A)

Current stock price: USD 50

Strike price: USD 52
Time to maturity: 1 year
Risk-free rate: 12% per annum

Predicted stock prices after 1 year:

D = USD 60.5
E = USD 49.5
F = USD 40.5

Call Option Payoff = max(S−K,0)

Value of Option at Terminal Value D: At D: USD 8.5

Stock price (D): USD 60.5 At E: USD 0
Payoff at D = max⁡(60.5−52,0) = 8.5 At F: USD 0

Value of Option at Terminal Value E: The value of the call option at the terminal value poin
Stock price (E): USD 49.5
Payoff at E = max⁡(49.5−52,0) = 0

Value of Option at Terminal Value F:

Stock price (F): USD 40.5
Payoff at F = max⁡(40.5−52,0) = 0

B)
Current stock price: USD 50
Strike price: USD 52
Time to maturity: 1 year
Risk-free rate: 12% per annum

Intermediate node prices (after 6 months):

B = USD 55
C = USD 45

Up Factor 55/50 = 1.1

Down Factor 45/50 = 0.9

risk-neutral probability 1-P = 1-0.809 0.191

 0.81

If the stock goes up from B, it reaches D (USD 60.5), with a payoff of USD 8.5.
If the stock goes down from B, it reaches E (USD 49.5), with a payoff of USD 0.

If the stock goes up from C, it reaches E (USD 49.5), with a payoff of USD 0.
If the stock goes down from C, it reaches F (USD 40.5), with a payoff of USD 0.

The value of the option at intermediate node B is USD 6.476

The value of the option at intermediate node C is USD 0

C)
Current stock price (A): USD 50
Strike price: USD 52
Risk-free rate: 12% per annum
Time to maturity: 1 year

Predicted stock prices after 1 year:

B = USD 55
C = USD 45

Up Factor 55/50 = 1.1

Down Factor 45/50 = 0.9

Risk-neutral probability The payoff at node B (USD 6.476)

0.81 The payoff at node C (USD 0)

expected option payoff under risk-neutral probabilities The risk-neutral value of the opti
4.68 approximately USD 6.02

D) I believe that if it is priced at USD 53 it is Overpriced

Reasons

If the market price (USD 53) is significantly higher than the calculated risk-neutral value (USD 4.68), it suggests th
If the option is priced at USD 53, it would likely be slightly overpriced, assuming the market expectations
implied assumptions in standard option pricing models. This conclusion is based on the fact that the strike
option is not yet in the money.
he terminal value points D, E, and F are 8.5, 0, and 0
 The expected option value at B 6.476

The expected option value at C 0

eutral value of the option today (point A), using the given parameters and predictions, is
ately USD 6.02

USD 4.68), it suggests that the option might be overpriced.

