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Title

ED3M
ED3U
ED5H
ED6H
ED6M

Value1
98.6675
98.6276
98.2422
97.7353
97.5696

Value2
99.4675
99.4276
99.0422
98.5353
98.3696

Value3
99.5175
99.4776
99.0922
98.5853
98.4196

ED4H

99.3637

99.7237 99.7337 99.7437 99.7537 99.7637 99.7737 99.7837 99.7937 99.8037 100.1637 ED4H

ED4H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

100%
-1246074
-247
7964.88
-9458.7
5617.2
450.8
0
80%
-1251661
-253
8244.18
-8785.7
5513.8
442.5
0
120%
-1240375
-241
7755.81
-10175
5736.4
460.2
0

100%
-107816
2146
-10269
341
-770.4
-50.8
0
80%
-107351
2186
-3565.6
74
-217.8
-14.4
0
120%
-108962
2079
-17341
822.9
-1534.5
-101.2
0

ED4M

99.3475

99.7075 99.7175 99.7275 99.7375 99.7475 99.7575 99.7675 99.7775 99.7875 100.1475 ED4M

ED4M
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4M
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4M
P&L
Delta
Gamma
Theta

100%
681608
-1447
325.01
-59.5
817.8
9.8
0
80%
680979
-1454
155.42
-16.9
231.2
2.9
0
120%
683253
-1432
575.01
-146

100%
-19446
272
-1672.6
-959.6
9654.5
142.9
0
80%
-31592
454
-2030
-804.8
9276.5
134.2
0
120%
-6724
130
-1428.6
-1113.7

100%
-56468
1909
-41261
1444.8
-3161
-208.8
0
80%
-53885
2045
-31473
708.7
-1938.2
-128
0
120%
-60153
1777
-45099
2260.5
-4125.7
-272.5
0

100%
-12928
246
-3533.9
-777.7
6592.5
110.5
0
80%
-20611
420
-4811.8
-612.3
5363.6
93.2
0
120%
-3698
110
-2371.4
-947.2

Value4
99.5675
99.5276
99.1422
98.6353
98.4696

100%
-15946
1253
-87516
3052.5
-6665.1
-440.3
0
80%
-9465
1388
-103246
2268
-6186.3
-408.7
0
120%
-22787
1160
-75177
3806.1
-6930.8
-457.8
0

100%
-7269
205
-4936.7
-606
3768.6
80.1
0
80%
-10855
357
-7285.2
-432.4
1759.3
55.1
0
120%
-1274
82
-3429
-788.8

Value5
99.6175
99.5776
99.1922
98.6853
98.5196

100%
3445
284
-97373
3327.4
-7265.3
-480
0
80%
10660
195
-116893
2595.2
-7081.9
-467.8
0
120%
-3906
344
-81578
4046.8
-7365.3
-486.6
0

100%
-2853
146
-6298.9
-454.2
1347.1
53.5
0
80%
-2934
273
-9558.6
-272.4
-1319.9
21.9
0
120%
308
44
-4036.3
-642.2

Value6
99.6675
99.6276
99.2422
98.7353
98.5696

100%
0
-487
-53861
1881.1
-4103.4
-271.1
0
80%
3553
-645
-47326
1064
-2900.4
-191.6
0
120%
-4575
-352
-55231
2721.2
-4950.3
-327
0

100%
0
81
-7102
-324.8
-602.9
31.2
0
80%
2657
172
-10827
-145.4
-3605.9
-3.7
0
120%
867
-1
-4965
-516.2

Value7
99.7175
99.6776
99.2922
98.7853
98.6196

100%
-17111
-817
-15705
549.4
-1205.7
-79.6
0
80%
-16315
-877
-7167.8
155.5
-433.7
-28.7
0
120%
-18776
-732
-23052
1158.7
-2111.6
-139.5
0

100%
1102
8
-7271.6
-220.9
-2029.8
13.7
0
80%
5587
62
-10814
-53.8
-5024.1
-21.2
0
120%
212
-52
-4993
-411.2

Value8
99.7675
99.7276
99.3422
98.8353
98.6696

100%
-38748
-892
-2455.2
82.8
-186.8
-12.3
0
80%
-38663
-901
-377.1
7.5
-24.3
-1.6
0
120%
-39108
-866
-6198.8
312.9
-574.5
-38
0

100%
362
-68
-7679.5
-147.9
-2862.3
1.9
0
80%
5774
-47
-10649
2.6
-5585.5
-30.5
0
120%
-1702
-102
-5219.5
-325.3

