Spreadsheet: errol_mclaughlin_jr__10843__Hedge Strip
Sheet: Results

Hedge Strip |  |  |  |  |  |  |  | Predictive Greeks
Ref | Net |  |  | Opt | OCT | EXG | EXG | Sigma |  | Actual Option Gamma |  |  |  |  |  |  | -0.15 | -0.1 | -0.05 | -0.025 | 0.025 | 0.05 | 0.1
Period | Qty | Futures | Swaps | Delta | Opt | Call | Put | Delta | Charm |  |  |  |  |  |  | ALL DEALS
2001-05-01 00:00:00 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-06-01 00:00:00 | -2444.34975632 | 0 | -2444.34975632 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-07-01 00:00:00 | 331.31895869 | 0 | 331.31895869 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-08-01 00:00:00 | -1211.25616597 | 0 | -1211.25616597 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-09-01 00:00:00 | -244.07353144 | 0 | -244.07353144 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-10-01 00:00:00 | -4267.37305972 | 0 | -4267.37305972 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-11-01 00:00:00 | -1520.28290573 | 0 | -1520.28290573 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-12-01 00:00:00 | -1357.4053291 | 0 | -1357.4053291 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-01-01 00:00:00 | -38.41682144 | 0 | -38.41682144 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-02-01 00:00:00 | -823.25371711 | 0 | -823.25371711 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-03-01 00:00:00 | 959.80525779 | 0 | 959.80525779 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-04-01 00:00:00 | 702.4668534 | 0 | 702.4668534 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-05-01 00:00:00 | 541.14803598 | 0 | 541.14803598 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-06-01 00:00:00 | 869.86734501 | 0 | 869.86734501 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-07-01 00:00:00 | 826.01796348 | 0 | 826.01796348 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-08-01 00:00:00 | 769.47634485 | 0 | 769.47634485 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-09-01 00:00:00 | 1040.21839884 | 0 | 1040.21839884 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-10-01 00:00:00 | 693.58183597 | 0 | 693.58183597 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-11-01 00:00:00 | 365.49554873 | 0 | 365.49554873 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-12-01 00:00:00 | 587.56559633 | 0 | 587.56559633 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-01-01 00:00:00 | 465.2550889 | 0 | 465.2550889 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-02-01 00:00:00 | 317.36186634 | 0 | 317.36186634 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-03-01 00:00:00 | 288.88421656 | 0 | 288.88421656 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-04-01 00:00:00 | 261.44726688 | 0 | 261.44726688 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-05-01 00:00:00 | 262.81962199 | 0 | 262.81962199 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-06-01 00:00:00 | 231.28253047 | 0 | 231.28253047 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-07-01 00:00:00 | 227.54116302 | 0 | 227.54116302 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-08-01 00:00:00 | 222.36233704 | 0 | 222.36233704 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-09-01 00:00:00 | 226.46024845 | 0 | 226.46024845 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-10-01 00:00:00 | 285.90233432 | 0 | 285.90233432 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-11-01 00:00:00 | 417.12763525 | 0 | 417.12763525 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-12-01 00:00:00 | 417.70469965 | 0 | 417.70469965 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-01-01 00:00:00 | -46.08881244 | 0 | -46.08881244 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-02-01 00:00:00 | -54.37859246 | 0 | -54.37859246 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-03-01 00:00:00 | -52.07691279 | 0 | -52.07691279 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-04-01 00:00:00 | -50.59528887 | 0 | -50.59528887 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-05-01 00:00:00 | -49.55935128 | 0 | -49.55935128 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-06-01 00:00:00 | -50.01998407 | 0 | -50.01998407 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-07-01 00:00:00 | -49.81927531 | 0 | -49.81927531 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-08-01 00:00:00 | -49.73347619 | 0 | -49.73347619 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-09-01 00:00:00 | -49.35460763 | 0 | -49.35460763 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-10-01 00:00:00 | -48.84077226 | 0 | -48.84077226 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-11-01 00:00:00 | -51.08169574 | 0 | -51.08169574 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2004-12-01 00:00:00 | -52.56003836 | 0 | -52.56003836 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-01-01 00:00:00 | 32.17594314 | 0 | 32.17594314 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-02-01 00:00:00 | 33.02059403 | 0 | 33.02059403 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-03-01 00:00:00 | 30.81735931 | 0 | 30.81735931 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-04-01 00:00:00 | 30.90011632 | 0 | 30.90011632 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-05-01 00:00:00 | 30.27191156 | 0 | 30.27191156 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-06-01 00:00:00 | 30.99236537 | 0 | 30.99236537 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-07-01 00:00:00 | 30.33496279 | 0 | 30.33496279 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-08-01 00:00:00 | 30.23582639 | 0 | 30.23582639 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-09-01 00:00:00 | 20.22795973 | 0 | 20.22795973 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-10-01 00:00:00 | 19.07750915 | 0 | 19.07750915 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-11-01 00:00:00 | 21.6873905 | 0 | 21.6873905 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2005-12-01 00:00:00 | 22.15555432 | 0 | 22.15555432 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-01-01 00:00:00 | -29.26371412 | 0 | -29.26371412 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-02-01 00:00:00 | -28.89917308 | 0 | -28.89917308 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-03-01 00:00:00 | -28.95455255 | 0 | -28.95455255 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-04-01 00:00:00 | -28.72536425 | 0 | -28.72536425 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-05-01 00:00:00 | -28.63469728 | 0 | -28.63469728 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-06-01 00:00:00 | -28.41218393 | 0 | -28.41218393 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-07-01 00:00:00 | -28.33154886 | 0 | -28.33154886 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-08-01 00:00:00 | -28.18031708 | 0 | -28.18031708 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-09-01 00:00:00 | -27.96442195 | 0 | -27.96442195 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-10-01 00:00:00 | -27.88341278 | 0 | -27.88341278 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-11-01 00:00:00 | -27.66867417 | 0 | -27.66867417 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2006-12-01 00:00:00 | -27.58744294 | 0 | -27.58744294 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-01-01 00:00:00 | -27.43740213 | 0 | -27.43740213 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-02-01 00:00:00 | -27.09808409 | 0 | -27.09808409 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-03-01 00:00:00 | -27.15255128 | 0 | -27.15255128 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-04-01 00:00:00 | -26.94074699 | 0 | -26.94074699 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-05-01 00:00:00 | -26.85905365 | 0 | -26.85905365 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-06-01 00:00:00 | -26.64846255 | 0 | -26.64846255 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-07-01 00:00:00 | -26.56661728 | 0 | -26.56661728 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-08-01 00:00:00 | -26.41842004 | 0 | -26.41842004 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-09-01 00:00:00 | -26.20968766 | 0 | -26.20968766 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-10-01 00:00:00 | -26.12765035 | 0 | -26.12765035 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-11-01 00:00:00 | -25.920169 | 0 | -25.920169 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2007-12-01 00:00:00 | -25.83802857 | 0 | -25.83802857 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-01-01 00:00:00 | -23.84722273 | 0 | -23.84722273 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-02-01 00:00:00 | -23.71130804 | 0 | -23.71130804 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-03-01 00:00:00 | -23.58442558 | 0 | -23.58442558 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-04-01 00:00:00 | -23.449078 | 0 | -23.449078 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-05-01 00:00:00 | -23.31838088 | 0 | -23.31838088 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-06-01 00:00:00 | -23.18676731 | 0 | -23.18676731 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-07-01 00:00:00 | -23.06193773 | 0 | -23.06193773 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-08-01 00:00:00 | -22.93331669 | 0 | -22.93331669 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-09-01 00:00:00 | -22.80507296 | 0 | -22.80507296 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-10-01 00:00:00 | -22.681327 | 0 | -22.681327 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-11-01 00:00:00 | -22.55383076 | 0 | -22.55383076 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2008-12-01 00:00:00 | -22.43081134 | 0 | -22.43081134 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS