Do not change the questions as I have typed them.

Student Information

You must insert your 10 digit student ID before starting the assignment. Fall 2021 expected semi-annual rate 0.01499 Base numbers for stock stock prices Stock prices Daily rate of return Summary Statistics Table
Name Tom Frank annual risk free rate 0.02998 Date Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E
10 digit student ID # 4529239482 notional amount 23730000 12/11/20 26.82 3.82 19.82 17.82 24.82 27.8 4.8 114.67 19.56 26.57 -0.54 -0.0194244604 -0.1875 -0.0054940263 -0.0260736196 -0.0154309371 Average Daily Rate Return 0.0012743057 0.0089350811 0.0000042462 0.0005809269 0.0005757706
Date 11/27/21 12/14/20 26.28 2.92 19.19 17.31 24.41 27.26 3.9 114.04 19.05 26.16 0.43 0.0157740279 0.0205128205 0.0051736233 0.0089238845 0.0217889908 Std. Dev. 0.0194573411 0.0514533029 0.005360654 0.0250139657 0.0198019628
Class IEE 512 12/15/20 26.71 3 19.78 17.48 24.98 27.69 3.98 114.63 19.22 26.73 -0.0137233658 -0.0653266332 -0.0047108087 -0.0041623309 0 Variance 0.0003785881 0.0026474424 0.0000287366 0.0006256985 0.0003921177
By downloading this assignment you agree to not share this exam with anyone. You also agree to completing this assignment without the assistance or of anyone unless you have received written approval from the instructor. You agree to not collaborate with anyone with this assignment You agree to not use another student’s assignment or materials to aid you with this assignment You understand that not following these rules, or any other rules identified in the ASU Academic Integrity Policy will result in a zero grade for this assignment a violation report to the Dean’s office, and likely suspension from ASU. Please teach each other the Excel functions and financial engineering functions. However, do not provide answers or assist others with their answers. Engineers must learn how to solve problems! This assignment is the property of Daniel R. McCarville and Arizona State University. It is copyright protected. 12/16/20 26.33 2.74 19.24 17.4 24.98 27.31 3.72 114.09 19.14 26.73 -0.0175759795 0.0134408602 -0.0022789026 0.0172413793 -0.0127197905 Semi-annual Avg Return 0.1605625221 1.1258202246 0.0005350244 0.0731967912 0.0725470945
17 12/17/20 25.85 2.79 18.98 17.73 24.64 26.83 3.77 113.83 19.47 26.39 0.0734252702 0.0079575597 -0.0014056048 0.0559835645 0.0068207654 Semi-annual Std Dev 0.2184081119 0.5775618921 0.0601731917 0.280781069 0.2222764808
Instructions: 12/18/20 27.82 2.82 18.82 18.82 24.82 28.8 3.8 113.67 20.56 26.57 -0.040625 -0.0763157895 -0.0023752969 -0.03307393 -0.0368837034
1. You must enter the information requested above. MCCA 12/21/20 26.65 2.53 18.55 18.14 23.84 27.63 3.51 113.4 19.88 25.59 -0.0152008686 -0.0028490028 0.0004409171 -0.0165995976 0.0042985541 Covariance Matrix
2. Include your entire 10 (ten) digit student ID number. Option Type Stock Price IV Strike Price Exp Vol Open Int 12/22/20 26.23 2.52 18.6 17.81 23.95 27.21 3.5 113.45 19.55 25.7 0.0077177508 0.02 0.0057293962 -0.0081841432 0 Stock A Stock B Stock C Stock D Stock E
3. Do not change the questions as I have typed them. Call 21.18 0.3632 20 May, 2021 3051 40421 12/23/20 26.44 2.59 19.25 17.65 23.95 27.42 3.57 114.1 19.39 25.7 -0.0167760759 0.0196078431 -0.0031551271 -0.0046415678 -0.0042801556 Stock A 0.0003770798 0.0002625401 0.0000394717 0.000145333 0.0001093076
4. Fill in all yellow boxes with the requested information and/or answer. Annual interest rate = 0.02998 Trading days per year = 252 12/24/20 25.98 2.66 18.89 17.56 23.84 26.96 3.64 113.74 19.3 25.59 -0.0118694362 -0.0137362637 0.0066819061 0.0259067358 -0.0203204377 Stock B 0.0002625401 0.0026368948 0.0000713178 0.0003279111 0.0003294576
5. To show your cash flow drawings, you must copy the drawings onto the Question Worksheet. 12/25/20 25.66 2.61 19.65 18.06 23.32 26.64 3.59 114.5 19.8 25.07 0.006006006 0.0027855153 0.0019213974 0.0212121212 0.0047865975 Stock C 0.0000394717 0.0000713178 0.0000286221 0.000029015 0.0000255924
6. Please show your Excel work in the same worksheet as the Question. ABCD 12/28/20 25.82 2.62 19.87 18.48 23.44 26.8 3.6 114.72 20.22 25.19 0 0.0055555556 0.0064504881 0.0079129575 0.0067487098 Stock D 0.000145333 0.0003279111 0.000029015 0.0006232057 0.0000810807
7. Data Analysis TookPak results such as Covariance Matrices or Regression Analysis can be inserted in a new worksheet. Option Type Stock Price IV Strike Price Exp Vol Open Int 12/29/20 25.82 2.64 20.61 18.64 23.61 26.8 3.62 115.46 20.38 25.36 -0.0078358209 0.0082872928 -0.0022518621 -0.0078508342 -0.0181388013 Stock E 0.0001093076 0.0003294576 0.0000255924 0.0000810807 0.0003905555
8. I do give some partial credit where enough detail is presented. 25.28 0.41521 24 May, 2021 4892 55057 12/30/20 25.61 2.67 20.35 18.48 23.15 26.59 3.65 115.2 20.22 24.9 0 0.0246575342 -0.0184027778 -0.0168150346 -0.0277108434
Annual interest rate 0.032978 Trading days per year 252 12/31/20 25.61 2.76 18.23 18.14 22.46 26.59 3.74 113.08 19.88 24.21 0.0060172997 -0.013368984 -0.0051291121 0.0211267606 -0.0024783147 Min Variance Markowitz’ Equations
Question Points Actual 1/1/21 25.77 2.71 17.65 18.56 22.4 26.75 3.69 112.5 20.3 24.15 -0.0059813084 -0.0243902439 -0.0026666667 0.0206896552 -0.0140786749 1 2 3 4 5 7 Y Matrix
1a 4 0 1/4/21 25.61 2.62 17.35 18.98 22.06 26.59 3.6 112.2 20.72 23.81 -0.0022564874 0.0222222222 0.0007130125 0.0077220077 -0.0025199496 1 0.0003770798 0.0002625401 0.0000394717 0.000145333 0.0001093076 -1 w1 0
1b 2 0 12/11/20 December 11 2020 1 January 1/5/21 25.55 2.7 17.43 19.14 22 26.53 3.68 112.28 20.88 23.75 0.0143234075 -0.0081521739 0.0030281439 0.0162835249 0.0046315789 2 0.0002625401 0.0026368948 0.0000713178 0.0003279111 0.0003294576 -1 w2 0
1c 2 0 11/27/21 November 27 2021 2 February 1/6/21 25.93 2.67 17.77 19.48 22.11 26.91 3.65 112.62 21.22 23.86 0.0602006689 -0.0246575342 0.0016870893 -0.0513666352 0.0339480302 3 0.0000394717 0.0000713178 0.0000286221 0.000029015 0.0000255924 -1 w3 0
1d 3 0 3 March 1/7/21 27.55 2.58 17.96 18.39 22.92 28.53 3.56 112.81 20.13 24.67 0.0245355766 0.0252808989 -0.0041662973 0.0248385494 0.0048642075 4 0.000145333 0.0003279111 0.000029015 0.0006232057 0.0000810807 -1 w4 0
2a 4 0 4 April 1/8/21 28.25 2.67 17.49 18.89 23.04 29.23 3.65 112.34 20.63 24.79 0.0126582278 0.0054794521 0.0011572014 -0.0038778478 0.0044372731 5 0.0001093076 0.0003294576 0.0000255924 0.0000810807 0.0003905555 -1 w5 0
2b 4 0 5 May 1/11/21 28.62 2.69 17.62 18.81 23.15 29.6 3.67 112.47 20.55 24.9 -0.0016891892 0.0544959128 0.0027562906 0.0082725061 -0.0092369478 7 1 1 1 1 1 0 λ2 1
3a 2 0 6 June 1/12/21 28.57 2.89 17.93 18.98 22.92 29.55 3.87 112.78 20.72 24.67 -0.0182741117 0.007751938 0.0025713779 0.0038610039 -0.014187272
3b 2 0 7 July 1/13/21 28.03 2.92 18.22 19.06 22.57 29.01 3.9 113.07 20.8 24.32 0.0130989314 0.0897435897 -0.0030954276 0.0201923077 0.0193256579 Inverse of Markowitz’ Equations Matrix
3c 2 0 8 August 1/14/21 28.41 3.27 17.87 19.48 23.04 29.39 4.25 112.72 21.22 24.79 -0.0275603947 -0.0447058824 -0.0016855926 -0.0117813384 -0.0258168616 3410.8890074 -141.4511720 -2270.6869684 -498.3724807 -500.3783862 -0.0322877
3d 2 0 9 September 1/15/21 27.6 3.08 17.68 19.23 22.4 28.58 4.06 112.53 20.97 24.15 0.0356892932 0.0049261084 0.0030214165 0.0157367668 0.019047619 -141.4511720 448.9253650 105.2272194 -143.6011948 -269.1002176 -0.0183914
3e 2 0 10 October 1/18/21 28.62 3.1 18.02 19.56 22.86 29.6 4.08 112.87 21.3 24.61 -0.0172297297 0 -0.00141756 -0.0197183099 -0.0231613165 -2270.6869684 105.2272194 5464.0569545 -1124.4357186 -2174.1614869 1.0139980
4a 4 0 11 November 1/19/21 28.11 3.1 17.86 19.14 22.29 29.09 4.08 112.71 20.88 24.04 -0.0192506016 -0.0196078431 -0.0032827611 -0.0038314176 0.0095673877 -498.3724807 -143.6011948 -1124.4357186 1841.5220098 -75.1126156 0.0105872
4b 7 0 12 December 1/20/21 27.55 3.02 17.49 19.06 22.52 28.53 4 112.34 20.8 24.27 -0.0115667718 -0.045 -0.0049848674 0.0442307692 -0.0049443758 -500.3783862 -269.1002176 -2174.1614869 -75.1126156 3018.7527064 0.0260939
5a 4 0 1/21/21 27.22 2.84 16.93 19.98 22.4 28.2 3.82 111.78 21.72 24.15 0.004964539 -0.0078534031 0.0042941492 -0.0078268877 -0.0045548654 0.0322877 0.0183914 -1.0139980 -0.0105872 -0.0260939 0.0000274
