SPX (1990-2012) - Long Straddle, Strangle & Deep OTM
ANNUAL RETURNS Straddle Straddle SMA Strangle Strangle SMA S&P 500 T-‐Bonds Average Return 23.27% 24.45% 40.13% 40.98% 9.76% 5.18% Return Vol. 26.04% 31.46% 39.68% 40.37% 15.08% 1.69% Negative Return Years 2 2 1 2 4 0 Positive Return Years 21 21 22 21 19 23 Positive Return % 91.30% 91.30% 95.65% 91.30% 82.61% 100.00% Max Win 117.00% 148.67% 178.97% 187.62% 30.02% 8.55% Max Loss -‐7.81% -‐6.83% -‐9.31% -‐2.52% -‐42.28% 1.80% vs. S&P500 Straddle Straddle SMA Strangle Strangle SMA S&P 500 T-‐Bonds Underperform 7 8 4 4 -‐ -‐ Outperformed 16 15 19 19 -‐ -‐ Average Underperformance -‐10.34% -‐9.95% -‐11.50% -‐10.44% -‐ -‐ Average Outperformance 23.95% 27.83% 35.95% 36.47% -‐ -‐ RISK MEASURES Straddle Normal Straddle SMA Strangle Normal Strangle SMA S&P500 T-‐Bonds Covariance (0.01634) (0.02359) (0.02629) (0.02824) -‐ -‐ Var(S&P 500) 0.02274 0.02274 0.02274 0.02274 -‐ -‐ Beta (0.71849) (1.03735) (1.15597) (1.24171) -‐ -‐ AlphaM 0.21396 0.24039 0.40263 0.41508 -‐ -‐ Sharpe Ratio 0.695091984 0.61269432 0.880953138 0.887142158 -‐ -‐ Variation Coeficient 1.118763214 1.286726041 0.9887625 0.984883533 -‐ -‐
TYPE I REGIME Dates ID Duration (days) Daily VIX Avg. vs. Historical Daily Vol of Vol. % Sample Months Marzo 1991 -‐ Noviembre 1996 Periodo 1 1676 14.69 -‐28% 5.8% 28.9% 73 Enero 2003 -‐ Julio 2007 Periodo 2 958 13.91 -‐31% 5.7% 16.5% 42 Febrero 2010 -‐ Junio 2011 Periodo 3 133 17.79 -‐12% 6.3% 2.3% 6 Febrero 2012 -‐ Diciembre 2012* Periodo 4 216 17.50 -‐14% 6.1% 3.7% 9 TOTAL 2983 130 TYPE II REGIME Dates Event Duration (days) Daily VIX Avg. vs. Historical Daily Vol of Vol. % Sample Months Junio -‐ Octubre 1990 Mercado de Inmobiliario y de Capital Japón 106 24.50 21% 8.7% 1.8% 5 Agosto -‐ Octubre 1997 Crisis Asiatica 72 25.46 25% 6.2% 1.2% 3 Junio -‐ Septiembre 1998 Default de Russia, LTCM 71 34.09 68% 8.1% 1.2% 3 Septiembre -‐ Noviembre 2000 Burbuja DotCom 70 25.41 25% 5.7% 1.2% 3 Enero -‐ Abril 2001 Debacle Bolsa Post DotCom 81 26.38 30% 5.6% 1.4% 4 Septiembre -‐ Octubre 2001 Septiembre 11 44 32.39 59% 6.8% 0.8% 2 Mayo -‐ Octubre 2002 Debacle Bolsa USA & CAN 147 30.56 50% 6.2% 2.5% 6 Agosto 2008 -‐ Mayo 2009 Crisis Financiera del 2008-‐2009 207 44.03 117% 8.1% 3.6% 9 Marzo -‐ Julio 2010 Crisis Deuda Europea 47 30.50 50% 11.9% 0.8% 2 Junio -‐ Septiembre 2011 Grecia, Debacle Bolsa Global 107 32.26 59% 10.1% 1.8% 5 TOTAL 952 41
STRADDLE NORMAL Year Portfolio -‐ Initial Value Portfolio -‐ Final Value Return STD Dev. M STD Dev Annualized Excess Return Sharpe S&P500 RiskFree Return vs. S&P500 1990 1.00 1.24 21.26% 7.28% 25.22% 12.71% 0.50401 0.35% 8.55% 20.91% 1991 1.12 1.34 18.67% 12.03% 41.66% 10.81% 0.25942 19.29% 7.86% -‐0.62% 1992 0.94 1.45 43.59% 19.05% 66.01% 36.58% 0.55424 6.38% 7.01% 37.21% 1993 1.45 1.70 15.77% 7.18% 24.87% 9.89% 0.39778 6.12% 5.87% 9.65% 1994 1.54 1.57 2.14% 15.79% 