Source of data for futures and option prices: Chicago Mercantile Exchange.
new ratio =
number =
16
if H3 = 2
0.50
0
S/E
---------------0.9799375
0.9830094
0.98921136
0.99866242
1.00185304
1.0050641
1.00829582
1.01154839
1.01482201
1.01811688
1.02143322
1.02477124
1.02813115
1.03151316
1.03491749
1.03834437
0
0
0
0
0.0600
2.59%
0.0500
Option Price
Precicted
W/E
---------------0.03660912
0.03475228
0.0312458
0.02648574
0.02502703
0.02362998
0.02229313
0.02101501
0.0197941
0.01862886
0.01751773
0.01645916
0.01545155
0.01449332
0.01358287
0.01271863
0.02586548
0.02586548
0.02586548
0.02586548
0.0700
Predicted
LN W/E
----------------3.3074576
-3.35951
-3.4658702
-3.6311486
-3.6877987
-3.7452389
-3.8034764
-3.8625181
-3.9223713
-3.9830433
-4.0445414
-4.106873
-4.1700458
-4.2340673
-4.2989453
-4.3646874
-3.6548459
-3.6548459
-3.6548459
-3.6548459
0.0400
0.0300
0.0200
0.0100
0.0000
1.60 1.59 1.58 1.57 1.56 1.56 1.55 1.55 1.54 1.54 1.53 1.53 1.52 1.52 1.51 1.51
-0.01000
5 5
0
5
0
5
0
5
0
5 0
5
0
5
0
Put Option Market Prices
Intrinsic Value
Strike Price
LLP Predicted Prices
Note: On this chart the predicted prices overlay the put market prices due to high
correlation between the two series.
Some of the intrinsic values in Column E were deleted in order to improve the chart
shown above. If needed they can be recalculated by copying the formula in cell E16.
W/E
---------------0.0365625
0.03473354
0.03129338
0.02656051
0.02504792
0.02365385
0.0222508
0.02096774
0.0197411
0.01863636
0.01752443
0.01647059
0.01547541
0.01447368
0.01359736
0.01271523
0
0
0
0
----------------0.8087893
LN S/E
----------------0.0202665
-0.0171366
-0.0108473
-0.0013385
0.00185132
0.00505132
0.0082616
0.01148221
0.01471323
0.01795473
0.02120676
0.02446941
0.02774273
0.03102681
0.03432171
0.03762749
0
0
0
0
---------------0.18612052
LN W/E
----------------3.3087322
-3.3600494
-3.4643489
-3.6283298
-3.6869644
-3.7442295
-3.8053771
-3.8647701
-3.9250525
-3.9826406
-4.0441594
-4.106179
-4.168503
-4.2354232
-4.2978796
-4.3649547
0
0
0
0
----------------61.987593
SUM1
---------------0.06705637
0.0575798
0.0375787
0.00485643
-0.0068258
-0.0189133
-0.0314385
-0.0443761
-0.0577502
-0.0715072
-0.0857635
-0.1004758
-0.1156457
-0.1314117
-0.1475106
-0.1642423
0
0
0
0
---------------0.00696635
SUM2
----------------0.0202665
-0.0171366
-0.0108473
-0.0013385
0.00185132
0.00505132
0.0082616
0.01148221
0.01471323
0.01795473
0.02120676
0.02446941
0.02774273
0.03102681
0.03432171
0.03762749
0
0
0
0
---------------0.00016566
SUM3
----------------3.3087322
-3.3600494
-3.4643489
-3.6283298
-3.6869644
-3.7442295
-3.8053771
-3.8647701
-3.9250525
-3.9826406
-4.0441594
-4.106179
-4.168503
-4.2354232
-4.2978796
-4.3649547
0
0
0
0
----------------0.0285767
SUM4
SUM5
SUM6
SUM7
S8
S9
T1
---------------- ---------------- ----------------- --------------------------------------------------------- ----------------0.00041073 -8.324E-006 -0.001359 1.687E-007 0.00480129 8.463E-005
-0.0877166455
0.00029366 -5.032E-006 -0.0009867 8.624E-008
0.00011766 -1.276E-006 -0.0004076 1.384E-008
T2
T3
C2
1.792E-006 -2.398E-009 -6.500E-006 3.210E-012 --------------------------------- ----------------3.427E-006 6.345E-009 -1.264E-005 1.175E-011 2.881E-006 -0.0015875
0.0048012936
2.552E-005 1.289E-007 -9.554E-005 6.511E-010
6.825E-005 5.639E-007 -0.0002597 4.659E-009
DV
C1
C3
0.00013184 1.514E-006 -0.0005095 1.738E-008 ---------------- ----------------- ----------------0.00021648 3.185E-006 -0.0008497 4.686E-008 56.7339307 -0.0900641
0.0001634624
0.00032237 5.788E-006 -0.0012839 1.039E-007
0.00044973 9.537E-006 -0.0018188 2.023E-007
0.00059875 1.465E-005 -0.0024586 3.585E-007
0.00076966 2.135E-005 -0.0032083 5.924E-007
0.00096266 2.987E-005 -0.0040773 9.267E-007
0.00117798 4.043E-005 -0.0050628 1.388E-006
0.00141583 5.327E-005
-0.00618 2.005E-006
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
---------------5.914E-006
D1
CP
---------------- ----------------0.00234749 -29.777627
D2
BP
---------------- -----------------7.883E-005 -17.744513
AP
----------------3.6548459