82 26.53 26.58 26.12 09-Sep-05
12-Sep-05 26.62 26.75 26.52 26.61 26.15 12-Sep-05
13-Sep-05 26.54 26.76 26.37 26.48 26.03 13-Sep-05
14-Sep-05 26.52 26.64 26.30 26.31 25.86 14-Sep-05
15-Sep-05 26.37 26.43 26.22 26.27 25.82 15-Sep-05
16-Sep-05 26.34 26.40 25.97 26.07 25.62 16-Sep-05
19-Sep-05 26.09 26.27 25.86 26.00 25.55 19-Sep-05
20-Sep-05 26.07 26.22 25.69 25.84 25.40 20-Sep-05
21-Sep-05 25.80 25.90 25.43 25.49 25.05 21-Sep-05
22-Sep-05 25.49 25.60 25.15 25.34 24.91 22-Sep-05
23-Sep-05 25.31 25.54 25.12 25.27 24.84 23-Sep-05
26-Sep-05 25.40 25.49 25.21 25.27 24.84 26-Sep-05
27-Sep-05 25.37 25.45 25.30 25.34 24.91 27-Sep-05
28-Sep-05 25.39 25.87 25.38 25.67 25.23 28-Sep-05
29-Sep-05 25.61 26.00 25.50 25.94 25.50 29-Sep-05
30-Sep-05 25.91 25.95 25.61 25.73 25.29 30-Sep-05
the HoadleyPriceMatrix function (under utilities) for
verting a price matrix containing non-trading days
missing prices, to a form suitable for input to
dleyBeta, HoadleyCorrel and other functions which
uire as input a price matrix with no missing pricies.
OK
mple 2: Multiple ticker symbol
^GSPC XOM MSFT IBM
ults (Adjusted closing prices)

^GSPC XOM MSFT IBM
1194.44 56.63 24.21 73.33
1204.99 58.41 24.48 73.45
1194.94 57.41 24.20 74.45
1197.87 57.80 24.16 75.99
1211.86 57.69 24.59 77.87
1219.44 58.24 24.78 77.54
1222.21 58.16 25.10 78.60
1223.29 58.04 25.15 79.99
1226.50 56.90 25.45 80.94
1227.92 56.48 25.27 80.90
1221.13 56.47 25.04 80.34
1229.35 57.09 25.64 82.20
1235.20 57.30 25.66 83.08
1227.04 56.22 25.91 82.88
1233.68 57.78 25.17 82.92
1229.03 58.21 25.17 82.69
1231.16 57.88 25.03 82.61
1236.79 57.88 25.20 82.36
1243.72 58.27 25.23 82.29
1234.18 57.06 25.10 81.96
1235.35 57.52 25.40 81.93
1244.12 58.09 26.27 81.81
1245.04 57.30 26.70 82.55
1235.86 56.83 26.77 81.63
1226.42 56.42 27.20 81.86
1223.13 57.15 26.59 82.06
1231.38 57.75 26.80 82.20
1229.13 58.46 26.41 80.74
1237.81 59.48 26.72 81.37
1230.39 59.58 26.51 80.91
1233.87 58.97 26.66 81.21
1219.34 57.65 26.28 80.03
1220.24 56.78 26.49 80.03
1219.02 56.71 26.36 79.88
1219.71 57.40 26.26 81.47
1221.73 57.65 26.45 81.31
1217.59 57.58 26.41 80.75
1209.59 57.46 26.35 80.05
1212.37 57.76 26.57 79.83
1205.10 57.00 26.51 79.13
1212.28 57.01 26.68 80.07
1208.41 57.20 26.71 79.28
1220.33 58.46 26.91 79.36
1221.59 60.20 26.73 78.30
1218.02 59.22 26.56 78.22
1233.39 59.59 26.54 79.76
1236.36 59.98 26.39 79.72
1231.67 59.82 26.15 79.54
1241.48 61.68 26.12 80.17
1240.56 61.02 26.15 80.21
1231.20 60.38 26.03 79.49
1227.16 60.97 25.86 79.22
1227.73 60.96 25.82 78.76
1237.91 62.17 25.62 79.08
1231.02 63.07 25.55 78.19
1221.34 62.98 25.40 77.47
1210.20 63.41 25.05 76.35
1214.62 63.42 24.91 76.99
1215.29 62.29 24.84 76.78
1215.63 63.05 24.84 76.20
1215.66 63.06 24.91 76.77
1216.89 63.14 25.23 78.26
1227.68 63.24 25.50 79.11
1228.81 62.01 25.29 78.97
1
0
D
W
M
HoadleyRateCon
Converts a rate or yield from one compounding
frequency to another.
eg quarterly to continuously compounded.
Help Index
Example
Inputs
Rate to be converted 10.000%
source_frequ 4
target_frequ 0
Results
Converted rate: #MACRO?
Converted back to original rate: #MACRO?
HoadleyForwardRate
Returns the forward rate applying between two
times (as a continuously compounded return).
Help Index
Example
Inputs
T1: time (eg years) to start of period 3.0
T2: time to end of period 5.0
R1: zero rate to t1 3.0%
R2: zero rate to t2 4.0%
Result
Forward rate #MACRO?
HoadleyZeroRate
Given the zero rate to the start of T1 and the forward
rate between T1 and T2, this function returns the
implied zero rate to the end of T2.
Help Index
Example
Inputs Results
Estimated Convert
forward Years Implied back to
T1: Period T2: Period rate for from zero forward
Start End period start rates rates
0 1 1.00% 1 ### ###