54.69% -‐4.94% (0.09038) -‐4.75% 7.08% 6.89% 1995 1.77 2.75 44.34% 29.81% 103.25% 37.76% 0.36572 26.95% 6.58% 17.39% 1996 2.78 3.96 35.33% 27.88% 96.58% 28.89% 0.29918 15.24% 6.44% 20.09% 1997 3.58 5.20 37.36% 15.65% 54.21% 31.01% 0.57206 21.06% 6.35% 16.30% 1998 4.57 6.19 30.29% 13.90% 48.15% 25.03% 0.51980 22.63% 5.26% 7.66% 1999 5.69 6.24 9.27% 10.29% 35.64% 3.64% 0.10206 13.82% 5.64% -‐4.55% 2000 6.31 6.36 0.84% 11.22% 38.86% -‐5.19% (0.13364) -‐5.47% 6.03% 6.31% 2001 6.98 7.59 8.39% 16.62% 57.57% 3.38% 0.05864 17.38% 5.02% -‐8.99% 2002 7.65 12.27 47.28% 26.82% 92.92% 42.67% 0.45920 25.04% 4.61% 22.24% 2003 11.94 11.24 -‐6.03% 18.05% 62.51% -‐10.04% (0.16062) 26.19% 4.02% -‐32.22% 2004 11.45 10.59 -‐7.81% 14.32% 49.60% -‐12.08% (0.24365) 6.90% 4.27% -‐14.71% 2005 14.17 14.46 2.04% 26.25% 90.92% -‐2.25% (0.02479) 5.52% 4.29% -‐3.48% 2006 11.66 15.16 26.20% 15.90% 55.08% 21.41% 0.38862 10.25% 4.79% 15.95% 2007 15.03 16.15 7.18% 16.46% 57.00% 2.55% 0.04476 2.07% 4.63% 5.11% 2008 11.90 38.33 117.00% 119.28% 413.18% 113.33% 0.27429 -‐42.28% 3.67% 159.28% 2009 38.66 48.25 22.17% 34.15% 118.29% 18.91% 0.15990 30.02% 3.26% -‐7.85% 2010 45.91 54.34 16.86% 13.31% 46.11% 13.64% 0.29593 15.80% 3.21% 1.06% 2011 58.88 81.96 33.07% 32.79% 113.59% 30.29% 0.26662 -‐2.24% 2.79% 35.31% 2012 78.64 86.98 10.08% 19.19% 66.47% 8.28% 0.12458 8.31% 1.80% 1.77% Average 23.27% 22.75% 78.80% 18.10% 0.22 9.76% 5.18% 13.51%
STRADDLE + MOVING AVERAGE Year Portfolio -‐ Initial Value Portfolio -‐ Final Value Return STD Dev. M STD Devl Annualsed Excess Return Sharpe S&P500 RiskFree Return vs. S&P500 1990 1.00 1.21 19.41% 6.72% 25.20% 10.86% 0.43093 0.35% 8.55% 0.1906 1991 1.11 1.33 17.82% 10.93% 31.40% 9.96% 0.31721 19.30% 7.86% -‐0.0147 1992 0.93 1.44 43.27% 18.77% 69.90% 36.26% 0.51868 6.40% 7.01% 0.3689 1993 1.44 1.68 15.77% 7.18% 16.10% 9.90% 0.61502 6.10% 5.87% 0.0965 1994 1.52 1.58 3.93% 19.04% 77.40% -‐3.15% (0.04073) -‐4.80% 7.08% 0.0868 1995 1.77 2.74 43.26% 28.89% 85.10% 36.68% 0.43107 27.00% 6.58% 0.1631 1996 2.77 3.91 34.59% 28.68% 118.60% 28.15% 0.23739 15.20% 6.44% 0.1935 1997 3.53 5.08 36.36% 17.53% 63.90% 30.01% 0.46971 21.10% 6.35% 0.153 1998 4.40 6.08 32.17% 26.23% 79.80% 26.91% 0.33722 22.60% 5.26% 0.0954 1999 5.78 6.14 6.00% 8.25% 39.20% 0.36% 0.00916 13.80% 5.64% -‐0.0782 2000 6.21 6.27 0.92% 11.15% 46.00% -‐5.11% (0.11114) -‐5.50% 6.03% 0.0639 2001 6.88 7.47 8.25% 18.22% 97.90% 3.23% 0.03303 17.40% 5.02% -‐0.0913 2002 7.52 12.33 49.44% 36.48% 161.10% 44.83% 0.27831 25.00% 4.61% 0.244 2003 12.04 11.39 -‐5.51% 17.70% 54.60% -‐9.53% (0.17448) 26.20% 4.02% -‐0.317 2004 11.60 10.84 -‐6.83% 14.25% 57.60% -‐11.10% (0.19268) 6.90% 4.27% -‐0.1373 2005 14.34 14.54 1.33% 25.85% 98.50% -‐2.96% (0.03000) 5.50% 4.29% -‐0.0419 2006 11.86 15.37 25.97% 15.52% 61.20% 21.18% 0.34609 10.30% 4.79% 0.1572 2007 15.25 16.35 6.96% 25.31% 66.60% 2.33% 0.03501 2.10% 4.63% 