Value9
99.8175
99.7776
99.3922
98.8853
98.7196

100%
-61211
-901
-198.19
5.9
-15.1
-1
0
80%
-61207
-902
-5.76
-0.3
-0.4
0
0
120%
-61259
-897
-1094.1
52.9
-99.9
-6.6
0

100%
-2253
-140
-6866.7
-100.6
-3193.7
-5.1
0
80%
3298
-150
-9878.1
24.8
-5363.9
-32.2
0
120%
-4906
-154
-4969.9
-262

Value10
99.8675
99.8276
99.4422
98.9353
98.7696

100%
-83757
-902
-7.16
-0.2
-0.6
0
0
80%
-83757
-902
-0.1
-0.5
0.1
0
0
120%
-83761
-902
-126.89
5.4
-11.3
-0.7
0

100%
-6602
-207
-6296.6
-76.3
-3083.7
-7.8
0
80%
-1592
-238
-8106.1
22.8
-4599.3
-28.6
0
120%
-9360
-202
-4822.3
-220.2

Value11
100.6675
100.6276
100.2422
99.7353
99.5696

100%
-1171265
-354
0
0
0
0
0
80%
-1171265
-354
0
0
0
0
0
120%
-1171265
-354
0
0
0
0
0

100%
-127456
543
0
0
0
0
0
80%
-127456
543
0
0
0
0
0
120%
-127456
543
0
0

Title
ED3M
ED3U
ED5H
ED6H
ED6M

ED4H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

ED4M
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4M
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4M
P&L
Delta
Gamma
Theta

Vega
OrigX
Rho

1810.8
21.5
0

10137.3 7732.4
151
125.3
0
0

ED4U

99.3178

99.6378 99.6578 99.6778 99.6978 99.7178 99.7378 99.7578 99.7778 99.7978 100.1178 ED4U

ED4U
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4U
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4U
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

100%
493362
-190
-814.27
-434.6
5031.8
200.4
0
80%
484362
-110
-655.92
-476.3
7043.3
235.7
0
120%
499705
-259
-857.29
-391.9
3493.9
173.2
0

100%
121254
-698
991.35
285.1
-5418.5
-99.5
0
80%
131856
-798
7.57
356.1
-8760.6
-158.9
0
120%
115375
-614
1248.24
188
-2508
-45.9
0

ED4Z

99.2573

99.5773 99.5973 99.6173 99.6373 99.6573 99.6773 99.6973 99.7173 99.7373 100.0573 ED4Z

ED4Z
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4Z
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4Z
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

100%
-85196
88
673.83
-769.9
20911.5
309
0
80%
-133947
122
1074.81
-718.5
23696.3
349.3
0
120%
-42676
50
417.92
-790.1
18116.1
270.7
0

100%
-6907
36
-423.46
-104.4
920.9
56.5
0
80%
-3388
49
-1568.4
25.7
-4333.9
-2.5
0
120%
-241
37
197.9
-250.1
4971.5
99.6
0

100%
87002
-669
1920.8
187.5
-2189
-53.2
0
80%
92236
-783
1503.62
254.4
-4859.1
-100.8
0
120%
85465
-580
2097.34
98.3
80.3
-10
0

100%
-5251
31
-59.48
-94.9
1005.7
52.2
0
80%
-1575
25
-1030.2
45.9
-4657.3
-12.1
0
120%
1708
42
364.69
-245.2
5130.2
97.2
0

5501.5
101
0

100%
54713
-619
2915.29
82.4
1211.8
-3.5
0
80%
54148
-736
3131.15
141.3
-531.9
-35.8
0
120%
57619
-532
2753.48
8
2627.7
25.9
0

100%
-3705
31
18.11
-93.4
1389.3
51
0
80%
-789
7
-833.35
53.7
-4387.2
-15.6
0
120%
4019
51
506.63
-245.2
5448.2
96.4
0

3499.3
78.6
0

100%
25381
-550
4046.09
-18.9
4430.1
44.1
0
80%
19204
-657
4594.03
27.1
3804.1
29.7
0
120%
32507
-471
3237.32
-80.3
5052.4
60.8
0

100%
-2060
36
389.38
-99.6
2038.5
52.6
0
80%
-760
-4
-233.66
48.3
-3536.1
-12.7
0
120%
6838
62
615.13
-248.7
5858.1
96.7
0

1850.6
59.5
0

100%
0
-463
4761.87
-107.3
7169.2
85.2
0
80%
-11073
-550
5920.69
-76.2
7637
88.2
0
120%
10677
-400
3919.82
-157.2
7108.3
90.9
0

