Spreadsheet: john_griffith__15596__optiongrid2
Sheet: option_grid

P-RANGE=> | Basis | PortFolio | 0 | 5.8 | 5.85 | 5.9 | 5.95 | 6 | 6.05 | 6.1 | 6.15 | 6.2 | 6.25 | 6.3 | 6.35 | 6.4 | 6.45 | 6.5 | 6.55 | 6.6 | 6.65 | 6.7 | 6.75 | 6.8 | 6.85 | 6.9 | 6.95 | 7 | 7.05 | 7.1 | 7.15 | 7.2 | 7.25 | 7.3 | 7.35 | 7.4 | 7.45 | 7.5 | 7.55 | 7.6 | 7.65 | 7.7 | 7.75 | 7.8 | 7.85 | 7.9 | 7.95 | 8 | 8.05 | 8.1 | 8.15 | 8.2 | 8.25 | 8.3 | 8.35 | 8.4 | 8.45 | 8.5 | 8.55 | 8.6 | 8.65 | 8.7 | 8.75 | 8.8 | 8.85 | 8.9 | 8.95 | 9 | 9.05 | 9.1 | 9.15 | 9.2 | 9.25 | 9.3 | 9.35 | 9.4 | 9.45 | 9.5 | 9.55 | 9.6 | 9.65 | 9.7 | 9.75 | 9.8 | 9.85 | 9.9 | 9.95 | 10 | 10.05 | 10.1 | 10.15 | 10.2 | 10.25
------------ | Swaps |  | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO | TO
Ref Period |  |  | 5.799 | 5.849 | 5.899 | 5.949 | 5.999 | 6.049 | 6.099 | 6.149 | 6.199 | 6.249 | 6.299 | 6.349 | 6.399 | 6.449 | 6.499 | 6.549 | 6.599 | 6.649 | 6.699 | 6.749 | 6.799 | 6.849 | 6.899 | 6.949 | 6.999 | 7.049 | 7.099 | 7.149 | 7.199 | 7.249 | 7.299 | 7.349 | 7.399 | 7.449 | 7.499 | 7.549 | 7.599 | 7.649 | 7.699 | 7.749 | 7.799 | 7.849 | 7.899 | 7.949 | 7.999 | 8.049 | 8.099 | 8.149 | 8.199 | 8.249 | 8.299 | 8.349 | 8.399 | 8.449 | 8.499 | 8.549 | 8.599 | 8.649 | 8.699 | 8.749 | 8.799 | 8.849 | 8.899 | 8.949 | 8.999 | 9.049 | 9.099 | 9.149 | 9.199 | 9.249 | 9.299 | 9.349 | 9.399 | 9.449 | 9.499 | 9.549 | 9.599 | 9.649 | 9.699 | 9.749 | 9.799 | 9.849 | 9.899 | 9.949 | 9.999 | 10.049 | 10.099 | 10.149 | 10.199 | 10.249 | 9999
2001-03-01 00:00:00
2001-04-01 00:00:00 |  | 8788.22 | 4923.74 | 317 | 860 | -150 | 108.5 | 200 | 140 | -267 | 63 | 3.5 | 400 | 100 | -547 | -280 | -12 |  | -15 |  | 400 | 50 | 4.98 |  |  | -100 | 1744 |  |  |  | 5 |  | 2.25 |  |  |  | 1070 |  |  |  |  |  |  |  |  |  | 450 |  |  |  |  |  |  |  |  |  | -197.75 |  |  |  |  |  |  |  |  |  | -400 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -140 |  |  |  |  |  | 55
2001-05-01 00:00:00 |  | -697.97 | -4896.11 | 297 | 180 |  | 738.25 |  | 241 | 284.1 | 65 | 53.5 |  |  | 3 |  | 273 |  | -15.5 |  |  | 350 | 5.15 |  |  |  | 555 |  |  |  | 5 |  | 2.33 | 4 |  |  | 300 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 2.33 |  |  |  |  |  |  |  |  |  | 650 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  | 5
2001-06-01 00:00:00 |  | -1077.76 | -3235.24 | 247 | 0 |  | 7.5 | -450 | 140 | 133 | 63 | 3.5 |  |  | 3 |  | 58 |  | -15 |  |  | 50 | 4.98 |  |  |  | 844 |  |  |  | 5 |  | 2.25 | 4 |  |  | 100 |  |  |  |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  |  |  | 2.25 |  |  |  |  |  |  |  |  |  | 150 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 600 |  |  |  |  |  | 5
2001-07-01 00:00:00 |  | 2879.76 | -1240.23 | 247 |  | 250 | 184.7 |  | 141 | 131 | 65 | 3.5 |  |  | 3 |  | 138 |  |  |  |  | 50 | 5.15 |  |  |  | 1338 |  |  |  |  |  | 2.33 | 4 |  |  | 100 |  |  |  |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  |  |  | 2.33 |  |  |  |  |  |  |  |  |  | 650 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 600 |  |  |  |  |  | 5
2001-08-01 00:00:00 |  | -392.78 | -3369.78 | 247 |  |  | -753.3 |  | 141 | 131 | 65 | 3.5 |  |  | 3 |  | 98 |  |  |  |  | 50 | 5.15 |  |  |  | 1323 |  |  |  |  |  | 2.33 | 4 |  |  | 100 |  |  |  |  |  |  |  |  |  | 300 |  |  |  |  |  |  |  |  |  | 2.33 |  |  |  |  |  |  |  |  |  | 650 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 600 |  |  |  |  |  | 5
2001-09-01 00:00:00 |  | 1526.11 | -2071.87 | 247 |  |  | 321 | -50 | 140 | 130 | 63 | 3.5 |  |  | 3 |  | 148 |  |  |  |  | 50 | 4.98 |  |  |  | 1324 |  |  |  |  |  | 2.25 | 4 |  |  | 100 |  |  |  |  |  |  |  |  |  | 150 |  |  |  |  |  |  |  |  |  | 2.25 |  |  |  |  |  |  |  |  |  | 650 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 600 |  |  |  |  |  | -295