1 2 1.00% 2 ### ###
2 3 2.00% 3 ### ###
3 4 3.50% 4 ### ###
4 5 4.00% 5 ### ###
5 6 4.00% 6 ### ###
6 7 4.00% 7 ### ###
HoadleyInterpolation
Returns a single "Y" value for a required "X" value given a set of
known "X" and "Y" values using cubic spline or linear interpolation.
Help Index
Example
Inputs
Known_Xs Known_Ys
0.500 3.00%
1.000 2.00%
2.000 1.25%
4.000 1.90%
7.000 2.00%
Results
Cubic Spline Linear Interpolation
Required_X Interpolated Y Interpolated Y 3.50%
0.25 #MACRO? K
0.50 #MACRO? #MACRO? 3.00%
1.00 #MACRO? #MACRO? C
1.50 #MACRO? #MACRO? 2.50% L
2.50 #MACRO? #MACRO? 2.00%
3.50 #MACRO? #MACRO? 1.50%
4.50 #MACRO? #MACRO? 1.00%
5.50 #MACRO? #MACRO? 0.50%
0.00%
0.00 1.00 2.00 3.00 4.00 5.00 6.00
7.50 #MACRO?
polation
Known
Cubic Sline
Linear
4.00 5.00 6.00 7.00 8.00

HoadleyDivCon
Converts a schedule of discrete dividends to a continuously
compounded dividend yield
Help Index
Example
Inputs
Deal_date 15-Dec-06
Expiry Date 13-Jun-07
Spot 63.80
Risk free rate 5.75%
Dividends Amt Ex-div

Dividend 2 2.00 01-May-07
Results
Effective dividend yield #MACRO?
Assuming a strike of 60.00 and a volatility of 20%:

Valuation of European call using discrete dividends #MACRO?
Valuation of European call using dividend yield #MACRO?
HoadleyDivAdjustVol
Returns a volatility which has been adjusted to reduce mispricing associated with
the escrowed dividend model under certain conditions. The volatility can then be
used in option pricing functions when pricing European options with discrete dividends.
Help
Example
Inputs
Spot 100.00
Volatility 30.0%
Days 400
Risk_free_rate 6%

Dividend 1 1.50 5
Dividend 2 2.00 200
Dividend 3 2.00 390
Strike 100.00
Results Adj Vol