100%
0
48
764.25
-111.1
2870.9
56.2
0
80%
-1050
-5
235.81
32.4
-2205.4
-4.7
0
120%
10346
79
943.85
-255.8
6368.2
98.3
0

563.9
43.7
0

100%
-20675
-363
5097.8
-178.4
9255.6
117.3
0
80%
-35354
-419
6795.21
-153.9
10383.9
131
0
120%
-7312
-319
4117.76
-216.6
8642.2
113.6
0

100%
2809
66
1044.33
-127.1
3843.3
61.6
0
80%
-1102
5
731.09
7.7
-499.8
7.3
0
120%
14777
99
1040.35
-264.4
6907.5
100.5
0

-385.9
31
0

100%
-36176
-256
5423.86
-223.7
10445.6
136.6
0
80%
-52773
-277
7068.53
-200.5
11781.6
154.5
0
120%
-21157
-234
4284.36
-258.1
9622.7
128.8
0

100%
6676
90
1357.16
-145.8
4872.4
68
0
80%
-358
28
1543.56
-22.8
1396.4
21.8
0
120%
20265
122
1274.24
-273
7433.6
103
0

-961.4
21.8
0

100%
-46261
-148
5398.15
-241.8
10708.4
142.5
0
80%
-63085
-136
6807.26
-212.2
11718.7
156.6
0
120%
-30731
-149
4307.67
-280.6
10026
136
0

100%
11919
121
1726.47
-164.2
5854.9
74.6
0
80%
1834
62
2037.57
-55.4
3295.2
36.9
0
120%
27009
149
1405.05
-279.2
7875.5
105
0

-1196.7 0
15.9
0
0
0

100%
-51056
-46
4875.33
-238.2
10202.2
137.4
0
80%
-66611
-7
5974.63
-194.7
10450.5
141.1
0
120%
-36048
-65
3998.6
-281.6
9819.8
134.3
0

100%
18866
157
1892.67
-181
6723.9
80.7
0
80%
6030
107
2499.28
-87.4
5052.2
51.3
0
120%
35168
178
1578.68
-281.3
8179.4
106.2
0

100%
41050
-476
0
0
0
0
0
80%
41050
-476
0
0
0
0
0
120%
41050
-476
0
0
0
0
0

100%
372196
-317
0
0
0
0
0
80%
372196
-317
0
0
0
0
0
120%
372196
-317
0
0
0
0
0

Vega
OrigX
Rho

ED4U
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4U
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4U
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

ED4Z
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4Z
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED4Z
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

