Spreadsheet: andy_zipper__287__Mar Apr straddle spread
Sheet: Sheet6

Apr Vol | 0.65
Mar strike | 2.4
Apr strike | 2.5
[NAME] | intrinsic | Mar/Apr | [NAME] | underlying | strike | IR | Yield | vol | t | c/p | return |  | [NAME] | 25 vol | 45 vol | 65 vol
1 |  |  |  | 1.095969569258149 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1 | -0.09596956925814859 | -0.096 | -0.09596956925814859
 |  |  |  | 1.146113512862496 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.05 | -0.09611351286249592 | -0.0961 | -0.09611351286249592
 |  |  |  | 1.195799989752421 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.1 | -0.09579998975242132 | -0.0963 | -0.09579998975242132
 |  |  |  | 1.246313813585881 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.15 | -0.09631381358588098 | -0.0964 | -0.09631381358588098
 |  |  |  | 1.296530261107615 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.2 | -0.09653026110761487 | -0.0965 | -0.09653026110761487
 |  |  |  | 1.346687199158024 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.25 | -0.09668719915802426 | -0.0967 | -0.09668719915802426
 |  |  |  | 1.396833055431119 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.3 | -0.09683305543111853 | -0.0968 | -0.09683305543111853
 |  |  |  | 1.446791921646885 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.35 | -0.0967919216468851 | -0.097 | -0.0967919216468851
 |  |  |  | 1.497083402509666 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.4 | -0.09708340250966518 | -0.0971 | -0.09708340250966518
 |  |  |  | 1.547259055112509 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.45 | -0.09725905511250899 | -0.0973 | -0.09725905511250899
 |  |  |  | 1.597408395251104 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.5 | -0.09740839525110312 | -0.0974 | -0.09740839525110312
 |  |  |  | 1.64923067118064 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.55 | -0.0975512021446665 | -0.0967 | -0.09923067118063988
 |  |  |  | 1.700396311098273 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.6 | -0.09769677565521961 | -0.0974 | -0.1003963110982726
 |  |  |  | 1.752049947288114 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.65 | -0.09809184960828188 | -0.0981 | -0.1020499472881131
 |  |  |  | 1.804367408812858 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.7 | -0.09798479124261839 | -0.0985 | -0.1043674088128574
 |  |  |  | 1.857567669859833 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.75 | -0.09812895055920978 | -0.0981 | -0.1075676698598322
 |  |  |  | 1.911924520700443 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.8 | -0.09827271448321007 | -0.0997 | -0.1119245207004425
 |  |  |  | 1.967900787837559 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.85 | -0.0984166216213449 | -0.1014 | -0.1179007878375584
 |  |  |  | 2.025539907430976 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.9 | -0.09857675487708728 | -0.1037 | -0.1255399074309751
 |  |  |  | 2.085728357950195 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 1.95 | -0.09870759414314745 | -0.107 | -0.1357283579501944
 |  |  |  | 2.148973749648738 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2 | -0.09884886585031971 | -0.1127 | -0.1489737496487376
 |  |  |  | 2.217729046362809 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.05 | -0.1000349802059617 | -0.1196 | -0.1677290463628087
 |  |  |  | 2.291628643489077 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.1 | -0.1016087098627341 | -0.1308 | -0.1916286434890768
 |  |  |  | 2.373535503369397 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.15 | -0.1047950743066846 | -0.1467 | -0.2235355033693969
 |  |  |  | 2.466812904772362 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.2 | -0.1113432354652124 | -0.1707 | -0.2668129047723617
 |  |  |  | 2.581730969814689 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.25 | -0.1233378400088108 | -0.2079 | -0.3317309698146893
 |  |  |  | 2.728857606900973 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.3 | -0.1459720924291181 | -0.2673 | -0.4288576069009729
 |  |  |  | 2.959173858444634 |  | 0.035 | 0.035 |  | 30 | 0 | 0 |  | 2.35 | -0.1990530241570099 | -0.3767483849407323 | -0.6091738584446347