5b 6 0 Assume today is November 27, 2021. One year ago, on December 11, 2020, you created a 1/22/21 27.36 2.81 17.41 19.81 22.29 28.34 3.79 112.26 21.55 24.04 0.0112914608 -0.0052770449 0.0021378942 0.003712297 0.0070715474
Total 50 0 minimum variance portfolio based from the five stocks shown to the right. 1/25/21 27.68 2.79 17.65 19.89 22.46 28.66 3.77 112.5 21.63 24.21 0.0083740405 0.0954907162 0.0025777778 -0.0083217753 -0.0037174721 Solution = Matrix Multiplication of Inverse Markowitz’ Euqation Matrix and the single column of Y Matrix
The total value of the portfolio when you satrted on December 11, 2020, was 1/26/21 27.92 3.15 17.94 19.71 22.37 28.9 4.13 112.79 21.45 24.12 0.0114186851 0.0387409201 0.0024824896 -0.0051282051 0.0037313433 Weight Original Zero Neg Balanced
Comments: November 27, 2021, the last day. 1/27/21 28.25 3.31 18.22 19.6 22.46 29.23 4.29 113.07 21.34 24.21 -0.0379746835 0.1701631702 0.0084903157 0.0060918463 0.034283354 w1 -0.0322876747 0.257166651 0.257166651
1/28/21 27.14 4.04 19.18 19.73 23.29 28.12 5.02 114.03 21.47 25.04 -0.0181365576 0.0338645418 0.0045602035 0.0037261295 -0.0135782748 w2 -0.0183913678 0.0553136665 0.0553136665
1/29/21 26.63 4.21 19.7 19.81 22.95 27.61 5.19 114.55 21.55 24.7 0.0039840637 -0.0231213873 0.0158882584 0.0055684455 0.0024291498 w3 1.0139979572 0.0517399004 0.0517399004
Today Year 2021 2/1/21 26.74 4.09 21.52 19.93 23.01 27.72 5.07 116.37 21.67 24.76 0.0057720058 -0.0355029586 -0.0012030592 -0.0323027227 0.0056542811 w4 0.0105871759 0.2021376246 0.2021376246
Expiration 5/21/21 6 Friday verification = 6 2/2/21 26.9 3.91 21.38 19.23 23.15 27.88 4.89 116.23 20.97 24.9 0.0086083214 0.0593047035 0.0019788351 -0.0438721984 0.0116465863 w5 0.0260939093 0.3311896863 0.3311896863
Today 4/29/21 April 29 2021 2/3/21 27.14 4.2 21.61 18.31 23.44 28.12 5.18 116.46 20.05 25.19 -0.0046230441 -0.0212355212 0.0012021295 0.0872817955 0.0194521636 λ2 0.0000274117
Workdays 17 2/4/21 27.01 4.09 21.75 20.06 23.93 27.99 5.07 116.6 21.8 25.68 -0.0114326545 -0.0256410256 0.0008576329 -0.0036697248 0.0101246106
Assume today is April 29, 2021, before the market has opened. 2/5/21 26.69 3.96 21.85 19.98 24.19 27.67 4.94 116.7 21.72 25.94 -0.0050596314 0.0060728745 -0.0011139674 0.0170349908 0.0131071704 w1 -0.0322876747
Good Friday 2/8/21 26.55 3.99 21.72 20.35 24.53 27.53 4.97 116.57 22.09 26.28 -0.0156193244 -0.0060362173 -0.0013725658 -0.0226346763 0.0087519026 w2 -0.0183913678
4/19/19 2/9/21 26.12 3.96 21.56 19.85 24.76 27.1 4.94 116.41 21.59 26.51 0.0247232472 0.1518218623 0.0071299717 0.0037054192 0 w3 1.0139979572
4/10/20 2/10/21 26.79 4.71 22.39 19.93 24.76 27.77 5.69 117.24 21.67 26.51 -0.0165646381 -0.0193321617 0.0037529853 -0.055376096 -0.0203696718 w4 0.0105871759
4/2/21 2/11/21 26.33 4.6 22.83 18.73 24.22 27.31 5.58 117.68 20.47 25.97 -0.0018308312 -0.0268817204 0.0064581917 -0.0083048363 0.0065460146 w5 0.0260939093
4/15/22 2/12/21 26.28 4.45 23.59 18.56 24.39 27.26 5.43 118.44 20.3 26.14 0.0080704329 0.014732965 0.0060790274 -0.0162561576 -0.0153022188
4/7/23 2/15/21 26.5 4.53 24.31 18.23 23.99 27.48 5.51 119.16 19.97 25.74 0.0123726346 0.0090744102 0.000755287 -0.0065097646 0.0054390054 Total Value 1000000
3/29/24 2/16/21 26.84 4.58 24.4 18.1 24.13 27.82 5.56 119.25 19.84 25.88 -0.0607476636 -0.0251798561 -0.0080503145 -0.0040322581 -0.0135239567
4/18/25 2/17/21 25.15 4.44 23.44 18.02 23.78 26.13 5.42 118.29 19.76 25.53 -0.0126291619 -0.036900369 -0.00169076 -0.0313765182 -0.009009009
4/3/26 2/18/21 24.82 4.24 23.24 17.4 23.55 25.8 5.22 118.09 19.14 25.3 -0.0081395349 -0.0076628352 0.0022017106 -0.0047021944 -0.0122529644
3/26/27 2/19/21 24.61 4.2 23.5 17.31 23.24 25.59 5.18 118.35 19.05 24.99 0.0324345447 -0.0135135135 -0.0010139417 0.0545931759 0.0184073629
4/14/28 2/22/21 25.44 4.13 23.38 18.35 23.7 26.42 5.11 118.23 20.09 25.45 -0.0408781226 -0.0176125245 -0.007781443 0.0019910403 -0.0259332024
3/30/29 2/23/21 24.36 4.04 22.46 18.39 23.04 25.34 5.02 117.31 20.13 24.79 0.0599842147 0.1474103586 0.0173898218 0.0248385494 -0.0012101654
2/24/21 25.88 4.78 24.5 18.89 23.01 26.86 5.76 119.35 20.63 24.76 -0.0070737156 -0.0225694444 -0.0042731462 -0.0281143965 -0.0060581583
2/25/21 25.69 4.65 23.99 18.31 22.86 26.67 5.63 118.84 20.05 24.61 -0.0071241095 -0.0017761989 -0.0045439246 0.0354114713 0.0024380333
2/26/21 25.5 4.64 23.45 19.02 22.92 26.48 5.62 118.3 20.76 24.67 -0.0154833837 0.0160142349 -0.004057481 -0.0062620424 -0.0081070126
3/1/21 25.09 4.73 22.97 18.89 22.72 26.07 5.71 117.82 20.63 24.47 -0.0092059839 -0.0122591944 -0.0031403836 -0.0140571983 -0.0155292195
3/2/21 24.85 4.66 22.6 18.6 22.34 25.83 5.64 117.45 20.34 24.09 -0.008517228 0.0531914894 -0.0011919966 -0.0226155359 -0.0178497302
3/3/21 24.63 4.96 22.46 18.14 21.91 25.61 5.94 117.31 19.88 23.66 0.0285044904 0.0050505051 0.0061375842 0.0402414487 -0.0012679628
3/4/21 25.36 4.99 23.18 18.94 21.88 26.34 5.97 118.03 20.68 23.63 -0.0072133637 0.0150753769 -0.0026264509 0.0077369439 -0.0071942446
3/5/21 25.17 5.08 22.87 19.1 21.71 26.15 6.06 117.72 20.84 23.46 0.0126195029 0.0231023102 0.0016989467 0.0182341651 -0.0123614663
3/8/21 25.5 5.22 23.07 19.48 21.42 26.48 6.2 117.92 21.22 23.17 -0.0090634441 0.0725806452 -0.0000848033 -0.0136663525 0.0047475183
3/9/21 25.26 5.67 23.06 19.19 21.53 26.24 6.65 117.91 20.93 23.28 -0.0323932927 0.1488721805 0.0019506403 -0.021978022 -0.0073024055
3/10/21 24.41 6.66 23.29 18.73 21.36 25.39 7.64 118.14 20.47 23.11 0.0074832611 0.0340314136 -0.0005925174 -0.0288226673 0.0125486802
3/11/21 24.6 6.92 23.22 18.14 21.65 25.58 7.9 118.07 19.88 23.4 0.0148553557 -0.0227848101 -0.0020326925 -0.0040241449 0
3/12/21 24.98 6.74 22.98 18.06 21.65 25.96 7.72 117.83 19.8 23.4 0.0053929122 -0.0932642487 -0.0044980056 0.0191919192 -0.0136752137
3/15/21 25.12 6.02 22.45 18.44 21.33 26.1 7 117.3 20.18 23.08 0.0157088123 0.0528571429 0.0077578858 0.0019821606 0.0186308492
3/16/21 25.53 6.39 23.36 18.48 21.76 26.51 7.37 118.21 20.22 23.51 -0.0022632969 0.0040705563 -0.0007613569 0.046983185 0.0161633348
3/17/21 25.47 6.42 23.27 19.43 22.14 26.45 7.4 118.12 21.17 23.89 0.0268431002 0.0378378378 0.0019471724 -0.0018894662 0.0083717036
3/18/21 26.18 6.7 23.5 19.39 22.34 27.16 7.68 118.35 21.13 24.09 -0.0162002946 -0.046875 0.0056611745 -0.0212967345 0.0062266501
3/19/21 25.74 6.34 24.17 18.94 22.49 26.72 7.32 119.02 20.68 24.24 -0.0101047904 0.0136612022 -0.0072256764 -0.0101547389 0
3/22/21 25.47 6.44 23.31 18.73 22.49 26.45 7.42 118.16 20.47 24.24 -0.0173913043 -0.0242587601 -0.0051624915 0 -0.0144389439
3/23/21 25.01 6.26 22.7 18.73 22.14 25.99 7.24 117.55 20.47 23.89 0.0023085802 0.0013812155 -0.0016163335 0.0322423058 -0.0037672666
3/24/21 25.07 6.27 22.51 19.39 22.05 26.05 7.25 117.36 21.13 23.8 0.0030710173 0.0165517241 0.0019597819 0.0236630383 0.0147058824
3/25/21 25.15 6.39 22.74 19.89 22.4 26.13 7.37 117.59 21.63 24.15 0.0110983544 0.0664857531 -0.000340165 0.0097087379 -0.0082815735
3/26/21 25.44 6.88 22.7 20.1 22.2 26.42 7.86 117.55 21.84 23.95 0.0177895534 0.0038167939 0.0004253509 0.005952381 0.0025052192
3/29/21 25.91 6.91 22.75 20.23 22.26 26.89 7.89 117.6 21.97 24.01 0.0141316475 0.0038022814 0.0028911565 0.0318616295 -0.0133277801
3/30/21 26.29 6.94 23.09 20.93 21.94 27.27 7.92 117.94 22.67 23.69 -0.0073340667 -0.0429292929 -0.0034763439 -0.01102779 -0.010975095
3/31/21 26.09 6.6 22.68 20.68 21.68 27.07 7.58 117.53 22.42 23.43 0.0092353158 -0.0277044855 -0.0009359313 -0.0147190009 -0.0162185233
4/1/21 26.34 6.39 22.57 20.35 21.3 27.32 7.37 117.42 22.09 23.05 -0.0029282577 -0.0013568521 -0.0015329586 0.00769579 0.0026030369
4/2/21 26.26 6.38 22.39 20.52 21.36 27.24 7.36 117.24 22.26 23.11 -0.016886931 0.0081521739 -0.0106618901 -0.0058400719 0
4/5/21 25.8 6.44 21.14 20.39 21.36 26.78 7.42 115.99 22.13 23.11 -0.0063480209 -0.0444743935 -0.005517717 0.0641662901 0.0324534833
4/6/21 25.63 6.11 20.5 21.81 22.11 26.61 7.09 115.35 23.55 23.86 0.0135287486 0.0394922426 0.0021673169 0.0106157113 0.0171835708
4/7/21 25.99 6.39 20.75 22.06 22.52 26.97 7.37 115.6 23.8 24.27 0.0018539118 0.0312075984 -0.0024221453 -0.0298319328 -0.0024721879
4/8/21 26.04 6.62 20.47 21.35 22.46 27.02 7.6 115.32 23.09 24.21 -0.022945966 -0.0394736842 -0.0044224766 -0.0290168904 -0.0251961999
4/9/21 25.42 6.32 19.96 20.68 21.85 26.4 7.3 114.81 22.42 23.6 -0.0034090909 -0.0506849315 -0.0039195192 0.0057983943 -0.0012711864
4/12/21 25.33 5.95 19.51 20.81 21.82 26.31 6.93 114.36 22.55 23.57 -0.0193842645 -0.113997114 0.0006995453 -0.0314855876 -0.0280016971
4/13/21 24.82 5.16 19.59 20.1 21.16 25.8 6.14 114.44 21.84 22.91 -0.0104651163 0.0081433225 -0.0095246417 -0.0192307692 -0.0218245308
4/14/21 24.55 5.21 18.5 19.68 20.66 25.53 6.19 113.35 21.42 22.41 0.0148844497 0.0436187399 0.0026466696 0.0312791783 0.0040160643
4/15/21 24.93 5.48 18.8 20.35 20.75 25.91 6.46 113.65 22.09 22.5 0.0270165959 0.0433436533 0.0032556093 0.0113173382 0.0168888889
4/16/21 25.63 5.76 19.17 20.6 21.13 26.61 6.74 114.02 22.34 22.88 0.0187899286 0.0919881306 -0.0055253464 -0.0223813787 0.0087412587
4/19/21 26.13 6.38 18.54 20.1 21.33 27.11 7.36 113.39 21.84 23.08 -0.0051641461 -0.0258152174 0.0032630743 0.0096153846 -0.0264298094
4/20/21 25.99 6.19 18.91 20.31 20.72 26.97 7.17 113.76 22.05 22.47 -0.0022246941 -0.0153417015 -0.0050105485 -0.0172335601 0
4/21/21 25.93 6.08 18.34 19.93 20.72 26.91 7.06 113.19 21.67 22.47 0.0141211446 -0.0467422096 0.0024737168 0.0078449469 0.0195816644
4/22/21 26.31 5.75 18.62 20.1 21.16 27.29 6.73 113.47 21.84 22.91 -0.0348112862 -0.0460624071 -0.0028201287 -0.0283882784 0.0135312091
4/23/21 25.36 5.44 18.3 19.48 21.47 26.34 6.42 113.15 21.22 23.22 0.0258162491 0.0420560748 0.0064516129 0.0037700283 0.0163652024
4/26/21 26.04 5.71 19.03 19.56 21.85 27.02 6.69 113.88 21.3 23.6 0.0566247224 0.1136023916 0.0017562346 0.0450704225 -0.0072033898
4/27/21 27.57 6.47 19.23 20.52 21.68 28.55 7.45 114.08 22.26 23.43 0.0021015762 -0.0187919463 0.0006136045 -0.0017969452 0.0234741784
4/28/21 27.63 6.33 19.3 20.48 22.23 28.61 7.31 114.15 22.22 23.98 0.0171268787 0.0506155951 0.0039421813 -0.004050405 0.0120934112
4/29/21 28.12 6.7 19.75 20.39 22.52 29.1 7.68 114.6 22.13 24.27 0.0103092784 -0.01171875 -0.0013961606 0.0284681428 0.0020601566
4/30/21 28.42 6.61 19.59 21.02 22.57 29.4 7.59 114.44 22.76 24.32 -0.012244898 -0.0724637681 -0.0045438658 -0.0219683656 0.0049342105
5/3/21 28.06 6.06 19.07 20.52 22.69 29.04 7.04 113.92 22.26 24.44 0.0086088154 0.0980113636 0.0072858146 0.0651392633 0.0024549918
5/4/21 28.31 6.75 19.9 21.97 22.75 29.29 7.73 114.75 23.71 24.5 -0.0047797883 -0.0168175938 -0.0073202614 0.0021088148 -0.0012244898
5/5/21 28.17 6.62 19.06 22.02 22.72 29.15 7.6 113.91 23.76 24.47 0.002058319 0.0157894737 0.0009656747 0.0033670034 -0.0106252554
5/6/21 28.23 6.74 19.17 22.1 22.46 29.21 7.72 114.02 23.84 24.21 -0.0020540911 -0.0012953368 -0.0038589721 0.0016778523 -0.0123915737
5/7/21 28.17 6.73 18.73 22.14 22.16 29.15 7.71 113.58 23.88 23.91 0.0096054889 0.0881971466 -0.0023771791 0.0330820771 0
5/10/21 28.45 7.41 18.46 22.93 22.16 29.43 8.39 113.31 24.67 23.91 0.0149507305 -0.0059594756 -0.0019415762 -0.0218889339 -0.008364701
5/11/21 28.89 7.36 18.24 22.39 21.96 29.87 8.34 113.09 24.13 23.71 -0.0120522263 -0.0035971223 -0.0062781855 -0.017405719 -0.0231969633
5/12/21 28.53 7.33 17.53 21.97 21.41 29.51 8.31 112.38 23.71 23.16 -0.0176211454 0.0132370638 -0.0028474818 0.0021088148 0.0073402418
5/13/21 28.01 7.44 17.21 22.02 21.58 28.99 8.42 112.06 23.76 23.33 0.0151776475 -0.0225653207 0.0035695163 0.0382996633 -0.0072867553
5/14/21 28.45 7.25 17.61 22.93 21.41 29.43 8.23 112.46 24.67 23.16 0.0268433571 0.0024301337 -0.0064911969 -0.052290231 -0.0202936097
5/17/21 29.24 7.27 16.88 21.64 20.94 30.22 8.25 111.73 23.38 22.69 -0.0079417604 0.056969697 0.001879531 -0.0124037639 0.0193918026
5/18/21 29 7.74 17.09 21.35 21.38 29.98 8.72 111.94 23.09 23.13 0.0100066711 0.0366972477 0.003126675 -0.0090948463 0.0086467791
5/19/21 29.3 8.06 17.44 21.14 21.58 30.28 9.04 112.29 22.88 23.33 -0.0128797886 0.0088495575 -0.0026716538 -0.0109265734 0
5/20/21 28.91 8.14 17.14 20.89 21.58 29.89 9.12 111.99 22.63 23.33 -0.0143860823 -0.0087719298 0.0000892937 0.0035351304 -0.0085726532
5/21/21 28.48 8.06 17.15 20.97 21.38 29.46 9.04 112 22.71 23.13 0.0176510523 0.0907079646 0.003125 0.024218406 0.0263726762
5/24/21 29 8.88 17.5 21.52 21.99 29.98 9.86 112.35 23.26 23.74 -0.005670447 -0.0223123732 -0.0031152648 0.0232158212 0.0096882898
5/25/21 28.83 8.66 17.15 22.06 22.22 29.81 9.64 112 23.8 23.97 -0.0117410265 -0.0394190871 0.0051785714 -0.0176470588 -0.0025031289
5/26/21 28.48 8.28 17.73 21.64 22.16 29.46 9.26 112.58 23.38 23.91 -0.0010183299 -0.0442764579 0.0040859833 0.0106928999 -0.0020911752
5/27/21 28.45 7.87 18.19 21.89 22.11 29.43 8.85 113.04 23.63 23.86 -0.0149507305 0.0146892655 -0.0030077849 0.0016927634 0.0020955574
5/28/21 28.01 8 17.85 21.93 22.16 28.99 8.98 112.7 23.67 23.91 0.0093135564 -0.0289532294 -0.0026619343 -0.0105618927 -0.043496445
5/31/21 28.28 7.74 17.55 21.68 21.12 29.26 8.72 112.4 23.42 22.87 0.019822283 0.0080275229 0.0080960854 0.0230572161 0.0201136861
6/1/21 28.86 7.81 18.46 22.22 21.58 29.84 8.79 113.31 23.96 23.33 0.0063672922 0.0466439135 0.0029123643 0.0141903172 0.0150021432
6/2/21 29.05 8.22 18.79 22.56 21.93 30.03 9.2 113.64 24.3 23.68 0.001998002 0.0173913043 -0.0032558958 0 -0.0012668919
6/3/21 29.11 8.38 18.42 22.56 21.9 30.09 9.36 113.27 24.3 23.65 -0.0119641077 -0.0224358974 -0.0002648539 0.0065843621 -0.0046511628
6/4/21 28.75 8.17 18.39 22.72 21.79 29.73 9.15 113.24 24.46 23.54 0.0228725193 -0.0415300546 0.0025609325 -0.0134914146 0.020815633
6/7/21 29.43 7.79 18.68 22.39 22.28 30.41 8.77 113.53 24.13 24.03 -0.0052614272 -0.007981756 0.0014974016 0.007045172 -0.0158135664
6/8/21 29.27 7.72 18.85 22.56 21.9 30.25 8.7 113.7 24.3 23.65 0.0046280992 -0.0264367816 0.001055409 0.0065843621 -0.0012684989
6/9/21 29.41 7.49 18.97 22.72 21.87 30.39 8.47 113.82 24.46 23.62 0.0036196117 0.0023612751 0.0032507468 0.0118560916 0.0063505504
6/10/21 29.52 7.51 19.34 23.01 22.02 30.5 8.49 114.19 24.75 23.77 -0.0072131148 0.0482921084 0.0041159471 -0.0016161616 -0.0037862852
6/11/21 29.3 7.92 19.81 22.97 21.93 30.28 8.9 114.66 24.71 23.68 0.0270805812 0.0370786517 0.0043607186 0.018615945 0.0097128378
6/14/21 30.12 8.25 20.31 23.43 22.16 31.1 9.23 115.16 25.17 23.91 0.0096463023 -0.0162513543 0.0069468565 -0.0230433055 0.0184023421
6/15/21 30.42 8.1 21.11 22.85 22.6 31.4 9.08 115.96 24.59 24.35 -0.0105095541 -0.0154185022 0.002587099 0.0203334689 0
6/16/21 30.09 7.96 21.41 23.35 22.6 31.07 8.94 116.26 25.09 24.35 0.0016092694 -0.0201342282 -0.0022363668 -0.0099641291 -0.0012320329
6/17/21 30.14 7.78 21.15 23.1 22.57 31.12 8.76 116 24.84 24.32 0.0125321337 0.0342465753 -0.0005172414 0.0249597424 0.0287828947
6/18/21 30.53 8.08 21.09 23.72 23.27 31.51 9.06 115.94 25.46 25.02 -0.0079339892 0.0066225166 -0.0025012938 0.0082482325 0.0035971223
6/21/21 30.28 8.14 20.8 23.93 23.36 31.26 9.12 115.65 25.67 25.11 0.0115163148 0 -0.0000864678 -0.0112972341 0.0183193947
6/22/21 30.64 8.14 20.79 23.64 23.82 31.62 9.12 115.64 25.38 25.57 -0.0069576218 -0.0054824561 -0.002594258 -0.0228526399 0.0332420806
6/23/21 30.42 8.09 20.49 23.06 24.67 31.4 9.07 115.34 24.8 26.42 0.0060509554 -0.006615215 0.0017340038 0.0318548387 -0.0143830431
6/24/21 30.61 8.03 20.69 23.85 24.29 31.59 9.01 115.54 25.59 26.04 0.0079138968 -0.0011098779 0.0152328198 0.021101993 0.0134408602
6/25/21 30.86 8.02 22.45 24.39 24.64 31.84 9 117.3 26.13 26.39 0.0270100503 -0.0122222222 0.0049445865 -0.0015308075 -0.0011367942
6/28/21 31.72 7.91 23.03 24.35 24.61 32.7 8.89 117.88 26.09 26.36 0.0149847095 -0.0247469066 -0.0037326094 -0.004982752 -0.0178300455
6/29/21 32.21 7.69 22.59 24.22 24.14 33.19 8.67 117.44 25.96 25.89 0.0150647785 0.0034602076 0.0034059946 0.0127118644 0.0135187331
6/30/21 32.71 7.72 22.99 24.55 24.49 33.69 8.7 117.84 26.29 26.24 0.0014841199 0.091954023 -0.0035641548 0.0034233549 0.0266768293
7/1/21 32.76 8.52 22.57 24.64 25.19 33.74 9.5 117.42 26.38 26.94 0.0017783047 0.0631578947 -0.0145631068 0 -0.0051967335
7/2/21 32.82 9.12 20.86 24.64 25.05 33.8 10.1 115.71 26.38 26.8 -0.0156804734 -0.0168316832 0.0024198427 -0.0253980288 0.0052238806
7/5/21 32.29 8.95 21.14 23.97 25.19 33.27 9.93 115.99 25.71 26.94 -0.0138262699 0.0463242699 -0.0229330115 0.0015558149 -0.007423905
7/6/21 31.83 9.41 18.48 24.01 24.99 32.81 10.39 113.33 25.75 26.74 0.021639744 0.0635226179 0.0054707491 0.0178640777 0.0063575168