Mode
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live
Live

#
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128
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134
135
136
137
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Descript Theta
Vega
Gamma Delta
Theo
Settle
2H01p1
-0.3
0.1
0.32
-2
0.001 -0.003
2h12p1x
-0.8
0.3
1.1
-8
0.004
0.005
2h35c1x
-2.2
0.9
2.56
41
0.034
0.035
3H36p>
-1.4
0.5
0.57
-5
0.003
0.003
3H57p>
-2.9
1.2
1.25
-13
0.01
0.012
3H57p1
-2.3
0.9
1.02
-12
0.01
0.01
3H36p1
-1.2
0.5
0.49
-4
0.003
3m8278
-0.8
2.1
0.3
-11
0.025
0.023
3M812p
-0.3
0.8
0.11
-5
0.011
0.01
3M8278
0.2
-0.5
-0.06
-3
0.011
0.008
3M67c>
0
-0.1
-0.02
11
0.083
0.083
3M12c1
0.1
-0.2
-0.01
2
0.006
0.008
3H01c1
-1.8
0.7
0.69
19
0.024
0.025
3J01c1x
-0.5
0.5
0.17
6
0.012
0.012
3J12c1x
-0.4
0.5
0.19
3
0.003
0.005
3K01c1x
0.2
-0.4
-0.11
3
0.013 -0.005
3K12c1x
-0.2
0.4
0.1
3
0.006
0.03
3M01c1
0.5
-1.5
-0.25
-1
0.009
0.01
3M12c1
0.1
-0.2
-0.01
2
0.006
0.008
3H56p1
-0.4
0.2
0.18
-2
0.001
3H35p1
-0.2
0.1
0.08
-1
-0.003
3H25P1
-0.5
0.2
0.19
-1
0.001 -0.003
3h56p>
-1
0.4
0.41
-3
0.002
0.003
3J35p1x
1.3
-1.3
-0.43
4 -0.002 -0.008
3J23p1x
0.7
-0.7
-0.22
2
3J12p1x
0.4
-0.3
-0.11
1
3J80p1x
0.1
-0.1
-0.03
0
3K35p1
1.9
-3
-0.61
11 -0.015
-0.02
3K23p1
1.4
-2.2
-0.44
7 -0.009 -0.008
3K12p1
1
-1.6
-0.31
5 -0.006
0.002
3K01p1
0.7
-1.1
-0.22
3 -0.004
3K80p1
0.5
-0.8
-0.15
2 -0.002
3K778p
0.3
-0.5
-0.1
1 -0.001 -0.003
3M35p1
2
-4.7
-0.66
18 -0.034 -0.033
3M23p1
1.6
-3.9
-0.53
13 -0.023
-0.02
3M12p1
1.3
-3.1
-0.43
10 -0.017 -0.018
3M01p1
1
-2.5
-0.34
7 -0.012 -0.013
3M80p1
0.8
-2
-0.27
5 -0.009
-0.01
3M778p
0.7
-1.5
-0.21
4 -0.006 -0.005
3M767p
0.5
-1.2
-0.16
3 -0.005 -0.005
3M756p
0.4
-1
-0.13
2 -0.003 -0.003
J25p1x2
-0.2
0.2
0.09
-7
0.013
0.013
J13p1x2
-0.4
0.4
0.15
-5
0.007
0.01
J02p1x2
-0.4
0.4
0.13
-3
0.004
J781p1x
-0.3
0.3
0.1
-2
0.002
J770p1x
-0.2
0.2
0.06
-1
0.001
K25p1x
0.9
-1.4
-0.27
-1
0.01
0.01
K13p1x
0.5
-0.7
-0.14
-1
0.007
0.017
K02p1x
0.2
-0.4
-0.07
-1
0.004
0.012
K781p1
0.1
-0.2
-0.03
-1
0.003
0.005
K770p1
0.1
-0.1
-0.01
-1
0.002
K768p1
0
0
0
0
0.001
0.003
M25p1x
1.4
-3.2
-0.43
6 -0.001
0.003
M13p1x
1
-2.3
-0.31
4
M02p1x
0.7
-1.7
-0.23
3
-0.003
M781p1
0.5
-1.3
-0.17
2
-0.002
M770p1
0.4
-0.9
-0.12
1 -0.001
M768p1
0.3
-0.7
-0.09
1 -0.001
M757p1
0.2
-0.5
-0.07
1 -0.001
J815p1x
-1.2
1.3
0.46
-13
0.021
0.023
J803p1x
-1.1
1.1
0.39
-8
0.011
0.01
JJ782p1
-0.8
0.8
0.28
-5
0.006
0.005
J771p1x
-0.5
0.5
0.18
-3
0.003
J760p1x
-0.3
0.3
0.11
-1
0.001
0.005
K815p1
0
0.1
0.04
-10
0.026
0.035
K803p1
-0.3
0.5
0.11
-7
0.017
0.027
K782p1
-0.3
0.6
0.12
-5
0.011
0.017
K771p1
-0.3
0.5
0.11
-4
0.007
0.005
K760p1
-0.3
0.4
0.09
-3
0.004
0.005
K758p1
-0.2
0.3
0.07
-2
0.003
0.003
M815p1
0.7
-1.6
-0.21
-4
0.022
0.023
M803p1
0.4
-0.9
-0.11
-4
0.016
0.015
M782p1
0.2
-0.5
-0.06
-3
0.011
0.008
M771p1
0.1
-0.2
-0.02
-2
0.008
0.008
M760p1
0.1
-0.1
-0.01
-2
0.005
0.005

Descript
2H01p1
2h12p1x
2h35c1x
3H36p>
3H57p>
3H57p1
3H36p1
3m8278
3M812p
3M8278
3M67c>
3M12c1
3H01c1
3J01c1x
3J12c1x
3K01c1x
3K12c1x
3M01c1
3M12c1
3H56p1
3H35p1
3H25P1
3h56p>
3J35p1x
3J23p1x
3J12p1x
3J80p1x
3K35p1
3K23p1
3K12p1
3K01p1
3K80p1
3K778p
3M35p1
3M23p1
3M12p1
3M01p1
3M80p1
3M778p
3M767p
3M756p
J25p1x2
J13p1x2
J02p1x2
J781p1x
J770p1x
K25p1x
K13p1x
K02p1x
K781p1
K770p1
K768p1
M25p1x
M13p1x
M02p1x
M781p1
M770p1
M768p1
M757p1
J815p1x
J803p1x
JJ782p1
J771p1x
J760p1x
K815p1
K803p1
K782p1
K771p1
K760p1
K758p1
M815p1
M803p1
M782p1
M771p1
M760p1