e market expectations and volatility are not significantly different from the
the fact that the strike price is higher than the current stock price, and the
Date Close Logitech International S.A. (LOGI)
7/3/2023 58.69
7/5/2023 59.3 a) Strike Price 86.02 c)
7/6/2023 58.34 Risk Free Rate 6%
7/7/2023 59.7 b) Volatility 1365.5
7/10/2023 59.75
7/11/2023 60.82
7/12/2023 61.44
7/13/2023 62.8
7/14/2023 62.87
7/17/2023 63.77
7/18/2023 63.78
7/19/2023 63.4
7/20/2023 62.9
7/21/2023 63.47
7/24/2023 62.96
7/25/2023 71.52
7/26/2023 72.38
7/27/2023 71.55
7/28/2023 71.48
7/31/2023 69.38
8/1/2023 68.93
8/2/2023 68.79
8/3/2023 68.16 The price of 6 months call o
8/4/2023 68.29
8/7/2023 68.36
8/8/2023 67.84 d)
8/9/2023 67.53
8/10/2023 68.02
8/11/2023 67.39
8/14/2023 67.96
8/15/2023 67.53
8/16/2023 66.73
8/17/2023 66.09
8/18/2023 66.26
8/21/2023 66.85
8/22/2023 67.18
8/23/2023 68.01
8/24/2023 66.45
8/25/2023 67.22
8/28/2023 67.77
8/29/2023 68.82
8/30/2023 69.09
 8/31/2023 68.82
9/1/2023 69.55
9/5/2023 71.38
9/6/2023 72.2
9/7/2023 70.85 The price of 6 months call op
9/8/2023 70.11
9/11/2023 70.78 e)
9/12/2023 70.5
9/13/2023 70.58
9/14/2023 70.27
9/15/2023 71.53
9/18/2023 71.58
9/19/2023 71.99
9/20/2023 71.8
9/21/2023 70.88
9/22/2023 70.81
9/25/2023 68.8
9/26/2023 66.42
9/27/2023 67.58
9/28/2023 68.26
9/29/2023 68.94
10/2/2023 69.23
10/3/2023 68.66
10/4/2023 70.1
10/5/2023 70.35
10/6/2023 71.24
10/9/2023 71.24
10/10/2023 71.36 The price of 6 months call op
10/11/2023 71.33
10/12/2023 71.44
10/13/2023 71.06
10/16/2023 72.36
10/17/2023 72.17
10/18/2023 70.79
10/19/2023 70.32
10/20/2023 69.17
10/23/2023 68.35
10/24/2023 77.16
10/25/2023 76.76
10/26/2023 76.51
10/27/2023 77.01
10/30/2023 77.64
10/31/2023 78.63
 11/1/2023 79.03
11/2/2023 79.8
11/3/2023 79.36
11/6/2023 78.71
11/7/2023 80.77
11/8/2023 81.05
11/9/2023 80.92
11/10/2023 81.56
11/13/2023 81.58
11/14/2023 83.89
11/15/2023 85.29
11/16/2023 84.93
11/17/2023 85.05
11/20/2023 86.24
11/21/2023 85.82
11/22/2023 85.89
11/24/2023 84.67
11/27/2023 84.84
11/28/2023 84.71
11/29/2023 86.38
11/30/2023 87.7
12/1/2023 87.11
12/4/2023 87.01
12/5/2023 86.47
12/6/2023 86.36
12/7/2023 87.33
12/8/2023 89.11
12/11/2023 90.23
12/12/2023 92.04
12/13/2023 93.44
12/14/2023 94.98
12/15/2023 94.08
12/18/2023 93.43
12/19/2023 94.09
12/20/2023 92.67
12/21/2023 93.23
12/22/2023 92.58
12/26/2023 93.23
12/27/2023 94.56
12/28/2023 94.51
12/29/2023 95.06
1/2/2024 93.63
1/3/2024 93.09
 1/4/2024 92.88
1/5/2024 92.56
1/8/2024 94.72
1/9/2024 94.03
1/10/2024 95.94
1/11/2024 95.38
1/12/2024 95.96
1/16/2024 94.04
1/17/2024 93.75
1/18/2024 94.72
1/19/2024 94.67
1/22/2024 95.93
1/23/2024 84.86
1/24/2024 87.15
1/25/2024 85.24
1/26/2024 85.57
1/29/2024 83.94
1/30/2024 84.44
1/31/2024 83.39
2/1/2024 85.2
2/2/2024 84.33
2/5/2024 84.18
2/6/2024 84.97
2/7/2024 83.34
2/8/2024 84.6
2/9/2024 85.21
2/12/2024 85.27
2/13/2024 85.42
2/14/2024 87.1
2/15/2024 87.41
2/16/2024 85.9
2/20/2024 87.79
2/21/2024 86.74
2/22/2024 89
2/23/2024 89.64
2/26/2024 89.85
2/27/2024 89.94
2/28/2024 88.77
2/29/2024 87.82
3/1/2024 87.9
3/4/2024 86.33
3/5/2024 84.78
3/6/2024 88.26
 3/7/2024 89.53
3/8/2024 90.51
3/11/2024 91.41
3/12/2024 92.5
3/13/2024 93.31
3/14/2024 93.55
3/15/2024 94.72
3/18/2024 88.16
3/19/2024 90.48
3/20/2024 90.47
3/21/2024 89.8
3/22/2024 90.84
3/25/2024 91.12
3/26/2024 90.76
3/27/2024 88.46
3/28/2024 89.37
4/1/2024 89.28
4/2/2024 88.7
4/3/2024 90.38
4/4/2024 87.56
4/5/2024 87.36
4/8/2024 87.74
4/9/2024 88.56
4/10/2024 85.94
4/11/2024 87.41
4/12/2024 86.84
4/15/2024 81.26
4/16/2024 79.69
4/17/2024 79
4/18/2024 78.08
4/19/2024 77.31
4/22/2024 78.23
4/23/2024 79.01
4/24/2024 79.41
4/25/2024 78.72
4/26/2024 79.26
4/29/2024 79.44
4/30/2024 78.39
5/1/2024 79.01
5/2/2024 81.77
5/3/2024 82.09
5/6/2024 83.91
5/7/2024 84.35
 5/8/2024 84.39
5/9/2024 84.8
5/10/2024 84.76
5/13/2024 86.36
5/14/2024 89.17
5/15/2024 88.58
5/16/2024 89.23
5/17/2024 89.96
5/20/2024 89.89
5/21/2024 92.46
5/22/2024 94.75
5/23/2024 95.13
5/24/2024 96.01
5/28/2024 95.43
5/29/2024 95.21
5/30/2024 97.76
5/31/2024 100.01
6/3/2024 96.89
6/4/2024 98
6/5/2024 99.99
6/6/2024 102.1
6/7/2024 101.14
6/10/2024 101.43
6/11/2024 100.13
6/12/2024 101.85
6/13/2024 102.17
6/14/2024 98.77
6/17/2024 99.15
6/18/2024 99.05
6/20/2024 97.17
6/21/2024 96.11
6/24/2024 97.63
6/25/2024 97.93
6/26/2024 96.27
6/27/2024 96.32
6/28/2024 96.88
(LOGI)