0.0489 2008 10.03 44.38 148.67% 185.63% 556.50% 145.00% 0.26056 -‐42.30% 3.67% 1.9095 2009 45.24 56.08 21.48% 32.56% 60.30% 18.22% 0.30216 30.00% 3.26% -‐0.0854 2010 53.96 61.32 12.79% 14.84% 78.70% 9.58% 0.12172 15.80% 3.21% -‐0.0301 2011 66.17 90.27 31.05% 35.97% 165.80% 28.26% 0.17043 -‐2.20% 2.79% 0.3329 2012 85.95 100.16 15.30% 21.25% 132.80% 13.50% 0.10168 8.30% 1.80% 0.0699 Average 24.45% 27.26% 97.57% 19.28% 19.42% 9.76% 5.18% 14.69%
STRANGLE NORMAL Year Portfolio -‐ Initial Value Portfolio -‐ Final Value Return STD Dev. M STD Devl Annualsed Excess Return Sharpe S&P500 RiskFree Return vs. S&P500 1990 1.00 1.22 19.58% 17.71% 61.36% 11.03% 0.17979 0.35% 8.55% 19.23% 1991 1.21 1.53 23.74% 15.76% 54.60% 15.88% 0.29090 19.29% 7.86% 4.45% 1992 1.25 1.63 26.22% 13.66% 47.33% 19.21% 0.40578 6.38% 7.01% 19.84% 1993 1.63 1.78 9.00% 1.42% 4.92% 3.13% 0.63662 6.12% 5.87% 2.88% 1994 1.78 2.42 30.76% 12.25% 42.44% 23.68% 0.55789 -‐4.75% 7.08% 35.51% 1995 2.18 4.98 82.57% 35.49% 122.96% 75.99% 0.61801 26.95% 6.58% 55.62% 1996 4.98 11.01 79.29% 29.06% 100.68% 72.85% 0.72366 15.24% 6.44% 64.05% 1997 9.17 16.45 58.40% 31.95% 110.67% 52.04% 0.47023 21.06% 6.35% 37.34% 1998 16.45 21.30 25.83% 16.62% 57.56% 20.56% 0.35727 22.63% 5.26% 3.20% 1999 20.14 18.35 -‐9.31% 16.33% 56.56% -‐14.94% (0.26423) 13.82% 5.64% -‐23.13% 2000 22.95 29.49 25.08% 17.34% 60.07% 19.05% 0.31719 -‐5.47% 6.03% 30.55% 2001 32.44 63.20 66.70% 58.27% 201.84% 61.68% 0.30560 17.38% 5.02% 49.32% 2002 62.35 131.09 74.31% 50.29% 174.20% 69.69% 0.40008 25.04% 4.61% 49.27% 2003 116.09 137.44 16.89% 13.31% 46.10% 12.87% 0.27918 26.19% 4.02% -‐9.30% 2004 125.09 144.73 14.58% 16.00% 55.42% 10.31% 0.18604 6.90% 4.27% 7.68% 2005 197.57 198.62 0.53% 22.99% 79.64% -‐3.76% (0.04721) 5.52% 4.29% -‐4.99% 2006 162.51 215.27 28.12% 24.67% 85.47% 23.32% 0.27290 10.25% 4.79% 17.87% 2007 241.19 302.03 22.49% 21.90% 75.87% 17.86% 0.23546 2.07% 4.63% 20.42% 2008 191.21 1,144.93 178.97% 100.83% 349.29% 175.31% 0.50189 -‐42.28% 3.67% 221.25% 2009 1,144.93 1,418.45 21.42% 22.61% 78.33% 18.17% 0.23193 30.02% 3.26% -‐8.60% 2010 1,337.19 1,691.16 23.48% 16.81% 58.22% 20.27% 0.34815 15.80% 3.21% 7.68% 2011 1,710.81 3,553.35 73.09% 75.58% 261.83% 70.31% 0.26852 -‐2.24% 2.79% 75.33% 2012 3,354.16 4,587.84 31.32% 24.11% 83.53% 29.52% 0.35338 8.31% 1.80% 23.01% Average 40.13% 28.48% 98.65% 34.96% 33.17% 9.76% 5.18% 30.37%
STRANGLE CON MEDIA MOVIL SIMPLE Year Portfolio -‐ Initial Value Portfolio -‐ Final Value Return STD Dev. M STD Devl Annualsed Excess Return Sharpe S&P500 RiskFree Return vs. S&P500 1990 1.00 1.20 18.61% 25.23% 87.41% 10.06% 0.11508 0.35% 8.55% 0.182592079 1991 1.19 1.51 23.73% 15.65% 54.21% 15.87% 0.29279 19.29% 7.86% 0.044414263 1992 1.24 1.61 26.42% 13.51% 46.79% 19.41% 0.41494 6.38% 7.01% 0.20044989 1993 1.61 1.77 9.01% 1.42% 4.92% 3.14% 0.63737 6.12% 5.87% 0.028901966 1994 1.77 2.47 33.45% 