Live

176 M758p1

-1

0.004

0.005 M758p1

ED4H
ED4H
P&L
Delta
Gamma
Vega
ED4H
P&L
Delta
Gamma
Vega
ED4H
P&L
Delta
Gamma
Vega

ED4M
ED4M

P&L
Delta
Gamma
Vega
ED4M
P&L
Delta
Gamma
Vega
ED4M
P&L
Delta
Gamma
Vega

99.364
100%
-1246074
-247
7964.88
5617.2
100%
-1251661
-253
8244.18
5513.8
100%
-1240375
-241
7755.81
5736.4

99.348

100%
681608
-1447
325.01
817.8
100%
680979
-1454
155.42
231.2
100%
683253
-1432
575.01
1810.8

ED4U

99.318

ED4U
P&L
Delta
Gamma
Vega
ED4U
P&L
Delta
Gamma
Vega
ED4U
P&L
Delta
Gamma
Vega

100%
493362
-190
-814.27
200.4
100%
484362
-110
-655.92
-476.3
100%
499705
-259
-857.29
-391.9

ED4Z

99.257

ED4Z
P&L
Delta
Gamma
Vega
ED4Z
P&L
Delta
Gamma
Vega
ED4Z
P&L
Delta
Gamma
Vega

100%
-85196
88
673.83
20911.5
100%
-133947
122
1074.81
23696.3
100%
-42676
50
417.92
18116.1

ED4H
ED4M
ED4U

ED4Z
100%
P&L
Delta
Gamma
Vega
80%
P&L
Delta
Gamma
Vega
120%
P&L
Delta
Gamma
Vega

ED4M
ED4U

100%
P&L
Delta
Gamma
80%
P&L
Delta
Gamma
120%

99.364
99.348
99.318
99.257
100%

-156300
-1796
8149.45
27546.9
80%
-220267
-1695
8818.49
28965
120%
-100093
-1882
7891.45
25271.4
99.3475
99.3178
100%
1174970
-1637
-489.26
80%
1165341
-1564
-500.5
120%

99.724 99.734 99.744

99.754

3/11/2014 9:22

100%
-107816
2146
-10269.5
-770.4
80%
-107351
2186
-3565.63
-217.8
120%
-108962
2079
-17341.3
-1534.5

100%
-56468
1909
-41261
-3161
80%
-53885
2045
-31472.8
-1938.2
120%
-60153
1777
-45099.1
-4125.7

100%
100%
-15946
3445
1253
284
-87516.04 -97372.77
-6665.1
-7265.3
80%
80%
-9465
10660
1388
195
-103246.3 -116892.64
-6186.3
-7081.9
120%
120%
-22787
-3906
1160
344
-75176.68 -81578.42
-6930.8
-7365.3

100%
0
-487
-53860.92
-4103.4
80%
3553
-645
-47325.65
-2900.4
120%
-4575
-352
-55231.32
-4950.3

100%
-19446
272
-1672.6
9654.5
80%
-31592
454
-2030.01
9276.5
120%
-6724
130
-1428.62
10137.3

100%
-12928
246
-3533.87
6592.5
80%
-20611
420
-4811.81
5363.6
120%
-3698
110
-2371.38
7732.4

100%
-7269
205
-4936.72
3768.6
80%
-10855
357
-7285.24
1759.3
120%
-1274
82
-3428.96
5501.5

100%
0
81
-7101.98
-602.9
80%
2657
172
-10826.96
-3605.9
120%
867
-1
-4965.02
1850.6

100%
121254
-698
991.35
-99.5
80%
131856
-798
7.57
356.1
120%
115375
-614
1248.24
188

100%
87002
-669
1920.8
-53.2
80%
92236
-783
1503.62
254.4
120%
85465
-580
2097.34
98.3

100%
54713
-619
2915.29
-3.5
80%
54148
-736
3131.15
141.3
120%
57619
-532
2753.48
8

100%
-6907
36
-423.46
920.9
80%
-3388
49
-1568.39
-4333.9
120%
-241
37
197.9
4971.5

100%
-5251
31
-59.48
1005.7
80%
-1575
25
-1030.23
-4657.3
120%
1708
42
364.69
5130.2