Adjusted volatility ###
European American
Calls Puts Calls Puts
Option value: No adjustment ### ### ### ###
Option value: With volatility adjustment ### ### ### ###
For more accurate American valuation, see the
HoadleyDivAdjustVolTS function
HoadleyDivAdjustVolTS
Returns a volatility term structure which has been adjusted to reduce mispricing associated
with the escrowed dividend model under certain conditions. The volatility term structure can
then be used in the HoadleyTrinomialTS function when pricing either European or American
options with discrete dividends.
Note that the HoadleyTrinomialTS function is only available under a commercial license.
Help
Example
Inputs
Spot 100.00
Volatility 30.0%
Days 400
Risk_free_rate 0 6%

Dividend 1 4.00 5
Dividend 2 5.00 200
Dividend 3 6.00 300
Strike 100.00
Results Year Adj vol

Volatility adjustment term structure ### ###
(used as input to the HoadleyTrinomialTS function) ### ###
### ###
### ###
### ###
### ###
### ###
Adjusted volatility using HoadleyDivAdjust ###
European American
Calls Puts Calls Puts
Option value: No adjustment ### ### ### ###
With vol adjust using HoadleyDivAdjustVol ### ### ### ###
With vol adjust using HoadleyDivAdjustVolTS ### ### ### ###
qHoadleyPriceMatrix
Converts a matrix of historical closing prices to a form required
by HoadleyBeta, HoadleyCorrel and other functions which require
a complete data set (ie with no missing prices)
Help Index
Example
Inputs Results 1: Using the function on the worksheet

Date ^GSPC XOM
Method: 2 ### #MACRO? #MACRO?
### #MACRO? #MACRO?
Date ^GSPC XOM MSDT IBM ### #MACRO? #MACRO?
01-Jul-05 1194.44 58.03 74.49 ### #MACRO? #MACRO?
02-Jul-05 1193.46 57.05 24.70 74.50 ### #MACRO? #MACRO?
03-Jul-05 ### #MACRO? #MACRO?
04-Jul-05 ### #MACRO? #MACRO?
05-Jul-05 1204.99 59.85 24.91 74.61 ### #MACRO? #MACRO?
06-Jul-05 58.82 24.63 75.63 ### #MACRO? #MACRO?
07-Jul-05 1197.87 24.58 77.19 ### #MACRO? #MACRO?
08-Jul-05 1211.86 59.11 25.02 79.11 ### #MACRO? #MACRO?
09-Jul-05
10-Jul-05 Results 2: Calling function in a VBA module
11-Jul-05 1219.44 59.68 25.22 78.77
12-Jul-05 1222.21 59.60 79.85
13-Jul-05 1223.29 59.47 25.58 81.25
14-Jul-05 1226.50 25.89 82.22
15-Jul-05 1227.92 25.71 82.18 Date ^GSPC XOM
01-Jul-05 1194.44 58.03
= missing prices 02-Jul-05 1193.46 57.05
05-Jul-05 1204.99 59.85
06-Jul-05 1204.99 58.82
07-Jul-05 1197.87 58.82
08-Jul-05 1211.86 59.11
11-Jul-05 1219.44 59.68
12-Jul-05 1222.21 59.60
13-Jul-05 1223.29 59.47
14-Jul-05 1226.50 59.47
15-Jul-05 1227.92 59.47
nction on the worksheet
MSDT IBM
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
#MACRO? #MACRO?
ion in a VBA module
MSDT IBM
24.70 74.49
24.70 74.50
24.91 74.61
24.63 75.63
24.58 77.19
25.02 79.11
25.22 78.77
25.22 79.85
25.58 81.25
25.89 82.22
25.71 82.18
0
1
2
3
HoadleyCheckPD
Checks that a matrix (correlation, covariance) is positive definite.
The VaR simulation component requires positive definite matrices in order to
generate correlated scenarios using the Cholesky decomposition.
Help Index
Example
Inputs and Results
Positive
Matrix definite
Positive definite 1.0 0.5