15.70% 54.39% 26.37% 0.48483 -‐4.75% 7.08% 0.382009836 1995 2.22 5.00 80.94% 31.61% 109.49% 74.36% 0.67913 26.95% 6.58% 0.539868157 1996 5.00 11.00 78.90% 31.83% 110.25% 72.46% 0.65725 15.24% 6.44% 0.636590484 1997 9.19 16.33 57.51% 31.03% 107.49% 51.15% 0.47591 21.06% 6.35% 0.364470514 1998 16.33 21.63 28.14% 23.13% 80.13% 22.87% 0.28544 22.63% 5.26% 0.055058319 1999 21.89 21.35 -‐2.52% 32.90% 113.97% -‐8.16% (0.07159) 13.82% 5.64% -‐ 0.163430409 2000 26.70 34.13 24.57% 16.98% 58.81% 18.54% 0.31523 -‐5.47% 6.03% 0.300393467 2001 37.55 71.66 64.64% 57.80% 200.22% 59.62% 0.29780 17.38% 5.02% 0.472618321 2002 70.56 151.36 76.32% 63.39% 219.59% 71.71% 0.32658 25.04% 4.61% 0.512842015 2003 135.98 159.49 15.94% 12.24% 42.40% 11.93% 0.28138 26.19% 4.02% -‐ 0.102456814 2004 144.92 169.05 15.40% 15.77% 54.64% 11.12% 0.20359 6.90% 4.27% 0.084984572 2005 228.14 227.67 -‐0.20% 22.52% 78.00% -‐4.49% (0.05761) 5.52% 4.29% -‐ 0.057238185 2006 189.27 247.47 26.81% 24.03% 83.23% 22.02% 0.26453 10.25% 4.79% 0.165576684 2007 277.18 361.37 26.52% 28.18% 97.62% 21.89% 0.22428 2.07% 4.63% 0.244527314 2008 230.32 1,503.62 187.62% 133.83% 463.60% 183.95% 0.39679 -‐42.28% 3.67% 2.298967154 2009 1,503.62 1,847.19 20.58% 20.32% 70.40% 17.32% 0.24606 30.02% 3.26% -‐ 0.094409638 2010 1,736.15 2,173.53 22.47% 35.33% 122.38% 19.25% 0.15733 15.80% 3.21% 0.066679 2011 2,165.34 4,221.99 66.77% 82.74% 286.63% 63.99% 0.22324 -‐2.24% 2.79% 0.690126553 2012 3,957.71 5,965.05 41.03% 29.73% 103.00% 39.22% 0.38079 8.31% 1.80% 0.327153058 Average 40.98% 33.25% 115.20% 35.81% 31.44% 9.76% 5.18% 31.22%
MEDIDAS DE RIESGO DE RETORNOS MENSUALES Straddle-‐ Normal Straddle-‐ SMA Strangle-‐ Normal Strangle-‐ SMA S&P500 T-‐Bond Average Returns 4.20% 5.40% 6.58% 7.67% 0.53% 6.53% Return Volatility 30.92% 43.65% 35.38% 42.45% 4.35% 1.41% Losing Months 120 125 138 135 104 0 Winning Months 136 134 119 121 171 276 Inactive Months 20 17 19 20 1 0 Average Losing Month -‐11.81% -‐12.19% -‐10.64% -‐12.10% -‐3.76% 0.00% Average Winning Month 18.95% 22.50% 27.60% 31.01% 3.15% 6.53% Max Winning Month 401.23% 629.57% 333.56% 450.67% 10.58% 9.56% Max Losing Month -‐58.61% -‐72.14% -‐36.69% -‐43.00% -‐18.56% 3.40% Covariance -‐0.01% -‐0.01% -‐0.09% -‐0.11% -‐ -‐ Var(S&P 500) 0.19% 0.19% 0.19% 0.19% -‐ -‐ Beta (0.0535) (0.0612) (0.4908) (0.5819) -‐ -‐ AlphaM 0.0366 0.0485 0.0603 0.0712 -‐ -‐ Sharpe Ratio 0.118754846 0.111535668 0.170955438 0.16829438 -‐ -‐ Variation Coeficient 7.356365149 8.083590771 5.377159806 5.530600301 -‐ -‐ Ilustración 1 Tabla Correlaciones Estrategias RETORNOS MENSUALES -‐ TABLA CORRELACIONES -‐ Straddle N Straddle SMA Strangle N Strangle SMA OTM N OTM SMA S&P500 Straddle SMA 0.981 * * * * * * Strangle N 0.798 0.787 * * * * * Strangle SMA 0.845 0.846 0.982 * * * * OTM N 0.708 0.72 0.765 0.789 * * * OTM SMA 0.341 0.332 0.526 0.51 0.811 * * S&P500 0.033 0.019 -‐0.007 -‐0.015 0.048 0.02 * T-‐Bond10Y -‐0.08 -‐0.092 -‐0.055 -‐0.063 -‐0.078 -‐0.064 0.033