100%
-3705
31
18.11
1389.3
80%
-789
7
-833.35
-4387.2
120%
4019
51
506.63
5448.2

99.708 99.718 99.728

99.638 99.658 99.678

99.577 99.597 99.617

99.724
99.708
99.638
99.577
100%
-12915
1756
-11374.2
9705.5
80%
-10475
1891
-7156.46
5080.9
120%
-552
1632
-17323.8
13762.3
99.7075
99.6378
100%
101808
-426
-681.25
80%
100264
-344
-2022.44
120%

99.734
99.718
99.658
99.597
100%
12355
1517
-42933.5
4384
80%
16165
1707
-35811.2
-977.5
120%
23322
1349
-45008.4
8835.2
99.7175
99.6578
100%
74074
-423
-1613.07
80%
71625
-363
-3308.19
120%

99.744
99.728
99.678
99.617
100%

99.738

100%
-2853
146
-6298.92
1347.1
80%
-2934
273
-9558.59
-1319.9
120%
308
44
-4036.31
3499.3

99.698

100%
25381
-550
4046.09
44.1
80%
19204
-657
4594.03
27.1
120%
32507
-471
3237.32
-80.3

99.748

99.718

100%
0
-463
4761.87
85.2
80%
-11073
-550
5920.69
-76.2
120%
10677
-400
3919.82
-157.2

99.637

99.657

100%
-2060
36
389.38
2038.5
80%
-760
-4
-233.66
-3536.1
120%
6838
62
615.13
5858.1

100%
0
48
764.25
2870.9
80%
-1050
-5
235.81
-2205.4
120%
10346
79
943.85
6368.2

99.754
99.738
99.698
99.637
100%

27793
23913
870
-84
-89519.36 -99236.22
-1510.7
-3835.6
80%
80%
33039
26170
1016
-193
-108233.7 -122090.86
-8672.9
-11910.8
120%
120%
37577
35747
761
-21
-75345.53 -81762.28
4026.9
1911.8
99.7275
99.7375
99.6778
99.6978
100%
100%
47444
22528
-414
-404
-2021.43
-2252.83
80%
80%
43293
16270
-379
-384
-4154.09
-4964.56
120%
120%

99.774 99.784 99.794 99.804 100.16 ED4H


100%
100%
100%
100%
100%
ED4H
-17111
-817
-15705.1
-1205.7
80%
-16315
-877
-7167.8
-433.7
120%
-18776
-732
-23052.3
-2111.6

-38748
-892
-2455.16
-186.8
80%
-38663
-901
-377.1
-24.3
120%
-39108
-866
-6198.81
-574.5

-61211
-901
-198.19
-15.1
80%
-61207
-902
-5.76
-0.4
120%
-61259
-897
-1094.13
-99.9

-83757
-902
-7.16
-0.6
80%
-83757
-902
-0.1
0.1
120%
-83761
-902
-126.89
-11.3

-1171265
-354
0
0
100%
-1171265
-354
0
0
100%
-1171265
-354
0
0

P&L
Delta
Gamma
Vega
ED4H
P&L
Delta
Gamma
Vega
ED4H
P&L
Delta
Gamma
Vega

1102
8
-7271.59
-2029.8
80%
5587
62
-10813.5
-5024.1
120%
212
-52
-4993.02
563.9

362
-68
-7679.51
-2862.3
80%
5774
-47
-10649.3
-5585.5
120%
-1702
-102
-5219.45
-385.9

-2253
-140
-6866.68
-3193.7
80%
3298
-150
-9878.1
-5363.9
120%
-4906
-154
-4969.88
-961.4

-6602
-207
-6296.57
-3083.7
80%
-1592
-238
-8106.07
-4599.3
120%
-9360
-202
-4822.29
-1196.7

-127456
543
0
0
100%
-127456
543
0
0
100%
-127456
543
0
0

P&L
Delta
Gamma
Vega
ED4M
P&L
Delta
Gamma
Vega
ED4M
P&L
Delta
Gamma
Vega

100%
-20675
-363
5097.8
117.3
80%
-35354
-419
6795.21
-153.9
120%
-7312
-319
4117.76
-216.6

100%
-36176
-256
5423.86
136.6
80%
-52773
-277
7068.53
-200.5
120%
-21157
-234
4284.36
-258.1

100%
-46261
-148
5398.15
142.5
80%
-63085
-136
6807.26
-212.2
120%
-30731
-149
4307.67
-280.6

100%
-51056
-46
4875.33
137.4
80%
-66611
-7
5974.63
-194.7
120%
-36048
-65
3998.6
-281.6