0.5 4.0 #MACRO?
Not positive definite 1.0 2.0

2.0 4.0 #MACRO?
HoadleyCorrelSim
Runs a correlated simulation for two or more assets.
Help Index
Examples
Example 1 - Simulation of daily prices: Inputs Example 2 - Simulation of call prices: Inputs
Asset 1 Asset 2 Asset 3
Asset_prices 100.00 10.00 25.00 Asset_prices
Dividend_yields 5.0% 3.0% 2.5% Dividend_yields
Volatilities 25.0% 30.0% 15.0% Volatilities
Corr_matrix Corr_matrix
Asset 1 1.0 0.5 0.3 Asset 1
Asset 2 1.0 -0.2 Asset 2
Asset 3 1.0 Asset 3
Risk_free_rate 5.50% Risk_free_rate

Days 500 Days
Example 1: Verification of results: Strikes:

500 days of simulated correlated prices are generated below. Iterations
If the simulation has worked correctly then the volatilities of
the data measured by the HoadleyHistoricVolatility function
should be close to the volatilities used in the simulation, and Example 2: Results
the correlation of the generated prices as measured by the Using the HoadleyCorrelSim function to simulate
HoadleyCorrel function should be close to the correlation European calls proves that the prices generated
matrix used in the simulation. distributed as they converge to the Black-Schole
as the number of iterations increases.
Volatilities of simulated prices: ### ### ###
Simulated Euro call prices
Black-Scholes prices
Correlation of simulated prices: Asset 1 Asset 2 Asset 3
Asset 1 ### ### ###
Asset 2 ### ### ### Example 3 - Simulation of a spread option: In
Asset 3 ### ### ### Price_1
Price_2
Example 1: Correlated daily prices: Strike
Asset 1 Asset 2 Asset 3 Days
100.00 10.00 25.00 Volatility_1
99.61 10.11 25.14 Volatility_2
99.37 10.18 25.15 Risk_free_rate
99.96 9.93 25.36 Div_yield_1
101.38 10.17 25.14 Div_yield_2
103.44 10.27 25.49 Correlation
104.41 10.25 25.59
100.79 9.92 25.51 Iterations
101.24 9.75 25.65
99.32 9.56 25.94
99.54 9.54 26.42 Example 3: Results
97.74 9.17 26.03 This example shows how the function can be use
96.15 9.01 26.41 option values that depend on the correlation betw
96.33 9.14 26.09 more assets.
97.00 8.97 26.16
97.24 8.97 26.23 Simulated spread call option
97.44 8.94 26.32 Value using the HoadleySpreadOption function
99.52 9.03 26.24
100.14 9.19 26.29
101.83 9.41 26.55
103.53 9.42 26.66
103.68 9.48 26.80
105.64 9.64 26.76
106.42 9.87 26.61
105.28 9.78 26.58
103.55 9.46 26.54
103.30 9.33 26.69
101.59 9.23 26.79
100.39 9.04 27.15
100.40 9.14 27.27
100.69 9.12 27.26
98.52 9.11 27.24
100.04 9.42 27.11
99.64 9.42 26.98
100.19 9.22 27.09
99.57 9.06 27.02
99.50 9.29 26.99
99.21 9.25 26.99
98.75 9.40 26.50
96.79 9.53 26.24
98.08 9.59 26.49
96.87 9.39 26.48
97.72 9.30 26.67
98.21 9.25 26.88
100.17 9.57 26.96
99.57 9.51 26.86
100.92 9.75 27.10
101.95 9.77 27.17
101.13 9.71 27.07
100.92 9.92 26.86
102.31 9.90 26.99
103.53 9.96 27.17
103.99 9.89 27.33
106.57 10.04 27.59
108.42 10.17 27.47
106.21 10.09 27.50
106.11 10.35 27.24
105.74 10.21 27.36
104.71 9.98 27.26
107.23 10.29 27.22
108.43 10.40 26.82
106.76 10.08 26.90
105.77 9.88 27.42
106.00 10.07 27.31
106.98 10.06 27.61
105.61 10.03 27.51
105.96 10.28 27.34
105.61 10.14 27.47
102.67 9.79 26.90
104.21 9.82 27.24
102.41 9.91 26.80
102.24 10.08 26.62
102.88 10.04 26.81
102.29 9.89 27.19
102.46 9.87 27.33
103.01 10.13 27.22
102.48 10.14 27.10
100.62 10.17 27.07
102.50 10.29 26.88
104.36 10.53 26.97
104.67 10.60 27.05
105.36 10.71 26.68
106.45 10.87 26.67
107.78 10.97 26.81
110.18 11.26 27.00
109.39 11.24 27.04
109.53 11.05 27.30
107.83 11.03 27.15
108.36 10.85 27.35
108.27 10.91 27.33
107.65 10.76 27.25
107.44 10.73 27.18
107.34 10.73 27.32
104.58 10.51 27.23
103.98 10.44 27.15
106.71 10.51 27.23
107.03 10.70 27.08
106.58 10.65 26.89
106.71 10.73 26.98
106.39 11.19 26.80
107.66 11.24 26.85
105.84 11.02 26.73
105.46 11.00 26.62
105.46 11.19 26.43
106.79 11.12 26.59
106.55 10.90 26.50
105.43 10.92 26.72
110.00 10.98 26.90
110.94 11.11 26.93
111.16 11.07 26.98
111.82 11.11 26.92
114.42 11.43 26.84
113.30 11.45 26.68
114.31 11.56 26.62
114.34 11.61 26.52
114.36 11.69 26.56
114.24 11.84 26.65
113.97 12.29 26.19
114.35 12.49 26.50
115.31 12.67 26.20
114.31 12.28 26.29
114.76 11.94 26.88
113.25 11.93 26.60
113.22 11.70 26.58
112.68 11.96 26.52
113.33 11.85 26.67
112.74 11.81 26.56
111.26 11.60 26.59
109.41 11.34 26.65
110.99 11.42 27.01
110.63 11.33 26.75
109.75 11.08 26.83
109.33 11.01 26.74
109.65 11.17 26.69
109.36 11.20 26.48
109.07 11.23 26.68
109.13 11.30 27.09
110.70 11.66 27.13
112.57 11.86 27.19
114.69 11.99 27.15
116.86 11.94 27.16
115.94 11.95 27.01
116.30 12.14 26.80
117.26 11.97 26.88
118.19 11.94 27.13
120.07 12.27 26.87
118.19 11.97 26.87
119.76 12.08 26.80
119.77 12.07 26.82
116.84 11.83 26.81
116.40 11.63 27.26
117.28 11.50 27.16
116.47 11.46 27.04
116.00 11.29 27.14
119.07 11.47 27.44
116.55 11.10 27.85
117.42 11.07 28.04
119.49 11.20 27.60
121.60 11.16 27.93
123.76 11.30 27.92
127.01 11.29 28.31
126.84 11.18 28.44
127.03 10.95 28.39
124.86 10.81 28.45
123.38 10.82 29.01
123.98 10.89 28.82
124.67 10.78 28.69
127.01 10.59 28.89
126.64 10.42 28.94
126.33 10.46 29.29
127.55 10.53 29.39
126.02 10.47 28.97
130.53 10.46 29.48
129.82 10.48 29.42
129.81 10.35 29.68
126.67 9.87 29.97
127.41 9.96 30.00
126.46 9.90 30.12
124.53 9.81 29.83
123.63 9.53 30.19
126.39 9.76 29.92
128.24 9.97 30.24
127.62 9.96 30.21
125.75 9.99 30.28
126.32 9.90 30.53
128.25 9.93 30.83
130.06 10.19 30.65
129.85 10.18 30.62
127.78 9.96 30.13
128.81 9.76 30.63
131.80 9.87 30.83
133.05 10.19 30.73
133.45 10.16 30.80
133.84 10.25 30.63
133.38 10.16 30.36
133.91 10.01 30.65
136.73 10.05 30.53
136.02 10.09 31.03
131.01 9.90 30.56
130.21 9.97 30.26
129.82 9.80 30.44
128.90 9.76 30.61
129.81 9.66 30.68