MONTHLY RETURNS Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 1990/01/02 0.00% 0.00% 0.00% 0.00% 1991/01/02 -‐9.79% -‐0.81% -‐4.47% 4.07% 1992/01/02 -‐30.11% -‐18.18% -‐6.18% -‐2.01% 1990/02/01 0.00% 0.00% 0.00% 0.85% 1991/02/01 -‐9.30% -‐6.71% -‐3.00% 6.51% 1992/02/01 44.91% 27.67% -‐4.75% 0.95% 1990/03/01 10.00% 10.00% 0.00% 2.40% 1991/03/01 29.29% 29.15% 59.07% 2.20% 1992/03/02 10.00% 0.00% 0.00% -‐2.21% 1990/04/02 -‐9.28% -‐1.81% 5.35% -‐2.73% 1991/04/01 -‐18.18% -‐18.18% -‐57.88% 0.03% 1992/04/01 -‐18.18% 0.00% -‐4.09% 2.75% 1990/05/01 -‐0.80% -‐18.62% -‐ 10.61% 8.80% 1991/05/01 11.06% 14.11% 175.10% 3.79% 1992/05/01 9.64% 10.00% -‐3.41% 0.10% 1990/06/01 -‐3.54% 17.96% 6.89% -‐0.89% 1991/06/02 3.69% 3.53% -‐3.43% -‐4.91% 1992/06/01 3.23% -‐15.10% -‐2.08% -‐1.75% 1990/07/02 13.40% -‐2.51% -‐5.60% -‐0.52% 1991/07/01 0.00% 10.05% 0.00% 4.39% 1992/07/01 10.00% 19.61% -‐1.95% 3.86% 1990/08/02 0.00% -‐6.35% -‐ 15.25% -‐9.91% 1991/09/03 0.00% -‐18.18% -‐4.95% 1.95% 1992/08/03 -‐18.18% -‐10.00% 54.35% -‐2.43% 1990/09/04 0.00% 38.01% 72.80% -‐5.25% 1991/10/01 0.00% 19.33% 0.00% -‐1.93% 1992/09/01 12.49% -‐4.16% -‐9.61% 0.91% 1990/10/01 0.00% -‐18.18% -‐ 33.20% -‐0.67% 1991/10/01 10.00% -‐18.18% -‐4.86% 1.18% 1992/10/02 0.00% -‐6.77% -‐9.48% 0.21% 1990/11/01 -‐0.04% 24.09% 67.48% 5.82% 1991/11/01 -‐2.07% 8.53% -‐4.42% -‐4.49% 1992/11/01 0.00% 9.57% 7.66% 2.98% 1990/12/03 14.27% -‐8.32% 4.02% 2.45% 1991/12/02 1.27% 14.11% 0.99% 10.58% 1992/12/01 3.48% 3.44% 3.08% 1.01% 1993/01/04 0.00% 0.00% 0.00% 0.70% 1994/01/03 -‐9.49% 0.00% -‐12.04% 3.20% 1995/01/02 12.19% -‐9.87% -‐5.54% 2.40% 1993/02/01 0.00% 0.00% -‐4.76% 1.04% 1994/02/02 0.91% 0.00% -‐5.24% -‐3.05% 1995/02/01 10.00% 8.25% 10.00% 3.54% 1993/03/01 0.00% 0.00% 0.00% 1.85% 1994/03/01 8.00% 10.00% 5.22% -‐4.68% 1995/03/01 0.58% 2.66% 1.39% 2.70% 1993/04/01 0.00% 3.04% -‐6.27% -‐2.57% 1994/04/01 -‐25.35% -‐18.18% -‐6.72% 1.15% 1995/04/03 4.64% 9.91% 30.88% 2.76% 1993/05/03 0.00% 0.00% -‐2.90% 2.25% 1994/05/02 26.98% 19.23% 8.51% 1.23% 1995/05/01 -‐29.73% -‐21.07% 19.19% 3.57% 1993/06/01 3.28% 3.20% -‐1.78% 0.08% 1994/06/01 3.18% 3.27% -‐1.06% -‐2.72% 1995/06/01 72.06% 84.58% 58.32% 2.11% 1993/07/01 0.00% 0.00% -‐4.46% -‐0.53% 1994/07/01 0.00% 0.00% 5.34% 3.10% 1995/07/02 -‐8.42% -‐24.50% -‐56.54% 3.13% 1993/08/02 10.00% 0.00% -‐6.00% 3.39% 1994/08/01 0.00% 0.00% -‐6.05% 3.69% 1995/08/01 7.90% 71.27% 321.54% -‐0.03% 1993/09/01 -‐8.96% 0.00% -‐5.94% -‐1.00% 1994/09/02 12.30% 17.02% -‐4.91% -‐2.72% 1995/09/01 7.13% -‐17.54% -‐7.47% 3.93% 1993/10/01 -‐10.13% -‐0.20% -‐0.61% 1.92% 1994/10/03 -‐18.18% -‐18.18% 0.00% 2.06% 1995/10/03 3.92% 11.70% 5.33% -‐0.50% 1993/11/01 11.03% 0.00% -‐5.95% -‐1.30% 1994/11/01 22.50% 12.57% -‐4.37% -‐4.03% 1995/11/01 -‐34.19% -‐17.49% -‐23.77% 4.02% 1993/12/01 13.44% 3.11% 10.56% 1.00% 1994/12/01 -‐14.85% 13.88% 0.54% 1.22% 1995/12/01 53.74% 30.60% 39.84% 1.73%
MONTHLY RETURNS Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 1996/01/02 1.15% 0.00% -‐3.27% 3.21% 1997/01/02 -‐9.62% -‐16.68% -‐2.00% 5.95% 1998/01/02 -‐12.07% 0.00% -‐5.10% 1.01% 1996/02/01 -‐8.25% 0.00% 7.17% 0.69% 1997/02/03 1.17% -‐23.81% -‐6.52% 0.59% 1998/02/02 -‐7.62% 0.00% -‐2.70% 6.81% 1996/03/01 26.64% 30.65% -‐10.00% 0.79% 1997/03/03 0.45% 91.48% 6.09% -‐4.35% 1998/03/02 19.46% 10.00% 3.21% 4.87% 1996/04/02 -‐18.18% -‐8.64% -‐8.69% 1.33% 1997/04/01 6.29% -‐2.83% -‐9.05% 5.68% 1998/04/01 -‐14.85% -‐5.75% -‐2.61% 0.90% 1996/05/01 9.50% -‐1.29% 5.48% 2.26% 1997/05/01 -‐15.71% -‐17.96% 5.64% 5.69% 1998/05/01 13.79% -‐0.13% -‐3.53% -‐1.90% 1996/06/03 12.95% 13.35% 13.77% 0.23% 1997/06/02 23.99% 29.82% 65.57% 4.25% 1998/06/01 0.75% 8.48% 2.44% 3.87% 1996/07/01 -‐17.87% -‐11.72% -‐18.18% -‐4.68% 1997/07/01 12.47% 4.67% 54.33% 7.52% 1998/07/01 1.42% -‐12.14% -‐19.10% -‐1.17% 1996/08/01 23.24% 17.75% 33.10% 1.86% 1997/08/01 -‐21.67% 0.92% -‐45.82% -‐5.92% 1998/08/03 -‐7.64% -‐14.96% 2.46% -‐ 15.76% 1996/09/03 -‐10.10% -‐3.68% -‐18.18% 5.28% 1997/09/02 25.91% 20.44% 296.72% 5.18% 1998/09/01 27.49% 48.45% 98.21% 6.05% 1996/10/01 10.64% 0.64% 2.01% 2.58% 1997/10/01 -‐6.93% -‐23.70% -‐22.52% -‐3.51% 1998/10/01 -‐9.59% -‐7.80% -‐28.20% 7.72% 1996/11/01 -‐31.15% -‐14.61% -‐6.13% 7.08% 1997/11/03 23.00% 19.45% 46.05% 4.36% 1998/11/02 -‐0.45% -‐0.58% 38.10% 5.74% 1996/12/02 74.73% 92.27% -‐2.76% -‐2.17% 1997/12/01 1.36% 2.43% -‐2.06% 1.56% 1998/12/01 16.93% 13.36% 18.56% 5.48% 1999/01/04 -‐8.17% -‐5.46% -‐19.87% 4.02% 2000/01/03 1.11% 25.07% 6.77% -‐5.22% 2001/01/02 9.79% 10.00% 49.53% 3.41% 1999/02/01 3.77% 2.71% 109.87% -‐3.28% 2000/02/01 -‐1.78% 10.00% -‐18.50% -‐2.03% 2001/02/01 -‐1.31% -‐0.68% -‐7.95% -‐9.68% 1999/03/01 -‐3.71% -‐5.98% -‐9.78% 3.81% 2000/03/01 -‐8.08% -‐18.18% -‐23.83% 9.23% 2001/03/01 -‐9.55% -‐14.32% -‐12.00% -‐6.64% 1999/04/01 -‐16.18% -‐20.65% -‐25.87% 3.72% 2000/04/03 23.29% 16.19% 39.30% -‐3.13% 2001/04/02 -‐17.50% -‐9.51% 75.82% 7.40% 1999/05/02 24.39% 38.53% 39.15% -‐2.53% 2000/05/01 -‐10.46% 0.00% 0.00% -‐2.22% 2001/05/01 37.03% 49.95% -‐13.68% 0.51% 1999/06/01 2.64% 11.82% 12.08% 5.30% 2000/06/01 11.84% 13.08% 0.74% 2.37% 2001/06/01 2.67% 0.02% 10.48% -‐2.54% 1999/07/01 0.00% -‐10.00% -‐10.00% -‐3.26% 2000/07/03 -‐10.40% -‐10.83% 5.08% -‐1.65% 2001/07/02 10.00% -‐5.83% -‐13.11% -‐1.08% 1999/08/02 0.00% -‐6.78% -‐11.72% -‐0.63% 2000/08/01 -‐2.34% 7.33% -‐2.03% 5.89% 2001/08/01 -‐18.18% -‐2.27% 17.16% -‐6.63% 1999/09/01 10.00% 8.56% 1.14% -‐2.90% 2000/09/01 -‐0.27% -‐10.12% -‐13.54% -‐5.50% 2001/09/04 11.92% -‐33.35% -‐29.72% -‐8.53% 1999/10/01 -‐10.00% 10.00% 4.98% 6.07% 2000/10/02 -‐12.81% -‐12.79% -‐13.94% -‐0.50% 2001/10/01 10.00% 189.31% 103.10% 1.79% 1999/11/01 0.61% -‐1.69% -‐18.18% 1.89% 2000/11/01 15.56% 41.33% 81.35% -‐8.35% 2001/11/01 -‐18.18% -‐10.00% 50.21% 7.25% 1999/12/01 3.02% -‐22.06% 31.96% 5.62% 2000/12/01 2.89% 2.51% -‐20.32% 0.40% 2001/12/03 15.80% 5.62% -‐8.64% 0.75%