100%
41050
-476
0
0
100%
41050
-476
0
0
100%
41050
-476
0
0

ED4U
P&L
Delta
Gamma
Vega
ED4U
P&L
Delta
Gamma
Vega
ED4U
P&L
Delta
Gamma
Vega

100%
2809
66
1044.33
3843.3
80%
-1102
5
731.09
-499.8
120%
14777
99
1040.35
6907.5

100%
6676
90
1357.16
4872.4
80%
-358
28
1543.56
1396.4
120%
20265
122
1274.24
7433.6

100%
11919
121
1726.47
5854.9
80%
1834
62
2037.57
3295.2
120%
27009
149
1405.05
7875.5

100%
18866
157
1892.67
6723.9
80%
6030
107
2499.28
5052.2
120%
35168
178
1578.68
8179.4

100%
372196
-317
0
0
100%
372196
-317
0
0
100%
372196
-317
0
0

ED4Z
P&L
Delta
Gamma
Vega
ED4Z
P&L
Delta
Gamma
Vega
ED4Z
P&L
Delta
Gamma
Vega

99.758 99.768 99.778 99.788 100.15 ED4M


100%
100%
100%
100%
100%
ED4M

99.738 99.758 99.778 99.798 ###### ED4U

99.677 99.697 99.717 99.737 ###### ED4Z

99.764
99.748
99.718
99.657
100%

99.774
99.758
99.738
99.677
100%

99.784
99.768
99.758
99.697
100%

99.794
99.778
99.778
99.717
100%

99.804
99.788
99.798
99.737
100%

100.16
100.15
######
######
100%

0
-821
-55436.78
-1750.2
80%
-5913
-1028
-51996.11
-8787.9
120%
17315
-674
-55332.67
3111.3
99.7475
99.7178
100%
0
-382
-2340.11
80%
-8416
-378
-4906.27
120%

-33875
-1106
-16834.6
725.1
80%
-47184
-1229
-10455
-6111.5
120%
-11099
-1004
-22887.2
5143.2
99.7575
99.7378
100%
-19573
-355
-2173.79
80%
-29767
-357
-4018.32
120%

-67886
-1126
-3353.65
1959.9
80%
-86020
-1197
-2414.26
-4413.9
120%
-41702
-1080
-5859.66
6215.1
99.7675
99.7578
100%
-35814
-324
-2255.65
80%
-46999
-324
-3580.72
120%

-97806
-1068
59.75
2788.6
80%
-119160
-1126
-1039.03
-2281.3
120%
-69887
-1051
-351.29
6533.6
99.7775
99.7778
100%
-48514
-288
-1468.53
80%
-59787
-286
-3070.84
120%

-122549
-998
464.27
3777
80%
-145930
-1040
367.74
258.3
120%
-94001
-991
628.1
6689.8
99.7875
99.7978
100%
-57658
-253
-1421.24
80%
-68203
-245
-2131.44
120%

-885475
-604
0
0
80%
-885475
-604
0
0
120%
-885475
-604
0
0
100.15
100.1178
100%
-86406
67
0
80%
-86406
67
0
120%

ED4H
ED4M
ED4U

ED4Z
100%
P&L
Delta
Gamma
Vega
80%
P&L
Delta
Gamma
Vega
120%
P&L
Delta
Gamma
Vega

ED4M
ED4U

100%
P&L
Delta
Gamma
80%
P&L
Delta
Gamma
120%

P&L

1182958

108651

81767

56345

32815

11544

-7100

-22859

-35637

-45408

-86406

P&L

ED5H
ED5H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED5H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED5H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED6H
ED6H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED6H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED6H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

99.2573
100%
-85196
88
673.83
-769.9
20911.5
309
0
80%
-133947
122
1074.81
-718.5
23696.3
349.3
0
120%
-42676
50
417.92
-790.1
18116.1
270.7
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

99.5773 99.5973 99.6173


100%
100%
100%
-6907
-5251
-3705
36
31
31
-423.46
-59.48
18.11
-104.4
-94.9
-93.4
920.9
1005.7
1389.3
56.5
52.2
51
0
0
0
80%
80%
80%
-3388
-1575
-789
49
25
7
-1568.39 -1030.23 -833.35
25.7
45.9
53.7
-4333.9 -4657.3 -4387.2
-2.5
-12.1
-15.6
0
0
0
120%
120%
120%
-241
1708
4019
37
42
51
197.9
364.69
506.63
-250.1
-245.2
-245.2
4971.5
5130.2
5448.2
99.6
97.2
96.4
0
0
0
0
0
0
100%
100%
100%
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
80%
80%
80%
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
120%
120%
120%
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