The price of 6 months call option is 45.3913 / 45.4 The price of 6 months put option is 42.849025 / 42.8
The price of 6 months call option is 52.075842 / 52.1 The price of 6 months put option is 40.931567 / 40.9

The price of 6 months call option is 38.893397 / 38.9 The price of 6 months put option is 44.953122 / 45
 For the calculation the volatility is 200% because the
maximum volatility that can be set in derivagem is 200%

n is 42.849025 / 42.8
n is 40.931567 / 40.9

on is 44.953122 / 45
 Logitech International S.A. (LOGI)
Date Close
7/3/2023 58.689999
7/5/2023 59.299999
7/6/2023 58.34
7/7/2023 59.700001
7/10/2023 59.75
7/11/2023 60.82
7/12/2023 61.439999
7/13/2023 62.799999
7/14/2023 62.869999
7/17/2023 63.77
7/18/2023 63.779999
7/19/2023 63.400002
7/20/2023 62.900002
7/21/2023 63.470001
7/24/2023 62.959999
7/25/2023 71.519997
7/26/2023 72.379997
7/27/2023 71.550003
7/28/2023 71.480003
7/31/2023 69.379997
8/1/2023 68.93
8/2/2023 68.790001
8/3/2023 68.160004
8/4/2023 68.290001
8/7/2023 68.360001
8/8/2023 67.839996
8/9/2023 67.529999
8/10/2023 68.019997
8/11/2023 67.389999
8/14/2023 67.959999
8/15/2023 67.529999
8/16/2023 66.730003
8/17/2023 66.089996
8/18/2023 66.260002
8/21/2023 66.849998
8/22/2023 67.18
8/23/2023 68.010002
8/24/2023 66.449997
8/25/2023 67.220001
8/28/2023 67.769997
 8/29/2023 68.82
8/30/2023 69.089996
8/31/2023 68.82
9/1/2023 69.550003
9/5/2023 71.379997
9/6/2023 72.199997
9/7/2023 70.849998
9/8/2023 70.110001
9/11/2023 70.779999
9/12/2023 70.5
9/13/2023 70.580002
9/14/2023 70.269997
9/15/2023 71.529999
9/18/2023 71.580002
9/19/2023 71.989998
9/20/2023 71.800003
9/21/2023 70.879997
9/22/2023 70.809998
9/25/2023 68.800003
9/26/2023 66.419998
9/27/2023 67.580002
9/28/2023 68.260002
9/29/2023 68.940002
10/2/2023 69.230003
10/3/2023 68.660004
10/4/2023 70.099998
10/5/2023 70.349998
10/6/2023 71.239998
10/9/2023 71.239998
10/10/2023 71.360001
10/11/2023 71.330002
10/12/2023 71.440002
10/13/2023 71.059998
10/16/2023 72.360001
10/17/2023 72.169998
10/18/2023 70.790001
10/19/2023 70.32
10/20/2023 69.169998
10/23/2023 68.349998
10/24/2023 77.160004
10/25/2023 76.760002
10/26/2023 76.510002
10/27/2023 77.010002
10/30/2023 77.639999
10/31/2023 78.629997
11/1/2023 79.029999
11/2/2023 79.800003
11/3/2023 79.360001
11/6/2023 78.709999
11/7/2023 80.769997
11/8/2023 81.050003
11/9/2023 80.919998
11/10/2023 81.559998
11/13/2023 81.580002
11/14/2023 83.889999
11/15/2023 85.290001
11/16/2023 84.93
11/17/2023 85.050003
11/20/2023 86.239998
11/21/2023 85.82
11/22/2023 85.889999
11/24/2023 84.669998
11/27/2023 84.839996
11/28/2023 84.709999
11/29/2023 86.379997
11/30/2023 87.699997
12/1/2023 87.110001
12/4/2023 87.010002
12/5/2023 86.470001
12/6/2023 86.360001