MONTHLY RETURNS Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 2002/01/02 0.67% -‐1.34% -‐1.67% -‐1.57% 2003/01/02 -‐2.66% -‐11.44% -‐0.04% -‐2.78% 2004/01/02 1.84% -‐8.99% 3.79% 1.71% 2002/02/01 0.00% -‐2.61% -‐5.72% -‐2.10% 2003/02/03 -‐8.04% -‐7.61% -‐26.33% -‐1.71% 2004/02/02 -‐9.16% -‐9.91% -‐1.94% 1.21% 2002/03/01 10.00% -‐0.61% 4.74% 3.61% 2003/03/03 -‐9.68% 12.84% 27.66% 0.83% 2004/03/01 12.86% 24.45% -‐24.91% -‐1.65% 2002/04/01 -‐9.98% -‐1.51% -‐6.77% -‐6.34% 2003/04/01 20.29% 10.00% -‐0.63% 7.79% 2004/04/01 11.48% 20.62% 23.31% -‐1.69% 2002/05/01 7.88% 9.16% 5.61% -‐0.91% 2003/05/01 -‐26.93% -‐2.65% 8.34% 4.96% 2004/05/03 -‐10.00% -‐18.18% -‐10.00% 1.20% 2002/06/03 1.70% 2.25% 14.63% -‐7.52% 2003/06/02 31.61% -‐14.61% -‐36.59% 1.13% 2004/06/01 11.26% 12.78% -‐2.71% 1.78% 2002/07/01 -‐14.51% -‐28.34% -‐24.98% -‐8.23% 2003/07/01 10.00% 31.00% 129.55% 1.61% 2004/07/01 -‐3.15% 9.72% 10.09% -‐3.49% 2002/08/01 53.24% 165.59% 355.30% 0.49% 2003/08/01 -‐1.49% -‐1.98% 10.00% 1.77% 2004/08/02 -‐22.48% -‐18.18% -‐28.10% 0.23% 2002/09/03 -‐7.36% -‐1.06% 1.21% -‐ 11.66% 2003/09/02 -‐16.61% -‐15.10% -‐18.18% -‐1.20% 2004/09/01 31.39% 24.39% 13.63% 0.93% 2002/10/01 -‐26.98% -‐25.57% -‐36.64% 8.29% 2003/10/01 7.09% 9.08% 2.81% 5.35% 2004/10/01 -‐2.57% -‐2.71% 3.40% 1.39% 2002/11/01 66.11% 25.82% 53.97% 5.55% 2003/11/03 -‐17.84% 3.85% -‐6.15% 0.71% 2004/11/01 -‐8.98% -‐9.35% -‐10.00% 3.79% 2002/12/02 0.34% 12.05% 6.88% -‐6.22% 2003/12/01 23.25% 0.56% -‐2.49% 4.95% 2004/12/01 -‐7.62% -‐5.85% -‐11.88% 3.19% 2005/01/03 33.82% 36.51% 21.96% -‐2.56% 2006/01/03 -‐19.36% -‐18.18% -‐1.20% 2.51% 2007/01/03 -‐0.81% 12.04% -‐1.44% 1.40% 2005/02/01 -‐4.85% -‐12.84% -‐12.12% 1.87% 2006/02/01 13.40% 9.71% 5.18% 0.05% 2007/02/01 -‐19.42% -‐2.95% -‐10.85% -‐2.21% 2005/03/01 -‐1.48% 8.44% 4.63% -‐1.93% 2006/03/01 -‐0.49% 10.80% -‐4.27% 1.10% 2007/03/01 16.30% -‐13.04% -‐24.57% 0.99% 2005/04/01 -‐27.39% -‐22.09% -‐20.88% -‐2.03% 2006/04/03 8.96% -‐2.52% -‐6.84% 1.21% 2007/04/02 -‐3.28% 5.05% 99.02% 4.24% 2005/05/02 41.38% 34.02% 37.83% 2.95% 2006/05/01 -‐1.43% -‐2.89% -‐1.87% -‐3.14% 2007/05/01 -‐11.44% -‐9.30% 11.34% 3.20% 2005/06/01 0.50% -‐0.09% -‐7.99% -‐0.01% 2006/06/01 -‐27.62% -‐27.54% -‐29.13% 0.01% 2007/06/01 39.44% 47.26% 14.35% -‐1.80% 2005/07/01 -‐4.57% -‐3.93% 1.86% 3.53% 2006/07/03 32.53% 58.66% 93.83% 0.51% 2007/07/02 -‐2.84% -‐24.69% -‐29.86% -‐3.25% 2005/08/01 -‐26.92% -‐25.51% -‐23.05% -‐1.13% 2006/08/01 10.00% -‐1.41% -‐1.62% 2.11% 2007/08/01 -‐14.69% -‐1.46% 9.01% 1.28% 2005/09/01 45.83% 35.80% 53.40% 0.69% 2006/09/01 -‐1.61% -‐7.51% -‐6.00% 2.43% 2007/09/04 18.31% 47.52% 132.96% 3.52% 2005/10/03 -‐22.75% -‐21.45% -‐18.18% -‐1.79% 2006/10/02 -‐9.05% -‐3.20% -‐4.00% 3.10% 2007/10/01 -‐1.29% -‐1.10% -‐5.21% 1.47% 2005/11/01 30.81% 17.24% 1.97% 3.46% 2006/11/01 0.54% -‐19.11% -‐6.16% 1.63% 2007/11/01 -‐7.57% 0.28% -‐6.58% -‐4.50% 2005/12/01 2.67% 13.93% -‐4.50% -‐0.10% 2006/12/01 12.95% 40.26% 122.56% 1.25% 2007/12/03 7.29% -‐2.61% 17.02% -‐0.87%
