Spreadsheet: vkaminski__40916__COD Spread Opt
Sheet: WSPRD

COD on Spread Option Assuming the Spread is Normal
EffDt | 2001-02-01 00:00:00
 |  | 25.03 |  |  |  |  | OUTPUTS
INPUTS |  |  |  |  |  |  | Premium |  | Exercise Probability |  | Option Value
Fwd Spread | Strike | Strike 2 | [NAME]. [NAME] ($) | ExpDt | Call=1/Put=0 |  | Spread | CODSpread | StDev@Exp | Prob. Exercise | CODPremium | Option Value | Volume | PV
10 | -0.05 |  | 0.8735432049619644 | 2001-04-30 00:00:00 | 0 |  |  |  |  |  | 4.55 |  | 125000 | 0.9690679040648111
 |  |  | 0.8518421931007788 |  |  |  |  |  |  |  |  |  | 125000 | 0.9638302977648381
 |  |  | 0.8410822779391658 |  |  |  |  |  |  |  |  |  | 125000 | 0.958485728357807
 |  |  | 0.8180098491167093 |  |  |  |  |  |  |  |  |  | 125000 | 0.953360611388958
 |  |  | 0.7962840504557104 |  |  |  |  |  |  |  |  |  | 125000 | 0.9480900114921679
 |  |  | 0.7854926147850193 |  |  |  |  |  |  |  |  |  | 125000 | 0.9428744072111598
 |  |  | 0.764028552416646 |  |  |  |  |  |  |  |  |  | 125000 | 0.9378597959940346
 |  |  | 0.7641740867580811 |  |  |  |  |  |  |  |  |  | 125000 | 0.9326941745256814
 |  |  | 0.7533418084201855 |  |  |  |  |  |  |  |  |  | 125000 | 0.9277380973678147
 |  |  | 0.7516034053272824 |  |  |  |  |  |  |  |  |  | 125000 | 0.9226178581637395
 |  |  | 0.7407871044427037 |  |  |  |  |  |  |  |  |  | 125000 | 0.9174732065372104
 |  |  | 0.7409073567039579 |  |  |  |  |  |  |  |  |  | 125000 | 0.9128530190930173
 |  |  | 0.7398357635020096 |  |  |  |  |  |  |  |  |  | 125000 | 0.907783372251526
 |  |  | 0.7290128893035882 |  |  |  |  |  |  |  |  |  | 125000 | 0.9029333233316215
 |  |  | 0.729140072492261 |  |  |  |  |  |  |  |  |  | 125000 | 0.8979556551495096
 |  |  | 0.7179898753191842 |  |  |  |  |  |  |  |  |  | 125000 | 0.8931567224983776
 |  |  | 0.7181114214062075 |  |  |  |  |  |  |  |  |  | 125000 | 0.8882051141212505
 |  |  | 0.7072707593441632 |  |  |  |  |  |  |  |  |  | 125000 | 0.8832839702999971
 |  |  | 0.7097443820350143 |  |  |  |  |  |  |  |  |  | 125000 | 0.8785415849565296
 |  |  | 0.7098609498917822 |  |  |  |  |  |  |  |  |  | 125000 | 0.8736569342385431
 |  |  | 0.6989630255690896 |  |  |  |  |  |  |  |  |  | 125000 | 0.868956768580489
 |  |  | 0.7054179266670266 |  |  |  |  |  |  |  |  |  | 125000 | 0.8641007841890104
 |  |  | 0.694413344522079 |  |  |  |  |  |  |  |  |  | 125000 | 0.8592374024598998
 |  |  | 0.6945101806065143 |  |  |  |  |  |  |  |  |  | 125000 | 0.8548652783894947
 |  |  | 0.694617408519985 |  |  |  |  |  |  |  |  |  | 125000 | 0.8500656102590134
 |  |  | 0.6835941541763448 |  |  |  |  |  |  |  |  |  | 125000 | 0.8454692054241677
 |  |  | 0.6836963733011466 |  |  |  |  |  |  |  |  |  | 125000 | 0.8407452927562086
 |  |  | 0.6726634646380526 |  |  |  |  |  |  |  |  |  | 125000 | 0.8361930963748159
 |  |  | 0.6727608312156925 |  |  |  |  |  |  |  |  |  | 125000 | 0.8315063360886895
 |  |  | 0.6617219499487609 |  |  |  |  |  |  |  |  |  | 125000 | 0.8268446150766982
 |  |  | 0.6626176447699111 |  |  |  |  |  |  |  |  |  | 125000 | 0.822351725497831
 |  |  | 0.6627104475554492 |  |  |  |  |  |  |  |  |  | 125000 | 0.817726450988844
 |  |  | 0.6628002696907866 |  |  |  |  |  |  |  |  |  | 125000 | 0.81327334845422
 |  |  | 0.6575891512044852 |  |  |  |  |  |  |  |  |  | 125000 | 0.8086724829558162
 |  |  | 0.65767826360119 |  |  |  |  |  |  |  |  |  | 125000 | 0.804069588789544
 |  |  | 0.6577616382751135 |  |  |  |  |  |  |  |  |  | 125000 | 0.7997834528454739
 |  |  | 0.6578507751832356 |  |  |  |  |  |  |  |  |  | 125000 | 0.7952420092680289
 |  |  | 0.6579370487675564 |  |  |  |  |  |  |  |  |  | 125000 | 0.7908886016241744