12/7/2023 87.330002
12/8/2023 89.110001
12/11/2023 90.230003
12/12/2023 92.040001
12/13/2023 93.440002
12/14/2023 94.980003
12/15/2023 94.080002
12/18/2023 93.43
12/19/2023 94.089996
12/20/2023 92.669998
12/21/2023 93.230003
12/22/2023 92.580002
12/26/2023 93.230003
12/27/2023 94.559998
12/28/2023 94.510002
12/29/2023 95.059998
 1/2/2024 93.629997
1/3/2024 93.089996
1/4/2024 92.879997
1/5/2024 92.559998
1/8/2024 94.720001
1/9/2024 94.029999
1/10/2024 95.940002
1/11/2024 95.379997
1/12/2024 95.959999
1/16/2024 94.040001
1/17/2024 93.75
1/18/2024 94.720001
1/19/2024 94.669998
1/22/2024 95.93
1/23/2024 84.860001
1/24/2024 87.150002
1/25/2024 85.239998
1/26/2024 85.57
1/29/2024 83.940002
1/30/2024 84.440002
1/31/2024 83.389999
2/1/2024 85.199997
2/2/2024 84.330002
2/5/2024 84.18
2/6/2024 84.970001
2/7/2024 83.339996
2/8/2024 84.599998
2/9/2024 85.209999
2/12/2024 85.269997
2/13/2024 85.419998
2/14/2024 87.099998
2/15/2024 87.410004
2/16/2024 85.900002
2/20/2024 87.790001
2/21/2024 86.739998
2/22/2024 89
2/23/2024 89.639999
2/26/2024 89.849998
2/27/2024 89.940002
2/28/2024 88.769997
2/29/2024 87.82
3/1/2024 87.900002
3/4/2024 86.330002
 3/5/2024 84.779999
3/6/2024 88.260002
3/7/2024 89.529999
3/8/2024 90.510002
3/11/2024 91.410004
3/12/2024 92.5
3/13/2024 93.309998
3/14/2024 93.550003
3/15/2024 94.720001
3/18/2024 88.160004
3/19/2024 90.480003
3/20/2024 90.470001
3/21/2024 89.800003
3/22/2024 90.839996
3/25/2024 91.120003
3/26/2024 90.760002
3/27/2024 88.459999
3/28/2024 89.370003
4/1/2024 89.279999
4/2/2024 88.699997
4/3/2024 90.379997
4/4/2024 87.559998
4/5/2024 87.360001
4/8/2024 87.739998
4/9/2024 88.559998
4/10/2024 85.940002
4/11/2024 87.410004
4/12/2024 86.839996
4/15/2024 81.260002
4/16/2024 79.690002
4/17/2024 79
4/18/2024 78.080002
4/19/2024 77.309998
4/22/2024 78.230003
4/23/2024 79.010002
4/24/2024 79.410004
4/25/2024 78.720001
4/26/2024 79.260002
4/29/2024 79.440002
4/30/2024 78.389999
5/1/2024 79.010002
5/2/2024 81.769997
5/3/2024 82.089996
 5/6/2024 83.910004
5/7/2024 84.349998
5/8/2024 84.389999
5/9/2024 84.800003
5/10/2024 84.760002
5/13/2024 86.360001
5/14/2024 89.169998
5/15/2024 88.580002
5/16/2024 89.230003
5/17/2024 89.959999
5/20/2024 89.889999
5/21/2024 92.459999
5/22/2024 94.75
5/23/2024 95.129997
5/24/2024 96.010002
5/28/2024 95.43
5/29/2024 95.209999
5/30/2024 97.760002
5/31/2024 100.01
6/3/2024 96.889999
6/4/2024 98
6/5/2024 99.989998
6/6/2024 102.1
6/7/2024 101.14
6/10/2024 101.43
6/11/2024 100.13
6/12/2024 101.85
6/13/2024 102.17
6/14/2024 98.769997
6/17/2024 99.150002
6/18/2024 99.050003
6/20/2024 97.169998
6/21/2024 96.110001
6/24/2024 97.629997
6/25/2024 97.93
6/26/2024 96.269997
6/27/2024 96.32
6/28/2024 96.879997
A)
B)