2001-10-01 00:00:00 |  | 4099.2 | 909.7 | 247 |  |  | -440.8 |  | 141 | 131 | 65 | 3.5 |  |  | 3 |  | 98 |  |  |  |  | 50 | 5.15 |  |  |  | 1323 |  |  |  |  |  | 2.33 | 4 |  |  | 100 |  |  |  |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  |  |  | 2.33 |  |  |  |  |  |  |  |  |  | 950 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 600 |  |  |  |  |  | -295
2001-11-01 00:00:00 |  | 3127.74 | 3564.76 | 347 |  |  | 364 |  | 130 |  | 3 | 1.5 |  |  | 3 |  | 50 |  |  |  |  |  | 4.98 |  |  |  |  |  |  |  |  |  | 2.25 |  |  |  | -1350 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.25 |  |  |  |  |  |  |  |  |  | 500 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -200 |  |  |  |  |  | -295
2001-12-01 00:00:00 |  | 1784.77 | 2289.28 | 347 |  |  | 390.2 |  | 36 |  | 3 | 1.5 |  |  | 3 |  | 300 |  |  |  |  |  | 5.15 |  |  |  | -100 |  |  |  |  |  | 2.33 |  |  |  | -1350 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.33 |  |  |  |  |  |  |  |  |  | 500 |  |  |  |  |  |  |  |  |  | -250 |  |  |  |  |  |  |  |  |  | -100 |  |  |  |  |  | -295
2002-01-01 00:00:00 |  | 1775.43 | 3137.71 | 100 |  |  | 328 |  |  |  | 3 |  |  |  | 3 |  | 0 |  |  |  |  | 50 |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | -1350 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.72 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -200 |  |  |  |  | -50 | -300
2002-02-01 00:00:00 |  | 1424.35 | 2786.99 | 100 |  |  | 328 |  |  |  | 3 |  |  |  | 3 |  | 0 |  |  |  |  |  |  |  |  |  | -50 |  |  |  |  |  |  |  |  |  | -1350 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.36 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -100 |  |  |  |  |  | -300
2002-03-01 00:00:00 |  | 1625.43 | 3087.71 | 100 |  |  | 328 |  |  |  | 3 |  |  |  | 3 |  | 0 |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | -1350 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3.72 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -300 |  |  |  |  |  | -300
2002-04-01 00:00:00 |  | -1954.6 | -2010.6 |  |  |  | -50 |  |  |  | 3 |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-05-01 00:00:00 |  | -1265.37 | -1321.37 |  |  |  | -50 |  |  |  | 3 |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-06-01 00:00:00 |  | -2069.62 | -2125.62 |  |  |  | -50 |  |  |  | 3 |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-07-01 00:00:00 |  | -1676.27 | -1729.27 |  |  |  | -50 |  |  |  |  |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-08-01 00:00:00 |  | -1476.27 | -1529.27 |  |  |  | -50 |  |  |  |  |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-09-01 00:00:00 |  | -1990.92 | -2043.92 |  |  |  | -50 |  |  |  |  |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-10-01 00:00:00 |  | -988.17 | -1041.17 |  |  |  | -50 |  |  |  |  |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | 50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50
2002-11-01 00:00:00 |  | -1282.92 | -1335.92 |  |  |  |  |  |  |  |  |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | -50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0
2002-12-01 00:00:00 |  | -1706.17 | -1759.17 |  |  |  |  |  |  |  |  |  |  |  | 3 |  |  |  |  |  |  |  |  |  |  |  | -50 |  |  |  |  |  |  |  |  |  | 100 |  |  |  |  |  |  |  |  |  | 0
2003-01-01 00:00:00 |  | -1210.97 | -1260.97 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50 |  |  |  |  |  |  |  |  |  | 100
2003-02-01 00:00:00 |  | -387.07 | -437.07 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50 |  |  |  |  |  |  |  |  |  | 100
2003-03-01 00:00:00 |  | -260.97 | -310.97 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -50 |  |  |  |  |  |  |  |  |  | 100