 |  |  | 0.646747118923383 |  |  |  |  |  |  |  |  |  | 125000 | 0.7864128120275803
 |  |  | 0.6468290856190492 |  |  |  |  |  |  |  |  |  | 125000 | 0.7820986762190907
 |  |  | 0.6469137959817548 |  |  |  |  |  |  |  |  |  | 125000 | 0.777657932253846
 |  |  | 0.6469985179775386 |  |  |  |  |  |  |  |  |  | 125000 | 0.7732396550915439
 |  |  | 0.6478864725489766 |  |  |  |  |  |  |  |  |  | 125000 | 0.7689810424307513
 |  |  | 0.6366633096547816 |  |  |  |  |  |  |  |  |  | 125000 | 0.764598193560312
 |  |  | 0.6367412483411374 |  |  |  |  |  |  |  |  |  | 125000 | 0.7603776060165184
 |  |  | 0.6424930880216198 |  |  |  |  |  |  |  |  |  | 125000 | 0.7559478769122486
 |  |  | 0.642574414014634 |  |  |  |  |  |  |  |  |  | 125000 | 0.7514622341123565
 |  |  | 0.631229918653684 |  |  |  |  |  |  |  |  |  | 125000 | 0.747425388376367
 |  |  | 0.6313070399133794 |  |  |  |  |  |  |  |  |  | 125000 | 0.7429723126568561
 |  |  | 0.6313816827888494 |  |  |  |  |  |  |  |  |  | 125000 | 0.7386791932067681
 |  |  | 0.6314588234732307 |  |  |  |  |  |  |  |  |  | 125000 | 0.73425983265091
 |  |  | 0.63153348514929 |  |  |  |  |  |  |  |  |  | 125000 | 0.7299993604938055
 |  |  | 0.6201802112438031 |  |  |  |  |  |  |  |  |  | 125000 | 0.7256137544574605
 |  |  | 0.6202533016196392 |  |  |  |  |  |  |  |  |  | 125000 | 0.7212453156762195
 |  |  | 0.6210655854313598 |  |  |  |  |  |  |  |  |  | 125000 | 0.717034147355587
 |  |  | 0.6211387870461604 |  |  |  |  |  |  |  |  |  | 125000 | 0.7127815112290772
 |  |  | 0.6212096359233399 |  |  |  |  |  |  |  |  |  | 125000 | 0.7087347340688562
 |  |  | 0.6152082462194806 |  |  |  |  |  |  |  |  |  | 125000 | 0.7045727433398845
 |  |  | 0.6152781871079211 |  |  |  |  |  |  |  |  |  | 125000 | 0.7004306909285545
 |  |  | 0.6153413666764121 |  |  |  |  |  |  |  |  |  | 125000 | 0.6967065664820621
 |  |  | 0.615411323404745 |  |  |  |  |  |  |  |  |  | 125000 | 0.692602284396994
 |  |  | 0.6154790313901283 |  |  |  |  |  |  |  |  |  | 125000 | 0.688649206193504
 |  |  | 0.6039827454748419 |  |  |  |  |  |  |  |  |  | 125000 | 0.6845837310259255
 |  |  | 0.6040467574410832 |  |  |  |  |  |  |  |  |  | 125000 | 0.6806680879780803
 |  |  | 0.6041129105990398 |  |  |  |  |  |  |  |  |  | 125000 | 0.6766411718769487
 |  |  | 0.6041790713396132 |  |  |  |  |  |  |  |  |  | 125000 | 0.6726337563803797
 |  |  | 0.6049588028073423 |  |  |  |  |  |  |  |  |  | 125000 | 0.6687741192328531
 |  |  | 0.593436273561714 |  |  |  |  |  |  |  |  |  | 125000 | 0.6648048889933138
 |  |  | 0.5934968222627044 |  |  |  |  |  |  |  |  |  | 125000 | 0.6609820854037436
 |  |  | 0.5987711865162822 |  |  |  |  |  |  |  |  |  | 125000 | 0.6570507926048879
 |  |  | 0.5988343539141011 |  |  |  |  |  |  |  |  |  | 125000 | 0.6531386845355827
 |  |  | 0.5871969004927186 |  |  |  |  |  |  |  |  |  | 125000 | 0.6496216040373767
 |  |  | 0.5872564868162983 |  |  |  |  |  |  |  |  |  | 125000 | 0.6457458320954987
 |  |  | 0.587314157020656 |  |  |  |  |  |  |  |  |  | 125000 | 0.6420131753077669
 |  |  | 0.5873737557868185 |  |  |  |  |  |  |  |  |  | 125000 | 0.6381747276557656
 |  |  | 0.5874314380336324 |  |  |  |  |  |  |  |  |  | 125000 | 0.6344780713677398
 |  |  | 0.5757898665796085 |  |  |  |  |  |  |  |  |  | 125000 | 0.6306767004907429
 |  |  | 0.5758460268630663 |  |  |  |  |  |  |  |  |  | 125000 | 0.6268940770978725
 |  |  | 0.5759003809783098 |  |  |  |  |  |  |  |  |  | 125000 | 0.6232512637594426
 |  |  | 0.5759565525335547 |  |  |  |  |  |  |  |  |  | 125000 | 0.6195268374996238
 |  |  | 0.5760109175580158 |  |  |  |  |  |  |  |  |  | 125000 | 0.6159576969746388