7/7/21 32.54 10.07 19.1 24.47 25.16 33.52 11.05 113.95 26.21 26.91 0.004176611 0.0823529412 -0.0064940763 -0.0045784052 0.005574136
7/8/21 32.68 10.98 18.36 24.35 25.31 33.66 11.96 113.21 26.09 27.06 0.0237670826 -0.0610367893 0.0028266054 0.0095822154 0.0314116778
7/9/21 33.48 10.25 18.68 24.6 26.16 34.46 11.23 113.53 26.34 27.91 -0.0113174695 0.0151380232 0.0005284947 -0.0129081245 -0.0222142601
7/12/21 33.09 10.42 18.74 24.26 25.54 34.07 11.4 113.59 26 27.29 -0.0032286469 0.0175438596 0.0022889339 -0.0061538462 -0.0278490289
7/13/21 32.98 10.62 19 24.1 24.78 33.96 11.6 113.85 25.84 26.53 0.0023557126 -0.0120689655 -0.002020202 0.0061919505 -0.0086694308
7/14/21 33.06 10.48 18.77 24.26 24.55 34.04 11.46 113.62 26 26.3 -0.0032314924 0.0261780105 0.000528076 0.0111538462 -0.0011406844
7/15/21 32.95 10.78 18.83 24.55 24.52 33.93 11.76 113.68 26.29 26.27 -0.0079575597 -0.0340136054 -0.0041344124 0.0174971472 -0.0167491435
7/16/21 32.68 10.38 18.36 25.01 24.08 33.66 11.36 113.21 26.75 25.83 -0.0041592395 0.0413732394 -0.0014133027 0.0358878505 0.0181958962
7/19/21 32.54 10.85 18.2 25.97 24.55 33.52 11.83 113.05 27.71 26.3 -0.0089498807 0.0152155537 0.0035382574 -0.0241789968 0.0087452471
7/20/21 32.24 11.03 18.6 25.3 24.78 33.22 12.01 113.45 27.04 26.53 -0.0066225166 0.0074937552 0.004583517 -0.0029585799 0.0418394271
7/21/21 32.02 11.12 19.12 25.22 25.89 33 12.1 113.97 26.96 27.64 -0.0157575758 0.0173553719 0.0014916206 0 0.0340086831
7/22/21 31.5 11.33 19.29 25.22 26.83 32.48 12.31 114.14 26.96 28.58 0.0252463054 0.0731112916 -0.002978798 -0.006305638 0.066480056
7/23/21 32.32 12.23 18.95 25.05 28.73 33.3 13.21 113.8 26.79 30.48 0.0381381381 0.0567751703 -0.0023725835 0.022023143 0.0219816273
7/26/21 33.59 12.98 18.68 25.64 29.4 34.57 13.96 113.53 27.38 31.15 0.009545849 -0.0121776504 0.000792742 -0.0047479912 0.0093097913
7/27/21 33.92 12.81 18.77 25.51 29.69 34.9 13.79 113.62 27.25 31.44 -0.0103151862 -0.031182016 -0.0062488998 0.0029357798 -0.0248091603
7/28/21 33.56 12.38 18.06 25.59 28.91 34.54 13.36 112.91 27.33 30.66 -0.0118702953 -0.0538922156 -0.0026569834 -0.0029271862 -0.0143509459
7/29/21 33.15 11.66 17.76 25.51 28.47 34.13 12.64 112.61 27.25 30.22 -0.019337826 0.1946202532 0.0079033834 0.0319266055 0.0135671741
7/30/21 32.49 14.12 18.65 26.38 28.88 33.47 15.1 113.5 28.12 30.63 -0.0158350762 0.0158940397 -0.0005286344 0.0060455192 0.0045706823
8/2/21 31.96 14.36 18.59 26.55 29.02 32.94 15.34 113.44 28.29 30.77 -0.0133576199 0.0267275098 -0.0024682652 0.0222693531 -0.0019499513
8/3/21 31.52 14.77 18.31 27.18 28.96 32.5 15.75 113.16 28.92 30.71 -0.0212307692 0.0812698413 -0.0010604454 -0.0172890733 -0.0045587756
8/4/21 30.83 16.05 18.19 26.68 28.82 31.81 17.03 113.04 28.42 30.57 0.0355234203 -0.0504991192 0.0017692852 -0.0119634061 0.0029440628
8/5/21 31.96 15.19 18.39 26.34 28.91 32.94 16.17 113.24 28.08 30.66 -0.022465088 -0.0723562152 0.0173966796 -0.030982906 -0.0525114155
8/6/21 31.22 14.02 20.36 25.47 27.3 32.2 15 115.21 27.21 29.05 -0.0034161491 0.0213333333 -0.0025171426 0.0121278942 -0.004130809
8/9/21 31.11 14.34 20.07 25.8 27.18 32.09 15.32 114.92 27.54 28.93 -0.0171392957 -0.0208877285 -0.0044378698 -0.0348583878 0.0100241963
8/10/21 30.56 14.02 19.56 24.84 27.47 31.54 15 114.41 26.58 29.22 -0.005389981 0.0526666667 -0.0014858841 -0.0075244545 -0.0099247091
8/11/21 30.39 14.81 19.39 24.64 27.18 31.37 15.79 114.24 26.38 28.93 0.0168951227 0.0012666244 0.006302521 0.0060652009 0.0718976841
8/12/21 30.92 14.83 20.11 24.8 29.26 31.9 15.81 114.96 26.54 31.01 0.007523511 0.0177103099 -0.0002609603 0.001507159 0
8/13/21 31.16 15.11 20.08 24.84 29.26 32.14 16.09 114.93 26.58 31.01 -0.0049782203 -0.0323182101 -0.0002610285 -0.0139202408 -0.0132215414
8/16/21 31 14.59 20.05 24.47 28.85 31.98 15.57 114.9 26.21 30.6 -0.0146966854 -0.0134874759 -0.0010443864 0.0030522701 -0.0039215686
8/17/21 30.53 14.38 19.93 24.55 28.73 31.51 15.36 114.78 26.29 30.48 0.0034909553 0.0013020833 -0.0007841087 -0.0095093191 -0.000984252
8/18/21 30.64 14.4 19.84 24.3 28.7 31.62 15.38 114.69 26.04 30.45 0.018342821 0.0039011704 0.0075856657 -0.0238095238 0.0239737274
8/19/21 31.22 14.46 20.71 23.68 29.43 32.2 15.44 115.56 25.42 31.18 0.0214285714 0.067357513 0.0005192108 0.0031471282 0.0093008339
8/20/21 31.91 15.5 20.77 23.76 29.72 32.89 16.48 115.62 25.5 31.47 -0.0033444816 -0.0285194175 -0.0005189414 0.0098039216 0.0076263108
8/23/21 31.8 15.03 20.71 24.01 29.96 32.78 16.01 115.56 25.75 31.71 -0.0179987797 -0.0168644597 -0.0089996539 0.0147572816 -0.0056764428
8/24/21 31.21 14.76 19.67 24.39 29.78 32.19 15.74 114.52 26.13 31.53 0.0086983535 -0.0120711563 -0.0020083828 -0.0130118638 -0.0111005392
8/25/21 31.49 14.57 19.44 24.05 29.43 32.47 15.55 114.29 25.79 31.18 -0.0006159532 0.0032154341 -0.0112870767 0.0325707639 0.0449005773
8/26/21 31.47 14.62 18.15 24.89 30.83 32.45 15.6 113 26.63 32.58 -0.0061633282 -0.0205128205 0.0004424779 -0.0127675554 -0.0042971148
8/27/21 31.27 14.3 18.2 24.55 30.69 32.25 15.28 113.05 26.29 32.44 -0.0086821705 -0.0503926702 0.0007961079 -0.0220616204 0.0018495684
8/30/21 30.99 13.53 18.29 23.97 30.75 31.97 14.51 113.14 25.71 32.5 -0.0059430716 0.0592694693 -0.0007954746 -0.0178918709 0
8/31/21 30.8 14.39 18.2 23.51 30.75 31.78 15.37 113.05 25.25 32.5 0.0078665828 -0.0416395576 -0.0017691287 -0.0079207921 0.02
9/1/21 31.05 13.75 18 23.31 31.4 32.03 14.73 112.85 25.05 33.15 -0.0215423041 -0.0441276307 -0.0092157732 -0.0283433134 0.0018099548
9/2/21 30.36 13.1 16.96 22.6 31.46 31.34 14.08 111.81 24.34 33.21 -0.0098915124 -0.0248579545 -0.0072444325 -0.0805258833 -0.0159590485
9/3/21 30.05 12.75 16.15 20.64 30.93 31.03 13.73 111 22.38 32.68 0.0232033516 0.005826657 0.004954955 -0.0259159964 0.0143818849
9/6/21 30.77 12.83 16.7 20.06 31.4 31.75 13.81 111.55 21.8 33.15 0.0296062992 0.0209992759 0.0035858359 0.0036697248 0.0045248869
9/7/21 31.71 13.12 17.1 20.14 31.55 32.69 14.1 111.95 21.88 33.3 -0.0100948302 0.0390070922 -0.0011612327 0.0155393053 0.0018018018
9/8/21 31.38 13.67 16.97 20.48 31.61 32.36 14.65 111.82 22.22 33.36 0.0290482077 0.0505119454 -0.0016097299 0.0072007201 -0.0431654676
9/9/21 32.32 14.41 16.79 20.64 30.17 33.3 15.39 111.64 22.38 31.92 0.0018018018 -0.0116959064 -0.0002687209 -0.0205540661 0.0056390977
9/10/21 32.38 14.23 16.76 20.18 30.35 33.36 15.21 111.61 21.92 32.1 -0.0215827338 0.0118343195 -0.0034047128 -0.049270073 -0.0137071651
9/13/21 31.66 14.41 16.38 19.1 29.91 32.64 15.39 111.23 20.84 31.66 0.0220588235 0.0539311241 0.0064730738 0.0499040307 0.0063171194
9/14/21 32.38 15.24 17.1 20.14 30.11 33.36 16.22 111.95 21.88 31.86 0.0164868106 0.0672009864 -0.0012505583 0.0265082267 0.0194601381
9/15/21 32.93 16.33 16.96 20.72 30.73 33.91 17.31 111.81 22.46 32.48 0.00678266 0.0641247834 0.0101064306 -0.0369545859 0.0360221675
9/16/21 33.16 17.44 18.09 19.89 31.9 34.14 18.42 112.94 21.63 33.65 0.0210896309 0.0580890337 0.003010448 0.0018492834 -0.0068350669
9/17/21 33.88 18.51 18.43 19.93 31.67 34.86 19.49 113.28 21.67 33.42 0.0174985657 0.0041046691 0.0045903955 0.0156898939 0.0008976661
9/20/21 34.49 18.59 18.95 20.27 31.7 35.47 19.57 113.8 22.01 33.45 -0.010149422 0.0224833929 -0.0037785589 -0.0040890504 0.0059790732
9/21/21 34.13 19.03 18.52 20.18 31.9 35.11 20.01 113.37 21.92 33.65 0 -0.0219890055 0.0015877216 0.0401459854 0.0139673105
9/22/21 34.13 18.59 18.7 21.06 32.37 35.11 19.57 113.55 22.8 34.12 -0.0467103389 0.1354113439 -0.002553941 -0.0039473684 0.0319460727
9/23/21 32.49 21.24 18.41 20.97 33.46 33.47 22.22 113.26 22.71 35.21 0.0059755004 0.0166516652 -0.004149744 -0.0400704535 -0.0034081227
9/24/21 32.69 21.61 17.94 20.06 33.34 33.67 22.59 112.79 21.8 35.09 -0.0175230175 0.1460823373 0.0005319621 -0.0362385321 0.0333428327
9/27/21 32.1 24.91 18 19.27 34.51 33.08 25.89 112.85 21.01 36.26 0.0293228537 -0.0397837003 0.0035445281 -0.0475963827 0.0082735797
9/28/21 33.07 23.88 18.4 18.27 34.81 34.05 24.86 113.25 20.01 36.56 -0.0193832599 -0.0245374095 0.0068874172 0.0249875062 -0.0144967177
9/29/21 32.41 23.27 19.18 18.77 34.28 33.39 24.25 114.03 20.51 36.03 -0.0167714885 0.0115463918 0.0086819258 0.0424183325 0.0080488482