99.6373
100%
-2060
36
389.38
-99.6
2038.5
52.6
0
80%
-760
-4
-233.66
48.3
-3536.1
-12.7
0
120%
6838
62
615.13
-248.7
5858.1
96.7
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

99.6573
100%
0
48
764.25
-111.1
2870.9
56.2
0
80%
-1050
-5
235.81
32.4
-2205.4
-4.7
0
120%
10346
79
943.85
-255.8
6368.2
98.3
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

99.6773
100%
2809
66
1044.33
-127.1
3843.3
61.6
0
80%
-1102
5
731.09
7.7
-499.8
7.3
0
120%
14777
99
1040.35
-264.4
6907.5
100.5
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

99.6973
100%
6676
90
1357.16
-145.8
4872.4
68
0
80%
-358
28
1543.56
-22.8
1396.4
21.8
0
120%
20265
122
1274.24
-273
7433.6
103
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

99.7173
100%
11919
121
1726.47
-164.2
5854.9
74.6
0
80%
1834
62
2037.57
-55.4
3295.2
36.9
0
120%
27009
149
1405.05
-279.2
7875.5
105
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

99.7373
100%
18866
157
1892.67
-181
6723.9
80.7
0
80%
6030
107
2499.28
-87.4
5052.2
51.3
0
120%
35168
178
1578.68
-281.3
8179.4
106.2
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

100.0573
100%
372196
-317
0
0
0
0
0
80%
372196
-317
0
0
0
0
0
120%
372196
-317
0
0
0
0
0
0
100%
0
0
0
0
0
0
0
80%
0
0
0
0
0
0
0
120%
0
0
0
0
0
0
0

ED5H
ED5H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED5H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED5H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED6H
ED6H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED6H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
ED6H
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

ED5H
ED6H
100%
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
80%
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
120%
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho

99.2573
0
100%
-85196
88
673.83
-769.9
20911.5
309
0
80%
-133947
122
1074.81
-718.5
23696.3
349.3
0
120%
-42676
50
417.92
-790.1
18116.1
270.7
0

99.5773 99.5973 99.6173


0
0
0
100%
100%
100%
-6907
-5251
-3705
36
31
31
-423.46
-59.48
18.11
-104.4
-94.9
-93.4
920.9
1005.7
1389.3
56.5
52.2
51
0
0
0
80%
80%
80%
-3388
-1575
-789
49
25
7
-1568.39 -1030.23 -833.35
25.7
45.9
53.7
-4333.9 -4657.3 -4387.2
-2.5
-12.1
-15.6
0
0
0
120%
120%
120%
-241
1708
4019
37
42
51
197.9
364.69
506.63
-250.1
-245.2
-245.2
4971.5
5130.2
5448.2
99.6
97.2
96.4
0
0
0

99.6373
0
100%
-2060
36
389.38
-99.6
2038.5
52.6
0
80%
-760
-4
-233.66
48.3
-3536.1
-12.7
0
120%
6838
62
615.13
-248.7
5858.1
96.7
0

99.6573 99.6773 99.6973 99.7173 99.7373


0
0
0
0
0
100%
100%
100%
100%
100%
0
2809
6676
11919
18866
48
66
90
121
157
764.25 1044.33 1357.16 1726.47 1892.67
-111.1
-127.1
-145.8
-164.2
-181
2870.9
3843.3
4872.4
5854.9
6723.9
56.2
61.6
68
74.6
80.7
0
0
0
0
0
80%
80%
80%
80%
80%
-1050
-1102
-358
1834
6030
-5
5
28
62
107
235.81
731.09 1543.56 2037.57 2499.28
32.4
7.7
-22.8
-55.4
-87.4
-2205.4
-499.8
1396.4
3295.2
5052.2
-4.7
7.3
21.8
36.9
51.3
0
0
0
0
120%
120%
120%
120%
120%
10346
14777
20265
27009
35168
79
99
122
149
178
943.85 1040.35 1274.24 1405.05 1578.68
-255.8
-264.4
-273
-279.2
-281.3
6368.2
6907.5
7433.6
7875.5
8179.4
98.3
100.5
103
105
106.2
0
0
0
0
0

100.0573
0
100%
372196
-317
0
0
0
0
0
80%
372196
-317
0
0
0
0
0
120%
372196
-317
0
0
0
0
0

ED5H
ED6H
100%
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
80%
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho
120%
P&L
Delta
Gamma
Theta
Vega
OrigX
Rho