131.74 9.78 30.48
131.63 9.54 30.94
132.86 9.57 30.92
135.07 9.82 31.20
138.35 10.12 31.58
138.46 10.06 31.71
139.43 10.04 31.70
142.28 10.18 31.91
142.78 10.13 31.86
142.25 10.01 31.55
146.10 10.30 31.78
145.09 10.14 31.91
147.83 10.28 32.13
149.20 10.38 32.16
151.02 10.32 32.19
149.19 10.51 31.80
149.71 10.47 31.73
154.01 10.61 32.04
153.59 10.84 31.95
152.67 10.69 31.95
152.15 10.84 31.87
153.44 10.80 32.08
152.11 10.80 31.78
151.51 10.75 31.77
153.85 10.76 31.87
153.50 10.97 31.97
153.15 11.03 31.69
154.75 11.16 31.31
151.17 10.94 31.18
154.70 10.96 31.22
154.82 10.68 31.42
152.43 10.52 31.70
151.96 10.69 31.49
147.21 10.48 31.13
148.10 10.76 30.94
146.93 10.48 30.93
147.31 10.65 30.94
146.17 10.32 31.18
148.63 10.40 31.13
150.89 10.58 30.88
153.14 10.60 30.76
152.25 10.62 30.90
151.27 10.45 30.58
149.95 10.40 30.27
154.06 10.51 30.18
154.74 10.52 30.16
152.81 10.17 30.25
153.30 10.03 30.56
152.53 10.00 30.13
152.73 9.95 29.98
154.37 9.79 30.08
154.35 9.76 30.07
155.80 9.81 29.99
154.89 9.82 29.85
153.68 9.81 29.48
153.38 9.77 29.20
155.70 9.81 29.15
158.42 9.86 29.66
154.85 9.73 29.10
156.77 9.57 29.32
157.64 9.68 29.19
159.88 9.83 29.39
158.03 9.96 29.24
159.74 10.03 29.55
161.42 9.95 29.59
161.42 9.88 29.57
161.61 9.73 29.64
164.23 9.75 29.72
162.69 9.58 29.74
161.71 9.60 29.88
159.60 9.49 29.54
160.64 9.42 29.60
160.06 9.37 29.57
162.09 9.45 29.59
161.48 9.34 29.59
162.30 9.36 29.46
167.08 9.58 29.20
170.21 9.74 29.66
169.87 9.61 29.79
166.37 9.63 29.39
166.43 9.68 29.35
165.24 9.75 29.04
164.68 9.90 29.22
164.17 9.91 29.27
163.81 9.75 29.32
161.57 9.62 28.86
166.98 9.71 29.19
168.53 9.82 29.52
167.70 9.81 29.39
167.47 9.83 29.43
168.20 9.87 29.52
168.49 9.89 29.82
171.10 10.08 29.45
169.95 10.10 29.27
168.99 10.19 29.12
171.85 10.22 29.25
172.61 10.14 29.51
175.24 10.24 29.27
175.29 10.13 29.32
180.90 10.27 29.68
182.19 10.42 29.33
184.82 10.63 29.46
186.08 11.17 29.18
189.10 11.40 28.90
187.19 11.37 28.88
188.45 11.52 28.92
185.28 11.55 28.85
188.63 11.67 29.11
191.20 11.52 29.29
188.71 11.34 29.14
188.40 11.48 28.80
187.22 11.64 28.74
186.48 11.39 28.85
186.88 11.26 28.98
188.01 11.13 29.35
187.64 11.10 29.63
182.83 11.03 29.63
181.39 10.92 29.89
181.62 11.01 30.07
182.18 11.20 29.95
180.84 11.26 29.77
178.53 11.06 29.93
176.53 10.85 29.67
178.46 10.77 29.33
180.03 10.52 29.55
180.08 10.77 29.15
179.96 10.68 28.87
178.60 10.57 28.72
177.90 10.47 28.91
177.95 10.44 28.80
178.66 10.46 28.87
181.43 10.51 29.02
181.22 10.79 28.81
181.05 10.78 28.95
182.14 10.64 29.07
180.39 10.80 28.77
179.64 10.79 28.80
183.63 10.87 28.81
184.40 10.85 29.74
183.63 10.61 29.59
181.65 10.25 30.00
178.26 10.06 30.13
177.03 9.98 30.18
177.06 9.95 30.08
177.59 9.88 30.06
177.11 9.79 30.23
175.13 9.81 30.32
175.89 9.82 30.31
177.96 9.94 30.33
179.38 10.03 30.61
177.34 9.96 30.26