9/30/21 31.85 23.55 20.17 19.64 34.57 32.83 24.53 115.02 21.38 36.32 0.0328967408 -0.009783938 -0.0035645975 -0.0056127222 -0.0104625551
10/1/21 32.93 23.31 19.76 19.52 34.19 33.91 24.29 114.61 21.26 35.94 0.0212326747 -0.0242898312 0.0075909606 0.0018814675 -0.0219810796
10/4/21 33.65 22.72 20.63 19.56 33.4 34.63 23.7 115.48 21.3 35.15 0.0193473867 0.0261603376 0 0.017370892 0.0099573257
10/5/21 34.32 23.34 20.63 19.93 33.75 35.3 24.32 115.48 21.67 35.5 0.002266289 -0.0049342105 -0.0023380672 0.0041532072 0.0183098592
10/6/21 34.4 23.22 20.36 20.02 34.4 35.38 24.2 115.21 21.76 36.15 0.0008479367 0.041322314 -0.0016491624 0.0284926471 -0.0780082988
10/7/21 34.43 24.22 20.17 20.64 31.58 35.41 25.2 115.02 22.38 33.33 -0.0327591076 -0.0218253968 0.000434707 -0.0317247542 0.0159015902
10/8/21 33.27 23.67 20.22 19.93 32.11 34.25 24.65 115.07 21.67 33.86 0.0201459854 -0.0365111562 0.0010428435 0.0115366867 -0.0112226816
10/11/21 33.96 22.77 20.34 20.18 31.73 34.94 23.75 115.19 21.92 33.48 0.0054378935 0.0370526316 0.0064241688 -0.0150547445 0.0023894863
10/12/21 34.15 23.65 21.08 19.85 31.81 35.13 24.63 115.93 21.59 33.56 0.0025619129 -0.030044661 -0.0009488484 -0.0421491431 -0.0086412396
10/13/21 34.24 22.91 20.97 18.94 31.52 35.22 23.89 115.82 20.68 33.27 0.0008517888 -0.0071159481 -0.0025038853 0.0478723404 -0.0045085663
10/14/21 34.27 22.74 20.68 19.93 31.37 35.25 23.72 115.53 21.67 33.12 -0.0207092199 -0.0476391231 0.0007790184 -0.0341485925 -0.0307971014
10/15/21 33.54 21.61 20.77 19.19 30.35 34.52 22.59 115.62 20.93 32.1 -0.027230591 -0.0146082337 -0.0060543159 -0.0023889154 -0.031152648
10/18/21 32.6 21.28 20.07 19.14 29.35 33.58 22.26 114.92 20.88 31.1 0.0190589637 -0.0139263252 0.0048729551 -0.0277777778 -0.0131832797
10/19/21 33.24 20.97 20.63 18.56 28.94 34.22 21.95 115.48 20.3 30.69 0.0073056692 0.0396355353 0.0061482508 -0.018226601 0.0026067123
10/20/21 33.49 21.84 21.34 18.19 29.02 34.47 22.82 116.19 19.93 30.77 -0.0194371918 0.0438212095 -0.0051639556 -0.0270948319 0.0412739682
10/21/21 32.82 22.84 20.74 17.65 30.29 33.8 23.82 115.59 19.39 32.04 0.0139053254 0.0419815281 0.0022493295 -0.0046415678 0.0190387016
10/22/21 33.29 23.84 21 17.56 30.9 34.27 24.82 115.85 19.3 32.65 0.0090458127 -0.0261885576 -0.0007768666 0 -0.0061255743
10/25/21 33.6 23.19 20.91 17.56 30.7 34.58 24.17 115.76 19.3 32.45 0.0153267785 -0.0078609847 0.0091568763 -0.0150259067 -0.0064714946
10/26/21 34.13 23 21.97 17.27 30.49 35.11 23.98 116.82 19.01 32.24 -0.0119624039 0.0575479566 -0.0075329567 0.0394529195 0.0127171216
10/27/21 33.71 24.38 21.09 18.02 30.9 34.69 25.36 115.94 19.76 32.65 0.0080714903 -0.0212933754 -0.0022425392 -0.0086032389 0.0027565084
10/28/21 33.99 23.84 20.83 17.85 30.99 34.97 24.82 115.68 19.59 32.74 0.0054332285 0.0233682514 -0.0006915629 0.0275650842 -0.0079413561
10/29/21 34.18 24.42 20.75 18.39 30.73 35.16 25.4 115.6 20.13 32.48 -0.0071103527 -0.0015748031 -0.0003460208 0.0064580229 0.0107758621
11/1/21 33.93 24.38 20.71 18.52 31.08 34.91 25.36 115.56 20.26 32.83 0.0111715841 -0.0063091483 -0.0030287297 -0.0083909181 -0.0277185501
11/2/21 34.32 24.22 20.36 18.35 30.17 35.3 25.2 115.21 20.09 31.92 -0.0994334278 -0.2765873016 -0.0251714261 -0.0642110503 -0.1124686717
11/3/21 30.81 17.25 17.46 17.06 26.58 31.79 18.23 112.31 18.8 28.33 0.0471846493 0.0444322545 0.0105066334 0.0707446809 0.0603600424
11/4/21 32.31 18.06 18.64 18.39 28.29 33.29 19.04 113.49 20.13 30.04 0.0045058576 0.0724789916 -0.0024671777 0.0024838549 -0.0186418109
11/5/21 32.46 19.44 18.36 18.44 27.73 33.44 20.42 113.21 20.18 29.48 0.029007177 -0.0313418217 0.0040632453 -0.0084241824 -0.0139077341
11/8/21 33.43 18.8 18.82 18.27 27.32 34.41 19.78 113.67 20.01 29.07 0.0162743389 0.0020222447 0.0032550365 -0.0019990005 0.0030959752
11/9/21 33.99 18.84 19.19 18.23 27.41 34.97 19.82 114.04 19.97 29.16 -0.0062911067 0.0570131181 0.0017537706 0.004006009 0.0264060357
11/10/21 33.77 19.97 19.39 18.31 28.18 34.75 20.95 114.24 20.05 29.93 0.0094964029 0 0.012605042 0.0683291771 -0.0090210491
11/11/21 34.1 19.97 20.83 19.68 27.91 35.08 20.95 115.68 21.42 29.66 0.0333523375 0.0477326969 0.0019017981 -0.0154061625 -0.008091706
11/12/21 35.27 20.97 21.05 19.35 27.67 36.25 21.95 115.9 21.09 29.42 -0.0115862069 0.0054669704 0.0002588438 -0.003793267 -0.007817811
11/15/21 34.85 21.09 21.08 19.27 27.44 35.83 22.07 115.93 21.01 29.19 -0.0147920737 0.1019483462 -0.0018976969 -0.0019038553 0.0119904077
11/16/21 34.32 23.34 20.86 19.23 27.79 35.3 24.32 115.71 20.97 29.54 0.030878187 0.0304276316 -0.0009506525 0.0038149738 -0.0409614083
11/17/21 35.41 24.08 20.75 19.31 26.58 36.39 25.06 115.6 21.05 28.33 -0.0129156362 0.0662410215 -0.0022491349 -0.0175771971 0.0021178962
11/18/21 34.94 25.74 20.49 18.94 26.64 35.92 26.72 115.34 20.68 28.39 0.0147550111 0.1395958084 0.0074562164 0.0502901354 0
11/19/21 35.47 29.47 21.35 19.98 26.64 36.45 30.45 116.2 21.72 28.39 -0.0085048011 -0.0216748768 -0.0037005164 -0.0326887661 0.0052835505
11/22/21 35.16 28.81 20.92 19.27 26.79 36.14 29.79 115.77 21.01 28.54 -0.0116214721 0.0483383686 0.0063919841 0.027605902 0.0073580939
11/23/21 34.74 30.25 21.66 19.85 27 35.72 31.23 116.51 21.59 28.75 -0.0179171333 -0.0643611912 -0.0102137156 -0.0866141732 0.0427826087
11/24/21 34.1 28.24 20.47 17.98 28.23 35.08 29.22 115.32 19.72 29.98 0.0096921323 0.1201232033 0.0008671523 0.0187626775 -0.0293529019
11/25/21 34.44 31.75 20.57 18.35 27.35 35.42 32.73 115.42 20.09 29.1 0.029079616 -0.0091659028 -0.0070178479 0.037332006 -0.0120274914
11/26/21 35.47 31.45 19.76 19.1 27 36.45 32.43 114.61 20.84 28.75 0.0013717421 -0.0077089115 -0.0020068057 0.004318618 0.0163478261
11/27/21 35.52 31.2 19.53 19.19 27.47 36.5 32.18 114.38 20.93 29.22

Question 1

You would like to purchase a call option for the high tech stock MCCA. MCCA
Assume today is April 29, 2021, before the market has opened. Option Type Stock Price IV Strike Price Exp Vol Open Int
Call 21.18 36.32% 20.00 May, 2021 3,051 40,421
Annual interest rate = 3.00% Trading days per year = 252
a) How many days (for price calculations) until the option expires? Days =
Points 4
Grade
b) Based on the information shown in the table to the right, create the
complete daily binomial lattice for the stock price. Show your latttice.
Points 2
Grade
c) Using a daily binomial lattice, calculate the option value. Option Value =
Show your option value lattice.
Points 2
Grade
d) Estimate the delta and the gamma for this option using the binomial Delta =
lattice results. Gamma =
Points 3
Grade

Question 2

You would like to purchase a put option for the high tech stock MCCA. MCCA
Assume today is April 29, 2021, before the market has opened. Option Type Stock Price IV Strike Price Exp Vol Open Int
Put 21.18 36.32% 20.00 May, 2021 3,051 40,421
Annual interest rate = 3.00% Trading days per year = 252
a) Based on the information shown in the table to the right, use the daily American
binomial lattice method to estimate the American put option value. Option Value =
Show your lattice.
Points 4
Grade
b) Based on the information shown in the table to the right, use the daily European
binomial lattice method to estimate the European put option value. Option Value =
Show your lattice.
Points 4
Grade
European Put Day 0
Option Value ERROR:#DIV/0!

Question 3

Based on the information shown in the table to the right, answer the following ABCD
questions, a through e. Option Type Stock Price IV Strike Price Exp Vol Open Int
Assume today is April 29, 2021, before the market has opened. 25.28 41.52% 24.00 May, 2021 4,892 55,057
Annual interest rate 3.30% Trading days per year 252
a) Calculate the call option value using the Balck-Scholes equations. Call
Option Value =
Points 2
Grade
b) Calculate the put option value using the Black-Scholes equations. Put
Option Value =
Points 2
Grade
c) Using the Black -Scholes equations, calculate the Greeks for the call option. Call
Points 2 Delta =
Grade Gamma =
Theta =
Vega =
Rho =
d) Using the Black -Scholes equations, calculate the Greeks for the put option. Put
Points 2 Delta =
Grade Gamma =
Theta =
Vega =
Rho =
e) If a portfolio included 500 of the call options described above, how many put Quantity =
options would be required to provide a zero delta portfolio?
Note, this does not need to be in 100 unit increments.
