SPX (1990-2012) - Long Straddle, Strangle & Deep OTM

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Information about SPX (1990-2012) - Long Straddle, Strangle & Deep OTM
Finance

Published on March 13, 2014

Author: stefanbolta

Source: slideshare.net

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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