177.05 9.94 30.23
175.64 9.88 30.24
171.41 9.71 29.97
172.31 9.70 30.14
171.01 9.65 30.17
171.51 9.66 29.96
173.60 9.77 29.79
176.57 9.92 30.01
175.42 9.93 30.11
176.64 9.91 29.83
176.05 10.05 29.46
172.36 9.72 29.93
174.61 9.78 29.95
173.56 9.45 29.90
174.83 9.49 29.35
178.19 9.55 29.79
176.70 9.56 30.03
176.77 9.76 29.94
174.16 10.10 29.65
172.03 10.13 29.39
172.43 10.00 29.62
172.34 10.01 29.32
169.77 9.91 29.36
169.80 9.83 29.38
168.32 9.71 29.74
170.08 9.90 29.70
173.02 9.95 30.10
175.04 10.04 30.38
176.73 10.03 30.62
177.37 10.11 30.55
171.37 9.63 30.49
173.07 9.48 30.48
171.10 9.31 30.48
169.98 9.08 30.80
170.31 9.11 30.70
171.77 9.16 30.89
170.79 9.11 30.70
163.69 8.78 30.39
165.13 8.66 30.71
166.71 8.49 30.96
164.27 8.52 30.56
165.90 8.67 30.88
168.90 8.81 31.24
169.11 8.89 31.22
169.18 9.03 31.21
165.92 8.83 31.58
167.55 8.93 31.56
166.64 9.00 31.40
165.29 8.99 31.14
167.33 8.90 31.65
168.64 9.13 31.87
167.19 9.36 31.15
166.26 9.30 31.52
165.82 9.46 31.05
164.64 9.28 30.86
163.28 9.05 30.88
160.17 9.14 30.45
162.59 9.18 30.83
164.33 9.20 31.02
165.62 9.32 31.04
168.35 9.45 30.87
169.03 9.31 31.03
169.97 9.37 31.00
165.24 9.00 31.08
166.55 9.37 30.63
168.47 9.31 30.90
164.46 9.17 30.71
162.92 9.22 30.70
165.16 9.33 30.72
165.55 9.47 30.19
166.94 9.47 30.06
169.76 9.51 30.04
172.11 9.77 30.02
172.74 10.07 29.67
173.44 10.05 29.71
174.02 10.07 29.82
171.44 10.08 30.17
171.33 10.00 30.36
171.28 9.84 30.60
168.54 9.90 30.45
167.16 9.98 30.42
168.06 9.99 30.45
171.18 9.95 30.93
172.57 10.05 31.08
171.07 10.30 30.74
168.10 10.21 30.88
170.53 10.27 30.83
168.63 10.13 31.21
165.72 10.03 31.27
165.88 10.09 31.70
160.54 10.09 31.34
158.57 10.34 31.02
156.64 10.18 31.11
153.16 10.23 30.71
154.08 10.02 30.83
156.06 9.96 30.77
154.78 9.91 30.93
157.58 10.05 30.85
159.73 10.21 30.55
159.11 10.18 30.42
157.16 10.32 30.21
156.69 10.31 30.03
156.32 10.31 29.95
156.68 10.45 29.87
155.96 10.28 29.86
156.30 10.40 30.05
154.73 10.24 30.22
153.58 10.31 29.76
154.19 10.43 29.38
156.01 10.64 29.15
158.50 10.71 29.13
156.73 10.72 28.89
155.37 11.03 28.77
152.52 11.03 28.42
153.92 11.13 28.44
153.51 11.24 28.20
154.67 11.43 28.27
152.96 11.59 27.83
152.77 11.53 27.99
150.00 11.54 27.76
148.98 11.47 27.68
144.82 11.12 27.91
144.88 11.18 28.22
141.91 10.93 28.17
142.65 11.08 28.09
145.23 11.30 28.20
145.77 11.43 28.22
141.93 11.30 27.79
141.96 11.35 27.79
138.84 11.36 27.73
136.88 11.34 27.98
136.08 11.31 28.35
132.69 11.17 28.10
131.42 11.03 28.07
128.86 10.92 28.00
128.57 10.76 27.69
127.57 10.71 27.61
124.65 10.54 27.71
124.24 10.35 27.86
122.66 10.01 27.91
121.52 9.96 27.99
120.16 9.85 28.13
119.06 9.80 27.91
121.52 9.85 28.09
117.67 9.88 28.14
118.92 10.02 28.17
119.73 10.41 27.69
ation of call prices: Inputs
100.00 10.00 25.00
5.0% 3.0% 2.5%
25.0% 30.0% 15.0%
1.0 0.5 0.3