Points 2
Grade

Question 4

Assume today is November 27, 2021. One year ago, on December 11, 2020, you created a Various Stock Closing Prices Portfolio Value
minimum variance portfolio based from the five stocks shown to the right. Date Stock A Stock B Stock C Stock D Stock E Date Stock A Stock B Stock C Stock D Stock E Portfolio RoR
12/11/20 27.8 4.8 114.67 19.56 26.57 12/11/20
Weight 12/14/20 27.26 3.9 114.04 19.05 26.16 12/14/20
The minimum variance weights for the five stock portfolio are: Stock A -0.0322876747 12/15/20 27.69 3.98 114.63 19.22 26.73 12/15/20
Stock B -0.0183913678 12/16/20 27.31 3.72 114.09 19.14 26.73 12/16/20
Stock C 1.0139979572 12/17/20 26.83 3.77 113.83 19.47 26.39 12/17/20
Stock D 0.0105871759 12/18/20 28.8 3.8 113.67 20.56 26.57 12/18/20
Stock E 0.0260939093 12/21/20 27.63 3.51 113.4 19.88 25.59 12/21/20
12/22/20 27.21 3.5 113.45 19.55 25.7 12/22/20
The total value of the portfolio when you satrted on December 11, 2020, was $ 1,000,000.00 12/23/20 27.42 3.57 114.1 19.39 25.7 12/23/20
12/24/20 26.96 3.64 113.74 19.3 25.59 12/24/20
12/25/20 26.64 3.59 114.5 19.8 25.07 12/25/20
a) Determine the portfolio value for each of the trading days this past year; fill in 12/28/20 26.8 3.6 114.72 20.22 25.19 12/28/20
the yellow cells in the table provided to the right. 12/29/20 26.8 3.62 115.46 20.38 25.36 12/29/20
Points 4 12/30/20 26.59 3.65 115.2 20.22 24.9 12/30/20
Grade 12/31/20 26.59 3.74 113.08 19.88 24.21 12/31/20
1/1/21 26.75 3.69 112.5 20.3 24.15 1/1/21
b) Using all 252 trading days worth of stock data that you have accumulated since 95% VaR = 1/4/21 26.59 3.6 112.2 20.72 23.81 1/4/21
the beginning of your investment, calculate the 95% VaR and the 99% VaR 99% VaR = 1/5/21 26.53 3.68 112.28 20.88 23.75 1/5/21
using the Historical Method. 1/6/21 26.91 3.65 112.62 21.22 23.86 1/6/21
Points 7 1/7/21 28.53 3.56 112.81 20.13 24.67 1/7/21
Grade 1/8/21 29.23 3.65 112.34 20.63 24.79 1/8/21
1/11/21 29.6 3.67 112.47 20.55 24.9 1/11/21
1/12/21 29.55 3.87 112.78 20.72 24.67 1/12/21
1/13/21 29.01 3.9 113.07 20.8 24.32 1/13/21
1/14/21 29.39 4.25 112.72 21.22 24.79 1/14/21
1/15/21 28.58 4.06 112.53 20.97 24.15 1/15/21
1/18/21 29.6 4.08 112.87 21.3 24.61 1/18/21
1/19/21 29.09 4.08 112.71 20.88 24.04 1/19/21
1/20/21 28.53 4 112.34 20.8 24.27 1/20/21
1/21/21 28.2 3.82 111.78 21.72 24.15 1/21/21
1/22/21 28.34 3.79 112.26 21.55 24.04 1/22/21
1/25/21 28.66 3.77 112.5 21.63 24.21 1/25/21
1/26/21 28.9 4.13 112.79 21.45 24.12 1/26/21
1/27/21 29.23 4.29 113.07 21.34 24.21 1/27/21
1/28/21 28.12 5.02 114.03 21.47 25.04 1/28/21
1/29/21 27.61 5.19 114.55 21.55 24.7 1/29/21
2/1/21 27.72 5.07 116.37 21.67 24.76 2/1/21
2/2/21 27.88 4.89 116.23 20.97 24.9 2/2/21
2/3/21 28.12 5.18 116.46 20.05 25.19 2/3/21
2/4/21 27.99 5.07 116.6 21.8 25.68 2/4/21
2/5/21 27.67 4.94 116.7 21.72 25.94 2/5/21
2/8/21 27.53 4.97 116.57 22.09 26.28 2/8/21
2/9/21 27.1 4.94 116.41 21.59 26.51 2/9/21
2/10/21 27.77 5.69 117.24 21.67 26.51 2/10/21
2/11/21 27.31 5.58 117.68 20.47 25.97 2/11/21
2/12/21 27.26 5.43 118.44 20.3 26.14 2/12/21
2/15/21 27.48 5.51 119.16 19.97 25.74 2/15/21
2/16/21 27.82 5.56 119.25 19.84 25.88 2/16/21
2/17/21 26.13 5.42 118.29 19.76 25.53 2/17/21
2/18/21 25.8 5.22 118.09 19.14 25.3 2/18/21
2/19/21 25.59 5.18 118.35 19.05 24.99 2/19/21
2/22/21 26.42 5.11 118.23 20.09 25.45 2/22/21
2/23/21 25.34 5.02 117.31 20.13 24.79 2/23/21
2/24/21 26.86 5.76 119.35 20.63 24.76 2/24/21
2/25/21 26.67 5.63 118.84 20.05 24.61 2/25/21
2/26/21 26.48 5.62 118.3 20.76 24.67 2/26/21
3/1/21 26.07 5.71 117.82 20.63 24.47 3/1/21
3/2/21 25.83 5.64 117.45 20.34 24.09 3/2/21
3/3/21 25.61 5.94 117.31 19.88 23.66 3/3/21
3/4/21 26.34 5.97 118.03 20.68 23.63 3/4/21
3/5/21 26.15 6.06 117.72 20.84 23.46 3/5/21
3/8/21 26.48 6.2 117.92 21.22 23.17 3/8/21
3/9/21 26.24 6.65 117.91 20.93 23.28 3/9/21
3/10/21 25.39 7.64 118.14 20.47 23.11 3/10/21
3/11/21 25.58 7.9 118.07 19.88 23.4 3/11/21
3/12/21 25.96 7.72 117.83 19.8 23.4 3/12/21
3/15/21 26.1 7 117.3 20.18 23.08 3/15/21
3/16/21 26.51 7.37 118.21 20.22 23.51 3/16/21
3/17/21 26.45 7.4 118.12 21.17 23.89 3/17/21
3/18/21 27.16 7.68 118.35 21.13 24.09 3/18/21
3/19/21 26.72 7.32 119.02 20.68 24.24 3/19/21
3/22/21 26.45 7.42 118.16 20.47 24.24 3/22/21
3/23/21 25.99 7.24 117.55 20.47 23.89 3/23/21
3/24/21 26.05 7.25 117.36 21.13 23.8 3/24/21
3/25/21 26.13 7.37 117.59 21.63 24.15 3/25/21
3/26/21 26.42 7.86 117.55 21.84 23.95 3/26/21
3/29/21 26.89 7.89 117.6 21.97 24.01 3/29/21
3/30/21 27.27 7.92 117.94 22.67 23.69 3/30/21
3/31/21 27.07 7.58 117.53 22.42 23.43 3/31/21
4/1/21 27.32 7.37 117.42 22.09 23.05 4/1/21
4/2/21 27.24 7.36 117.24 22.26 23.11 4/2/21
4/5/21 26.78 7.42 115.99 22.13 23.11 4/5/21
4/6/21 26.61 7.09 115.35 23.55 23.86 4/6/21
4/7/21 26.97 7.37 115.6 23.8 24.27 4/7/21
4/8/21 27.02 7.6 115.32 23.09 24.21 4/8/21
4/9/21 26.4 7.3 114.81 22.42 23.6 4/9/21
4/12/21 26.31 6.93 114.36 22.55 23.57 4/12/21
4/13/21 25.8 6.14 114.44 21.84 22.91 4/13/21
4/14/21 25.53 6.19 113.35 21.42 22.41 4/14/21
4/15/21 25.91 6.46 113.65 22.09 22.5 4/15/21
4/16/21 26.61 6.74 114.02 22.34 22.88 4/16/21
4/19/21 27.11 7.36 113.39 21.84 23.08 4/19/21
4/20/21 26.97 7.17 113.76 22.05 22.47 4/20/21
4/21/21 26.91 7.06 113.19 21.67 22.47 4/21/21
4/22/21 27.29 6.73 113.47 21.84 22.91 4/22/21
4/23/21 26.34 6.42 113.15 21.22 23.22 4/23/21
4/26/21 27.02 6.69 113.88 21.3 23.6 4/26/21
4/27/21 28.55 7.45 114.08 22.26 23.43 4/27/21
4/28/21 28.61 7.31 114.15 22.22 23.98 4/28/21
4/29/21 29.1 7.68 114.6 22.13 24.27 4/29/21
4/30/21 29.4 7.59 114.44 22.76 24.32 4/30/21
5/3/21 29.04 7.04 113.92 22.26 24.44 5/3/21
5/4/21 29.29 7.73 114.75 23.71 24.5 5/4/21
5/5/21 29.15 7.6 113.91 23.76 24.47 5/5/21
5/6/21 29.21 7.72 114.02 23.84 24.21 5/6/21
5/7/21 29.15 7.71 113.58 23.88 23.91 5/7/21
5/10/21 29.43 8.39 113.31 24.67 23.91 5/10/21
5/11/21 29.87 8.34 113.09 24.13 23.71 5/11/21
5/12/21 29.51 8.31 112.38 23.71 23.16 5/12/21
5/13/21 28.99 8.42 112.06 23.76 23.33 5/13/21
5/14/21 29.43 8.23 112.46 24.67 23.16 5/14/21
5/17/21 30.22 8.25 111.73 23.38 22.69 5/17/21
5/18/21 29.98 8.72 111.94 23.09 23.13 5/18/21
5/19/21 30.28 9.04 112.29 22.88 23.33 5/19/21
5/20/21 29.89 9.12 111.99 22.63 23.33 5/20/21
5/21/21 29.46 9.04 112 22.71 23.13 5/21/21
5/24/21 29.98 9.86 112.35 23.26 23.74 5/24/21
5/25/21 29.81 9.64 112 23.8 23.97 5/25/21
5/26/21 29.46 9.26 112.58 23.38 23.91 5/26/21
5/27/21 29.43 8.85 113.04 23.63 23.86 5/27/21
5/28/21 28.99 8.98 112.7 23.67 23.91 5/28/21
5/31/21 29.26 8.72 112.4 23.42 22.87 5/31/21
6/1/21 29.84 8.79 113.31 23.96 23.33 6/1/21
6/2/21 30.03 9.2 113.64 24.3 23.68 6/2/21
6/3/21 30.09 9.36 113.27 24.3 23.65 6/3/21
6/4/21 29.73 9.15 113.24 24.46 23.54 6/4/21
6/7/21 30.41 8.77 113.53 24.13 24.03 6/7/21
6/8/21 30.25 8.7 113.7 24.3 23.65 6/8/21
6/9/21 30.39 8.47 113.82 24.46 23.62 6/9/21
6/10/21 30.5 8.49 114.19 24.75 23.77 6/10/21
6/11/21 30.28 8.9 114.66 24.71 23.68 6/11/21
6/14/21 31.1 9.23 115.16 25.17 23.91 6/14/21
6/15/21 31.4 9.08 115.96 24.59 24.35 6/15/21
6/16/21 31.07 8.94 116.26 25.09 24.35 6/16/21
6/17/21 31.12 8.76 116 24.84 24.32 6/17/21
6/18/21 31.51 9.06 115.94 25.46 25.02 6/18/21
6/21/21 31.26 9.12 115.65 25.67 25.11 6/21/21
6/22/21 31.62 9.12 115.64 25.38 25.57 6/22/21
6/23/21 31.4 9.07 115.34 24.8 26.42 6/23/21
6/24/21 31.59 9.01 115.54 25.59 26.04 6/24/21
6/25/21 31.84 9 117.3 26.13 26.39 6/25/21
6/28/21 32.7 8.89 117.88 26.09 26.36 6/28/21
6/29/21 33.19 8.67 117.44 25.96 25.89 6/29/21
6/30/21 33.69 8.7 117.84 26.29 26.24 6/30/21
7/1/21 33.74 9.5 117.42 26.38 26.94 7/1/21
7/2/21 33.8 10.1 115.71 26.38 26.8 7/2/21
7/5/21 33.27 9.93 115.99 25.71 26.94 7/5/21
7/6/21 32.81 10.39 113.33 25.75 26.74 7/6/21
7/7/21 33.52 11.05 113.95 26.21 26.91 7/7/21
7/8/21 33.66 11.96 113.21 26.09 27.06 7/8/21
7/9/21 34.46 11.23 113.53 26.34 27.91 7/9/21
7/12/21 34.07 11.4 113.59 26 27.29 7/12/21
7/13/21 33.96 11.6 113.85 25.84 26.53 7/13/21