MONTHLY RETURNS Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 Date Straddle Strangle OTM S&P500 2008/01/02 -‐26.35% -‐36.69% -‐29.86% -‐6.31% 2009/01/02 0.85% 0.00% 8.61% -‐8.95% 2010/01/04 -‐4.85% -‐5.73% 4.26% -‐3.77% 2008/02/01 44.81% 93.93% 36.21% -‐3.54% 2009/02/02 0.00% 10.00% -‐3.28% -‐ 11.65% 2010/02/01 -‐2.03% 6.15% -‐10.00% 2.81% 2008/03/03 -‐14.24% -‐10.00% 7.76% -‐0.60% 2009/03/02 10.00% -‐0.76% -‐7.10% 8.20% 2010/03/01 6.63% 0.00% 2.02% 5.71% 2008/04/01 17.55% 10.51% -‐3.33% 4.65% 2009/04/01 -‐0.09% -‐1.20% 60.07% 8.98% 2010/04/01 -‐21.10% 10.00% -‐0.90% 1.47% 2008/05/01 -‐3.26% -‐3.39% -‐9.14% 1.06% 2009/05/01 -‐8.08% -‐19.20% -‐ 21.09% 5.17% 2010/05/03 18.35% -‐18.18% 9.77% -‐8.55% 2008/06/02 0.04% -‐0.33% 8.92% -‐8.99% 2009/06/01 11.51% 32.83% 61.80% 0.02% 2010/06/01 16.78% 42.14% 176.50% -‐5.54% 2008/07/01 -‐6.53% -‐4.42% 7.06% -‐0.99% 2009/07/01 -‐3.61% -‐5.79% -‐ 12.19% 7.15% 2010/07/01 8.30% -‐1.95% -‐5.78% 6.65% 2008/08/01 4.64% -‐4.20% -‐15.07% 1.21% 2009/08/03 5.22% -‐0.96% 45.99% 3.30% 2010/08/02 -‐1.28% -‐4.04% -‐0.06% -‐4.86% 2008/09/02 -‐4.81% -‐7.86% -‐15.31% -‐9.52% 2009/09/01 -‐1.63% 6.86% -‐ 38.15% 3.51% 2010/09/01 -‐3.45% -‐4.46% -‐4.05% 8.39% 2008/10/01 18.08% 21.07% 100.09% -‐ 18.56% 2009/10/01 -‐0.37% -‐7.72% 90.94% -‐2.00% 2010/10/01 0.21% -‐0.69% 22.89% 3.62% 2008/11/03 -‐58.61% -‐27.21% 23.71% -‐7.78% 2009/11/02 -‐45.41% -‐26.54% -‐ 17.15% 5.58% 2010/11/01 -‐17.42% -‐16.31% -‐20.98% -‐0.23% 2008/12/01 401.23% 333.56% 709.78% 0.78% 2009/12/01 104.22% 58.35% 21.71% 1.76% 2010/12/01 21.62% 24.65% 45.11% 6.33% 2011/01/03 8.36% 1.16% 9.66% 2.24% 2012/01/03 -‐4.05% -‐5.61% -‐4.73% 4.27% 2011/02/01 -‐24.25% -‐36.55% -‐27.49% 3.15% 2012/02/01 -‐8.94% -‐12.07% -‐0.22% 3.98% 2011/03/01 43.90% 93.66% 89.76% -‐0.10% 2012/03/01 6.15% 5.12% -‐ 36.84% 3.09% 2011/04/01 -‐7.32% -‐2.60% -‐6.36% 2.81% 2012/04/02 -‐22.09% -‐14.78% 63.80% -‐0.75% 2011/05/02 4.08% -‐2.89% -‐8.93% -‐1.36% 2012/05/01 42.54% 40.42% -‐ 18.18% -‐6.47% 2011/06/01 -‐4.56% -‐7.17% -‐8.21% -‐1.84% 2012/06/01 -‐18.12% -‐13.12% 91.47% 3.88% 2011/07/01 -‐4.47% -‐9.25% 115.21% -‐2.17% 2012/07/02 27.72% 33.52% -‐4.87% 1.25% 2011/08/01 -‐27.95% -‐34.52% -‐26.59% -‐5.85% 2012/08/01 -‐14.85% -‐3.09% 3.89% 1.96% 2011/09/01 92.03% 236.58% 260.56% -‐7.45% 2012/09/04 8.09% -‐27.77% -‐ 29.26% 2.39% 2011/10/03 -‐11.31% 0.52% -‐18.18% 10.23% 2012/10/01 8.80% 46.64% 37.18% -‐2.00% 2011/11/01 19.59% -‐2.29% 37.41% -‐0.51% 2012/11/01 -‐10.48% -‐10.00% 4.40% 0.28% 2011/12/01 -‐1.04% -‐2.02% 0.18% 0.85% 2012/12/03 9.91% 15.40% 7.91% 0.70%
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