1.0 -0.2
1.0
5.50%
322
101.00 10.20 15.05

50,000
orrelSim function to simulate the value of

es that the prices generated are lognormally
onverge to the Black-Scholes prices
rations increases.

8.76 1.09 10.12
### ### ###
ation of a spread option: Inputs

103
100
2
325
20%
30%
5%
2%
5%
1 0.43
1
50,000
s how the function can be used to simulate

epend on the correlation between two or
12.18
adleySpreadOption function ###

Samples and Instructions

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###

Interest rate derivatives and convertible bonds

Employee stock options

Historical volatility, correlation, and price distribution

Hedging & portfolio insurance; trading profitability

Futures & variance swaps

Value at Risk (VaRtools)

Portfolio asset allocation, optimization & simulation

relation, and price distribution

urance; trading profitability

n, optimization & simulation

Hoadley Trading & Investment Tools Web Site

Download the Options Strategy Evaluation Tool (OSET)

Dividend_details: Amt Ex-div

Results Calc type Value

Dividends Amt Ex Div

Binomial steps 100

Results Calc Type Value

Example with user function in VBA module:

Used from a VBA module: #VALUE!

Results Calc Type Value

Current option price COP #MACRO?

Results Calc Type Value

Current option price COP #MACRO?

Dividend Details Amt Ex-div

Term Stucture Years Rate Div Yield

Dividend details Amt Days to Ex

Implied Volatility (using above price) IV #MACRO?

This can be demonstrated by changing the pricing_model and dividend_type

See Help for more information.

Volatility term structure Years Volatility

Yield Term Stucture Years RF Rate Div Yield

Dividend details Amt Days to Ex

Example 2: Both risk free and risky rates specified

Yield Term Stucture Years RF Rate Div Yield Risky Rate

Dividend details Amt Days to Ex

Results Calc Type Value

Implied Volatility (using above price) IV #MACRO?

See comments on the HoadleyBinomialTS sample sheet regarding

The HoadleyBinomialTS function will return the same results as the

See Help for additional information.

Results Calc Type Value

Skewness (0ptional) -0.5 20%

Results - Calculation of volatility smile

Results 1: Calculation of volatility smile using Black-76 equivalent volatility

Results 2: Using HoadleySABRCalibrate to recover VolVol and correlation

Results Calc Type

Black-76 equivalent volatility

Option value P Value using SABR

Delta D Delta using SABR

Gamma G Gamma using SABR

Vega V Vega using SABR

Theta T Theta using SABR

Rho (Futures option) R Rho using SABR

methods (by definition)

Option Type Call

Market Inputs SABR vs Black-Scholes

This example is the S&P 500 index option chain (SPX)

The implied volatility (column C) was calculated by

At the time this snapshot was taken volatility ATM

The chart shows that the SABR model provides a

The deltas near the money are significantly different

The SABR model, providing a self-consistent model

The deltas near the money are significantly different