2003-04-01 00:00:00 |  | 920.33 | 870.33 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-05-01 00:00:00 |  | 927.03 | 877.03 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-06-01 00:00:00 |  | 927.83 | 877.83 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-07-01 00:00:00 |  | 934.53 | 884.53 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-08-01 00:00:00 |  | 934.53 | 884.53 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-09-01 00:00:00 |  | 927.83 | 877.83 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-10-01 00:00:00 |  | 862.03 | 812.03 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-11-01 00:00:00 |  | 55.33 | 5.33 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2003-12-01 00:00:00 |  | 62.03 | 12.03 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-01-01 00:00:00 |  | 176.7 | 126.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-02-01 00:00:00 |  | 358.3 | 308.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-03-01 00:00:00 |  | 376.7 | 326.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-04-01 00:00:00 |  | 367.5 | 317.5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-05-01 00:00:00 |  | 376.7 | 326.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-06-01 00:00:00 |  | 367.5 | 317.5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-07-01 00:00:00 |  | 376.7 | 326.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-08-01 00:00:00 |  | 376.7 | 326.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-09-01 00:00:00 |  | 367.5 | 317.5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-10-01 00:00:00 |  | 376.7 | 326.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-11-01 00:00:00 |  | 367.5 | 317.5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2004-12-01 00:00:00 |  | 376.7 | 326.7 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-01-01 00:00:00 |  | 38.7 | -11.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-02-01 00:00:00 |  | 15.6 | -34.4 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-03-01 00:00:00 |  | 38.7 | -11.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-04-01 00:00:00 |  | 31 | -19 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-05-01 00:00:00 |  | 38.7 | -11.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-06-01 00:00:00 |  | 31 | -19 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-07-01 00:00:00 |  | 38.7 | -11.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-08-01 00:00:00 |  | 38.7 | -11.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-09-01 00:00:00 |  | -209 | -259 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-10-01 00:00:00 |  | -209.3 | -259.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-11-01 00:00:00 |  | -209 | -259 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2005-12-01 00:00:00 |  | -209.3 | -259.3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 50
2006-01-01 00:00:00 |  | -9.3 | -9.3
2006-02-01 00:00:00 |  | -8.4 | -8.4
2006-03-01 00:00:00 |  | -9.3 | -9.3
2006-04-01 00:00:00 |  | -9 | -9
2006-05-01 00:00:00 |  | -9.3 | -9.3
2006-06-01 00:00:00 |  | -9 | -9
2006-07-01 00:00:00 |  | -9.3 | -9.3
2006-08-01 00:00:00 |  | -9.3 | -9.3
2006-09-01 00:00:00 |  | -9 | -9
2006-10-01 00:00:00 |  | -9.3 | -9.3
2006-11-01 00:00:00 |  | -9 | -9
2006-12-01 00:00:00 |  | -9.3 | -9.3
2007-01-01 00:00:00 |  | -9.3 | -9.3
2007-02-01 00:00:00 |  | -8.4 | -8.4
2007-03-01 00:00:00 |  | -9.3 | -9.3
2007-04-01 00:00:00 |  | -9 | -9
2007-05-01 00:00:00 |  | -9.3 | -9.3
2007-06-01 00:00:00 |  | -9 | -9
2007-07-01 00:00:00 |  | -9.3 | -9.3
2007-08-01 00:00:00 |  | -9.3 | -9.3
2007-09-01 00:00:00 |  | -9 | -9
2007-10-01 00:00:00 |  | -9.3 | -9.3
2007-11-01 00:00:00 |  | -9 | -9
2007-12-01 00:00:00 |  | -9.3 | -9.3
2008-01-01 00:00:00