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Straddle Table - Volatility HQ

The document is a table containing data on straddle returns and related metrics over time. It includes the closing price, straddle returns, and returns on double calendar, call calendar, put calendar strategies. Overall it shows the performance of different options strategies in relation to changes in the underlying asset price.

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ashaman16
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© © All Rights Reserved
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Download as XLSX, PDF, TXT or read online on Scribd
143 views

Straddle Table - Volatility HQ

The document is a table containing data on straddle returns and related metrics over time. It includes the closing price, straddle returns, and returns on double calendar, call calendar, put calendar strategies. Overall it shows the performance of different options strategies in relation to changes in the underlying asset price.

Uploaded by

ashaman16
Copyright
© © All Rights Reserved
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Straddle Table - Volati

Date Time Close T=0 Straddle RV Price Effect Max Move I/O
43341.2916666667 BMO
43250.2916666667 BMO 30.48 10% 26% 28% O
43172.2916666667 BMO 32.56 11% 1% -9% I
43053.3333333333 BMO 26.32 12% -3% -8% I
42962.2916666667 BMO 34.91 11% -23% -23% O
42871.2916666667 BMO 47.57 7% -14% -15% O
42801.3333333333 BMO 52.61 9% -9% -10% O
42689.3333333333 BMO 60.89 8% -7% -11% O
42598.2916666667 BMO 54.89 6% 7% 10% O
42509.2916666667 BMO 38.10 9% 9% 11% O
42437.3333333333 BMO 44.34 9% 1% -6% I
42325.3333333333 BMO 40.81 10% -9% -18% O
42234.2916666667 BMO 50.70 7% 4% 6% I
42143.2916666667 BMO 56.29 7% -5% -8% O
42066.3333333333 BMO 55.42 7% 1% 4% I
41961.3333333333 BMO 47.51 7% -1% 4% I
41870.2916666667 BMO 43.51 9% 2% 8% I
41779.2916666667 BMO 53.16 7% -18% -18% O
41709.2916666667 BMO 54.33 5% 4% 5% I
41597.3333333333 BMO 56.37 8% 0% 4% I
41506.2916666667 BMO 50.59 7% -8% -8% O
41415.2916666667 BMO 52.21 7% 1% 4% I
41344.2916666667 BMO 50.60 6% -11% -11% O
41226.3333333333 BMO 48.70 6% 5% 6% I
41135.2916666667 BMO 50.54 6% -4% -5% I
41044.2916666667 BMO 47.24 7% 6% 9% O
40974.3333333333 BMO 45.57 6% 3% 4% I
40862.3333333333 BMO 39.58 7% 5% 6% I
40771.2916666667 BMO 32.92 8% 0% -5% I
40680.2916666667 BMO 40.69 7% -3% -5% I
40610.3333333333 BMO 37.67 6% 6% 7% O
40498.3333333333 BMO 29.92 6% 12% 14% O
40409.2916666667 BMO 27.32 5% -3% -4% I
40316.2916666667 BMO 28.48 8% -3% -6% I
40246.3333333333 BMO 25.62 7% -1% -2% I
40136.3333333333 BMO 24.82 7% -9% -12% O
40045.2916666667 BMO 20.27 8% 7% 15% O
39952.2916666667 BMO 19.78 17% -6% -8% I
Straddle Table - Volatility HQ
Close T+1 Straddle Return Dbl Calendar Return Call Calendar Return

38.35 164% -88% -60%


32.88 -58% 85% 82%
25.59 -67% 122% 125%
26.87 118% -86% -100%
41.04 101% -78% -94%
48.08 1% -42% -49%
56.71 -17% -30% -3%
58.76 21% -21% -28%
41.36 2% -5% -5%
44.56 -41% 93% 73%
36.96 2% -39% -65%
52.61 -27% 26% 44%
53.43 13% -36% -29%
56.00 -39% 100% 93%
47.10 -62% 90% 100%
44.21 -46% 25% 25%
43.60 136% -90% -94%
56.67 -20% 12% 12%
56.14 -37% -7% 0%
46.64 7% -33% -35%
52.75 -29% 17% -25%
45.11 74% -50% -48%
50.97 -52% 69% 70%
48.59 -51% 45% 43%
50.05 -2% 0% -4%
46.89 -30% 33% 37%
41.41 -32% 32% 6%
32.78 -51% 19% 24%
39.42 -38% 29% 27%
39.94 -3% 34% 24%
33.51 104% -50% -52%
26.57 -27% 23% 20%
27.50 -54% 31% 30%
25.45 -40% 39% 43%
22.52 48% -62% -63%
21.69 15% -15% -14%
18.67 -21% 14% 31%
Put Calendar Return

-100%
89%
120%
-75%
-65%
-33%
-57%
-14%
-5%
114%
-16%
11%
-43%
107%
81%
25%
-86%
13%
-13%
-30%
27%
-52%
69%
46%
4%
29%
59%
14%
30%
45%
-48%
25%
32%
36%
-61%
-15%
0%

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