7/14/21 34.04 11.46 113.62 26 26.3 7/14/21
7/15/21 33.93 11.76 113.68 26.29 26.27 7/15/21
7/16/21 33.66 11.36 113.21 26.75 25.83 7/16/21
7/19/21 33.52 11.83 113.05 27.71 26.3 7/19/21
7/20/21 33.22 12.01 113.45 27.04 26.53 7/20/21
7/21/21 33 12.1 113.97 26.96 27.64 7/21/21
7/22/21 32.48 12.31 114.14 26.96 28.58 7/22/21
7/23/21 33.3 13.21 113.8 26.79 30.48 7/23/21
7/26/21 34.57 13.96 113.53 27.38 31.15 7/26/21
7/27/21 34.9 13.79 113.62 27.25 31.44 7/27/21
7/28/21 34.54 13.36 112.91 27.33 30.66 7/28/21
7/29/21 34.13 12.64 112.61 27.25 30.22 7/29/21
7/30/21 33.47 15.1 113.5 28.12 30.63 7/30/21
8/2/21 32.94 15.34 113.44 28.29 30.77 8/2/21
8/3/21 32.5 15.75 113.16 28.92 30.71 8/3/21
8/4/21 31.81 17.03 113.04 28.42 30.57 8/4/21
8/5/21 32.94 16.17 113.24 28.08 30.66 8/5/21
8/6/21 32.2 15 115.21 27.21 29.05 8/6/21
8/9/21 32.09 15.32 114.92 27.54 28.93 8/9/21
8/10/21 31.54 15 114.41 26.58 29.22 8/10/21
8/11/21 31.37 15.79 114.24 26.38 28.93 8/11/21
8/12/21 31.9 15.81 114.96 26.54 31.01 8/12/21
8/13/21 32.14 16.09 114.93 26.58 31.01 8/13/21
8/16/21 31.98 15.57 114.9 26.21 30.6 8/16/21
8/17/21 31.51 15.36 114.78 26.29 30.48 8/17/21
8/18/21 31.62 15.38 114.69 26.04 30.45 8/18/21
8/19/21 32.2 15.44 115.56 25.42 31.18 8/19/21
8/20/21 32.89 16.48 115.62 25.5 31.47 8/20/21
8/23/21 32.78 16.01 115.56 25.75 31.71 8/23/21
8/24/21 32.19 15.74 114.52 26.13 31.53 8/24/21
8/25/21 32.47 15.55 114.29 25.79 31.18 8/25/21
8/26/21 32.45 15.6 113 26.63 32.58 8/26/21
8/27/21 32.25 15.28 113.05 26.29 32.44 8/27/21
8/30/21 31.97 14.51 113.14 25.71 32.5 8/30/21
8/31/21 31.78 15.37 113.05 25.25 32.5 8/31/21
9/1/21 32.03 14.73 112.85 25.05 33.15 9/1/21
9/2/21 31.34 14.08 111.81 24.34 33.21 9/2/21
9/3/21 31.03 13.73 111 22.38 32.68 9/3/21
9/6/21 31.75 13.81 111.55 21.8 33.15 9/6/21
9/7/21 32.69 14.1 111.95 21.88 33.3 9/7/21
9/8/21 32.36 14.65 111.82 22.22 33.36 9/8/21
9/9/21 33.3 15.39 111.64 22.38 31.92 9/9/21
9/10/21 33.36 15.21 111.61 21.92 32.1 9/10/21
9/13/21 32.64 15.39 111.23 20.84 31.66 9/13/21
9/14/21 33.36 16.22 111.95 21.88 31.86 9/14/21
9/15/21 33.91 17.31 111.81 22.46 32.48 9/15/21
9/16/21 34.14 18.42 112.94 21.63 33.65 9/16/21
9/17/21 34.86 19.49 113.28 21.67 33.42 9/17/21
9/20/21 35.47 19.57 113.8 22.01 33.45 9/20/21
9/21/21 35.11 20.01 113.37 21.92 33.65 9/21/21
9/22/21 35.11 19.57 113.55 22.8 34.12 9/22/21
9/23/21 33.47 22.22 113.26 22.71 35.21 9/23/21
9/24/21 33.67 22.59 112.79 21.8 35.09 9/24/21
9/27/21 33.08 25.89 112.85 21.01 36.26 9/27/21
9/28/21 34.05 24.86 113.25 20.01 36.56 9/28/21
9/29/21 33.39 24.25 114.03 20.51 36.03 9/29/21
9/30/21 32.83 24.53 115.02 21.38 36.32 9/30/21
10/1/21 33.91 24.29 114.61 21.26 35.94 10/1/21
10/4/21 34.63 23.7 115.48 21.3 35.15 10/4/21
10/5/21 35.3 24.32 115.48 21.67 35.5 10/5/21
10/6/21 35.38 24.2 115.21 21.76 36.15 10/6/21
10/7/21 35.41 25.2 115.02 22.38 33.33 10/7/21
10/8/21 34.25 24.65 115.07 21.67 33.86 10/8/21
10/11/21 34.94 23.75 115.19 21.92 33.48 10/11/21
10/12/21 35.13 24.63 115.93 21.59 33.56 10/12/21
10/13/21 35.22 23.89 115.82 20.68 33.27 10/13/21
10/14/21 35.25 23.72 115.53 21.67 33.12 10/14/21
10/15/21 34.52 22.59 115.62 20.93 32.1 10/15/21
10/18/21 33.58 22.26 114.92 20.88 31.1 10/18/21
10/19/21 34.22 21.95 115.48 20.3 30.69 10/19/21
10/20/21 34.47 22.82 116.19 19.93 30.77 10/20/21
10/21/21 33.8 23.82 115.59 19.39 32.04 10/21/21
10/22/21 34.27 24.82 115.85 19.3 32.65 10/22/21
10/25/21 34.58 24.17 115.76 19.3 32.45 10/25/21
10/26/21 35.11 23.98 116.82 19.01 32.24 10/26/21
10/27/21 34.69 25.36 115.94 19.76 32.65 10/27/21
10/28/21 34.97 24.82 115.68 19.59 32.74 10/28/21
10/29/21 35.16 25.4 115.6 20.13 32.48 10/29/21
11/1/21 34.91 25.36 115.56 20.26 32.83 11/1/21
11/2/21 35.3 25.2 115.21 20.09 31.92 11/2/21
11/3/21 31.79 18.23 112.31 18.8 28.33 11/3/21
11/4/21 33.29 19.04 113.49 20.13 30.04 11/4/21
11/5/21 33.44 20.42 113.21 20.18 29.48 11/5/21
11/8/21 34.41 19.78 113.67 20.01 29.07 11/8/21
11/9/21 34.97 19.82 114.04 19.97 29.16 11/9/21
11/10/21 34.75 20.95 114.24 20.05 29.93 11/10/21
11/11/21 35.08 20.95 115.68 21.42 29.66 11/11/21
11/12/21 36.25 21.95 115.9 21.09 29.42 11/12/21
11/15/21 35.83 22.07 115.93 21.01 29.19 11/15/21
11/16/21 35.3 24.32 115.71 20.97 29.54 11/16/21
11/17/21 36.39 25.06 115.6 21.05 28.33 11/17/21
11/18/21 35.92 26.72 115.34 20.68 28.39 11/18/21
11/19/21 36.45 30.45 116.2 21.72 28.39 11/19/21
11/22/21 36.14 29.79 115.77 21.01 28.54 11/22/21
11/23/21 35.72 31.23 116.51 21.59 28.75 11/23/21
11/24/21 35.08 29.22 115.32 19.72 29.98 11/24/21
11/25/21 35.42 32.73 115.42 20.09 29.1 11/25/21
11/26/21 36.45 32.43 114.61 20.84 28.75 11/26/21
11/27/21 36.5 32.18 114.38 20.93 29.22 11/27/21 4529239482

Question 5

We will use the same data as in Question 4, which is shown to the right. Various Stock Closing Prices Covariance Matrix
Date Stock A Stock B Stock C Stock D Stock E Stock A Stock B Stock C Stock D Stock E
12/11/20 27.8 4.8 114.67 19.56 26.57 Stock A 0.0003770798 0.0002625401 0.0000394717 0.000145333 0.0001093076
The minimum variance weights for the five stock portfolio are: Weight 12/14/20 27.26 3.9 114.04 19.05 26.16 Stock B 0.0002625401 0.0026368948 0.0000713178 0.0003279111 0.0003294576
Stock A -0.0322876747 12/15/20 27.69 3.98 114.63 19.22 26.73 Stock C 0.0000394717 0.0000713178 0.0000286221 0.000029015 0.0000255924
Stock B -0.0183913678 12/16/20 27.31 3.72 114.09 19.14 26.73 Stock D 0.000145333 0.0003279111 0.000029015 0.0006232057 0.0000810807
Stock C 1.0139979572 12/17/20 26.83 3.77 113.83 19.47 26.39 Stock E 0.0001093076 0.0003294576 0.0000255924 0.0000810807 0.0003905555
Stock D 0.0105871759 12/18/20 28.8 3.8 113.67 20.56 26.57
Stock E 0.0260939093 12/21/20 27.63 3.51 113.4 19.88 25.59
12/22/20 27.21 3.5 113.45 19.55 25.7
The total value of the portfolio when you satrted on December 11, 2020, was $ 1,000,000.00 12/23/20 27.42 3.57 114.1 19.39 25.7
12/24/20 26.96 3.64 113.74 19.3 25.59
12/25/20 26.64 3.59 114.5 19.8 25.07
a) Based on the covariance matrix provided, and using the values you invested in Variance = 12/28/20 26.8 3.6 114.72 20.22 25.19
each of the stocks in your portfolio from Question 7, determine the Variance StDev = 12/29/20 26.8 3.62 115.46 20.38 25.36
Standard Deviation and Average Return for your portfolio for today, Avg Return = 12/30/20 26.59 3.65 115.2 20.22 24.9
November 27, 2021, the last day. 12/31/20 26.59 3.74 113.08 19.88 24.21
Points 4 1/1/21 26.75 3.69 112.5 20.3 24.15
Grade 1/4/21 26.59 3.6 112.2 20.72 23.81
1/5/21 26.53 3.68 112.28 20.88 23.75
b) Using the Variance-Covariance Method, calculate the 95% VaR and 99% VaR. 95% VaR = 1/6/21 26.91 3.65 112.62 21.22 23.86
99% VaR = 1/7/21 28.53 3.56 112.81 20.13 24.67
Points 6 1/8/21 29.23 3.65 112.34 20.63 24.79
Grade 1/11/21 29.6 3.67 112.47 20.55 24.9
1/12/21 29.55 3.87 112.78 20.72 24.67
Note, when performing the matrix algebra, even for the single cell result for 1/13/21 29.01 3.9 113.07 20.8 24.32
the Average Return, you may initially see an “#VALUE!” error. You will need to 1/14/21 29.39 4.25 112.72 21.22 24.79
complete the “F2” followed by Cntrl-Shift-Enter to get your value. 1/15/21 28.58 4.06 112.53 20.97 24.15
Mac users will need to follow the Mac key stroke sequence for Matrix Algebra. 1/18/21 29.6 4.08 112.87 21.3 24.61
1/19/21 29.09 4.08 112.71 20.88 24.04
1/20/21 28.53 4 112.34 20.8 24.27
1/21/21 28.2 3.82 111.78 21.72 24.15
1/22/21 28.34 3.79 112.26 21.55 24.04
1/25/21 28.66 3.77 112.5 21.63 24.21
1/26/21 28.9 4.13 112.79 21.45 24.12
1/27/21 29.23 4.29 113.07 21.34 24.21
1/28/21 28.12 5.02 114.03 21.47 25.04
1/29/21 27.61 5.19 114.55 21.55 24.7
2/1/21 27.72 5.07 116.37 21.67 24.76
2/2/21 27.88 4.89 116.23 20.97 24.9
2/3/21 28.12 5.18 116.46 20.05 25.19
2/4/21 27.99 5.07 116.6 21.8 25.68
2/5/21 27.67 4.94 116.7 21.72 25.94
2/8/21 27.53 4.97 116.57 22.09 26.28
2/9/21 27.1 4.94 116.41 21.59 26.51
2/10/21 27.77 5.69 117.24 21.67 26.51
2/11/21 27.31 5.58 117.68 20.47 25.97
2/12/21 27.26 5.43 118.44 20.3 26.14
2/15/21 27.48 5.51 119.16 19.97 25.74
2/16/21 27.82 5.56 119.25 19.84 25.88
2/17/21 26.13 5.42 118.29 19.76 25.53
2/18/21 25.8 5.22 118.09 19.14 25.3
2/19/21 25.59 5.18 118.35 19.05 24.99
2/22/21 26.42 5.11 118.23 20.09 25.45
2/23/21 25.34 5.02 117.31 20.13 24.79
2/24/21 26.86 5.76 119.35 20.63 24.76
2/25/21 26.67 5.63 118.84 20.05 24.61
2/26/21 26.48 5.62 118.3 20.76 24.67
3/1/21 26.07 5.71 117.82 20.63 24.47
3/2/21 25.83 5.64 117.45 20.34 24.09
3/3/21 25.61 5.94 117.31 19.88 23.66
3/4/21 26.34 5.97 118.03 20.68 23.63
3/5/21 26.15 6.06 117.72 20.84 23.46
3/8/21 26.48 6.2 117.92 21.22 23.17
3/9/21 26.24 6.65 117.91 20.93 23.28
3/10/21 25.39 7.64 118.14 20.47 23.11
3/11/21 25.58 7.9 118.07 19.88 23.4
3/12/21 25.96 7.72 117.83 19.8 23.4
3/15/21 26.1 7 117.3 20.18 23.08
3/16/21 26.51 7.37 118.21 20.22 23.51
3/17/21 26.45 7.4 118.12 21.17 23.89
3/18/21 27.16 7.68 118.35 21.13 24.09
3/19/21 26.72 7.32 119.02 20.68 24.24
3/22/21 26.45 7.42 118.16 20.47 24.24
3/23/21 25.99 7.24 117.55 20.47 23.89
3/24/21 26.05 7.25 117.36 21.13 23.8
3/25/21 26.13 7.37 117.59 21.63 24.15
3/26/21 26.42 7.86 117.55 21.84 23.95
3/29/21 26.89 7.89 117.6 21.97 24.01
3/30/21 27.27 7.92 117.94 22.67 23.69
3/31/21 27.07 7.58 117.53 22.42 23.43
4/1/21 27.32 7.37 117.42 22.09 23.05
4/2/21 27.24 7.36 117.24 22.26 23.11
4/5/21 26.78 7.42 115.99 22.13 23.11
4/6/21 26.61 7.09 115.35 23.55 23.86
4/7/21 26.97 7.37 115.6 23.8 24.27
4/8/21 27.02 7.6 115.32 23.09 24.21
4/9/21 26.4 7.3 114.81 22.42 23.6
4/12/21 26.31 6.93 114.36 22.55 23.57
4/13/21 25.8 6.14 114.44 21.84 22.91
4/14/21 25.53 6.19 113.35 21.42 22.41
4/15/21 25.91 6.46 113.65 22.09 22.5
4/16/21 26.61 6.74 114.02 22.34 22.88
4/19/21 27.11 7.36 113.39 21.84 23.08
4/20/21 26.97 7.17 113.76 22.05 22.47
4/21/21 26.91 7.06 113.19 21.67 22.47
4/22/21 27.29 6.73 113.47 21.84 22.91
4/23/21 26.34 6.42 113.15 21.22 23.22
4/26/21 27.02 6.69 113.88 21.3 23.6
4/27/21 28.55 7.45 114.08 22.26 23.43
4/28/21 28.61 7.31 114.15 22.22 23.98
4/29/21 29.1 7.68 114.6 22.13 24.27
4/30/21 29.4 7.59 114.44 22.76 24.32
5/3/21 29.04 7.04 113.92 22.26 24.44
5/4/21 29.29 7.73 114.75 23.71 24.5
5/5/21 29.15 7.6 113.91 23.76 24.47
5/6/21 29.21 7.72 114.02 23.84 24.21
5/7/21 29.15 7.71 113.58 23.88 23.91
5/10/21 29.43 8.39 113.31 24.67 23.91
5/11/21 29.87 8.34 113.09 24.13 23.71
5/12/21 29.51 8.31 112.38 23.71 23.16
5/13/21 28.99 8.42 112.06 23.76 23.33
5/14/21 29.43 8.23 112.46 24.67 23.16
5/17/21 30.22 8.25 111.73 23.38 22.69
5/18/21 29.98 8.72 111.94 23.09 23.13
5/19/21 30.28 9.04 112.29 22.88 23.33
5/20/21 29.89 9.12 111.99 22.63 23.33
5/21/21 29.46 9.04 112 22.71 23.13
5/24/21 29.98 9.86 112.35 23.26 23.74
5/25/21 29.81 9.64 112 23.8 23.97
5/26/21 29.46 9.26 112.58 23.38 23.91
5/27/21 29.43 8.85 113.04 23.63 23.86
5/28/21 28.99 8.98 112.7 23.67 23.91
5/31/21 29.26 8.72 112.4 23.42 22.87
6/1/21 29.84 8.79 113.31 23.96 23.33
6/2/21 30.03 9.2 113.64 24.3 23.68
6/3/21 30.09 9.36 113.27 24.3 23.65
6/4/21 29.73 9.15 113.24 24.46 23.54
6/7/21 30.41 8.77 113.53 24.13 24.03
6/8/21 30.25 8.7 113.7 24.3 23.65
6/9/21 30.39 8.47 113.82 24.46 23.62
6/10/21 30.5 8.49 114.19 24.75 23.77
6/11/21 30.28 8.9 114.66 24.71 23.68
6/14/21 31.1 9.23 115.16 25.17 23.91
6/15/21 31.4 9.08 115.96 24.59 24.35
6/16/21 31.07 8.94 116.26 25.09 24.35
6/17/21 31.12 8.76 116 24.84 24.32
6/18/21 31.51 9.06 115.94 25.46 25.02
6/21/21 31.26 9.12 115.65 25.67 25.11
6/22/21 31.62 9.12 115.64 25.38 25.57
6/23/21 31.4 9.07 115.34 24.8 26.42
6/24/21 31.59 9.01 115.54 25.59 26.04
6/25/21 31.84 9 117.3 26.13 26.39
6/28/21 32.7 8.89 117.88 26.09 26.36
6/29/21 33.19 8.67 117.44 25.96 25.89
6/30/21 33.69 8.7 117.84 26.29 26.24
7/1/21 33.74 9.5 117.42 26.38 26.94
7/2/21 33.8 10.1 115.71 26.38 26.8
7/5/21 33.27 9.93 115.99 25.71 26.94
7/6/21 32.81 10.39 113.33 25.75 26.74
7/7/21 33.52 11.05 113.95 26.21 26.91
7/8/21 33.66 11.96 113.21 26.09 27.06
7/9/21 34.46 11.23 113.53 26.34 27.91
7/12/21 34.07 11.4 113.59 26 27.29
7/13/21 33.96 11.6 113.85 25.84 26.53
7/14/21 34.04 11.46 113.62 26 26.3
7/15/21 33.93 11.76 113.68 26.29 26.27
7/16/21 33.66 11.36 113.21 26.75 25.83
7/19/21 33.52 11.83 113.05 27.71 26.3
7/20/21 33.22 12.01 113.45 27.04 26.53
7/21/21 33 12.1 113.97 26.96 27.64
7/22/21 32.48 12.31 114.14 26.96 28.58
7/23/21 33.3 13.21 113.8 26.79 30.48
7/26/21 34.57 13.96 113.53 27.38 31.15
7/27/21 34.9 13.79 113.62 27.25 31.44
7/28/21 34.54 13.36 112.91 27.33 30.66
7/29/21 34.13 12.64 112.61 27.25 30.22
7/30/21 33.47 15.1 113.5 28.12 30.63
8/2/21 32.94 15.34 113.44 28.29 30.77
8/3/21 32.5 15.75 113.16 28.92 30.71
8/4/21 31.81 17.03 113.04 28.42 30.57
8/5/21 32.94 16.17 113.24 28.08 30.66
8/6/21 32.2 15 115.21 27.21 29.05
8/9/21 32.09 15.32 114.92 27.54 28.93
8/10/21 31.54 15 114.41 26.58 29.22
8/11/21 31.37 15.79 114.24 26.38 28.93
8/12/21 31.9 15.81 114.96 26.54 31.01
8/13/21 32.14 16.09 114.93 26.58 31.01
8/16/21 31.98 15.57 114.9 26.21 30.6
8/17/21 31.51 15.36 114.78 26.29 30.48
8/18/21 31.62 15.38 114.69 26.04 30.45
8/19/21 32.2 15.44 115.56 25.42 31.18
8/20/21 32.89 16.48 115.62 25.5 31.47
8/23/21 32.78 16.01 115.56 25.75 31.71
8/24/21 32.19 15.74 114.52 26.13 31.53
8/25/21 32.47 15.55 114.29 25.79 31.18
8/26/21 32.45 15.6 113 26.63 32.58
8/27/21 32.25 15.28 113.05 26.29 32.44
8/30/21 31.97 14.51 113.14 25.71 32.5
8/31/21 31.78 15.37 113.05 25.25 32.5
9/1/21 32.03 14.73 112.85 25.05 33.15
9/2/21 31.34 14.08 111.81 24.34 33.21
9/3/21 31.03 13.73 111 22.38 32.68
9/6/21 31.75 13.81 111.55 21.8 33.15
9/7/21 32.69 14.1 111.95 21.88 33.3
9/8/21 32.36 14.65 111.82 22.22 33.36
9/9/21 33.3 15.39 111.64 22.38 31.92
9/10/21 33.36 15.21 111.61 21.92 32.1
9/13/21 32.64 15.39 111.23 20.84 31.66
9/14/21 33.36 16.22 111.95 21.88 31.86
9/15/21 33.91 17.31 111.81 22.46 32.48
9/16/21 34.14 18.42 112.94 21.63 33.65
9/17/21 34.86 19.49 113.28 21.67 33.42
9/20/21 35.47 19.57 113.8 22.01 33.45
9/21/21 35.11 20.01 113.37 21.92 33.65
9/22/21 35.11 19.57 113.55 22.8 34.12
9/23/21 33.47 22.22 113.26 22.71 35.21
9/24/21 33.67 22.59 112.79 21.8 35.09
9/27/21 33.08 25.89 112.85 21.01 36.26
9/28/21 34.05 24.86 113.25 20.01 36.56
9/29/21 33.39 24.25 114.03 20.51 36.03
9/30/21 32.83 24.53 115.02 21.38 36.32
10/1/21 33.91 24.29 114.61 21.26 35.94
10/4/21 34.63 23.7 115.48 21.3 35.15
10/5/21 35.3 24.32 115.48 21.67 35.5
10/6/21 35.38 24.2 115.21 21.76 36.15
10/7/21 35.41 25.2 115.02 22.38 33.33
10/8/21 34.25 24.65 115.07 21.67 33.86
10/11/21 34.94 23.75 115.19 21.92 33.48
10/12/21 35.13 24.63 115.93 21.59 33.56
10/13/21 35.22 23.89 115.82 20.68 33.27
10/14/21 35.25 23.72 115.53 21.67 33.12
10/15/21 34.52 22.59 115.62 20.93 32.1
10/18/21 33.58 22.26 114.92 20.88 31.1
10/19/21 34.22 21.95 115.48 20.3 30.69
10/20/21 34.47 22.82 116.19 19.93 30.77
10/21/21 33.8 23.82 115.59 19.39 32.04
10/22/21 34.27 24.82 115.85 19.3 32.65
10/25/21 34.58 24.17 115.76 19.3 32.45
10/26/21 35.11 23.98 116.82 19.01 32.24
10/27/21 34.69 25.36 115.94 19.76 32.65
10/28/21 34.97 24.82 115.68 19.59 32.74
10/29/21 35.16 25.4 115.6 20.13 32.48
11/1/21 34.91 25.36 115.56 20.26 32.83
11/2/21 35.3 25.2 115.21 20.09 31.92
11/3/21 31.79 18.23 112.31 18.8 28.33
11/4/21 33.29 19.04 113.49 20.13 30.04
11/5/21 33.44 20.42 113.21 20.18 29.48
11/8/21 34.41 19.78 113.67 20.01 29.07
11/9/21 34.97 19.82 114.04 19.97 29.16
11/10/21 34.75 20.95 114.24 20.05 29.93
11/11/21 35.08 20.95 115.68 21.42 29.66
11/12/21 36.25 21.95 115.9 21.09 29.42
11/15/21 35.83 22.07 115.93 21.01 29.19
11/16/21 35.3 24.32 115.71 20.97 29.54
11/17/21 36.39 25.06 115.6 21.05 28.33
11/18/21 35.92 26.72 115.34 20.68 28.39
11/19/21 36.45 30.45 116.2 21.72 28.39
11/22/21 36.14 29.79 115.77 21.01 28.54
11/23/21 35.72 31.23 116.51 21.59 28.75
11/24/21 35.08 29.22 115.32 19.72 29.98
11/25/21 35.42 32.73 115.42 20.09 29.1
11/26/21 36.45 32.43 114.61 20.84 28.75
11/27/21 36.5 32.18 114.38 20.93 29.22

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