C)
Delta is a ratio that compares the change in the price of the underlying asset to the cor

For a call option, delta is positive and ranges from 0 to 1.

As the price of the underlying asset increases, the delta of a call option increases. This

When the asset price reach USD 50 the delta becomes 0.5 which means that for every

When the asset price reach USD 70 the delta becomes 1 which meants that for every $

As the strike price of a call option decreases (making it more in-the-money), the delta

As the strike price of either a call or put option moves further out-of-the-money, the d

Delta provides a measure of how much the price of an option is expected to change as

The delta for the strike price goes lower as the price increases when it reach the curren

In summary, a delta of 0.64 for an option with a strike price of $55 when the current p
likely a call, is expected to be very sensitive to changes in the underlying asset's price
volatility or a shorter time to expiration, indicating that the market sees a significant c
approach or exceed the strike price of $55 before expiration.
Gamma measures the sensitivity of the option's delta to changes in the price of the un

Gamma provides insight into how delta, and therefore an option's sensitivity to price m

A gamma of 0.04 means that for every $1 increase in the price of the underlying asset

A gamma of 0.04 when the asset price is $50 indicates that the option's delta is relativ
underlying asset's price. Traders and risk managers use gamma to assess the potential
positions based on changes in the underlying asset's price.

for a call option with a strike price of $55 when the asset price is $50, gamma would
that are deeper in-the-money or out-of-the-money. This higher gamma indicates
underlying asset's price, making the option more responsive to m

Vega (ν\nuν) is a measure of an option's sensitivity to changes in volatility, specifical

underlying asset. It quantifies how much the price of an option will change with a
volatility of the underlying asset.
Vega (ν\nuν) is a measure of an option's sensitivity to changes in volatility, specifical
underlying asset. It quantifies how much the price of an option will change with a
volatility of the underlying asset.

Vega is primarily sensitive to changes in volatility and is not directly related to the ass

a vega of 0.2 when the asset price is $50 indicates that the option's price is sensitive to

Vega is more directly related to the strike price in the context of how volatility expect

A vega of 0.2 when the asset price is $50 and the strike price is $55 indicates how se
changes in implied volatility. It reflects that the option price would increase by $0
implied volatility, regardless of the specific relationship between the asset pri
erlying asset to the corresponding change in the price of the option.

l option increases. This means the option's price will rise as the underlying asset's price rises.

h means that for every $1 increase in the asset price, the option's price will increase by $0.50.

meants that for every $1 increase in the asset price, the option's price will increase by $1.

-the-money), the delta increases towards 1.

ut-of-the-money, the delta approaches 0.

s expected to change as the price of the underlying asset changes, and it varies with the strike price relative to the current asset pr

when it reach the current strike price which is 55 the delta becomes around 0.64

$55 when the current price is $50 suggests that the option,
nderlying asset's price. This could be due to high implied
ket sees a significant chance for the underlying asset's price to
s in the price of the underlying asset. It indicates how much the delta will change as the price of the underlying asset changes.

n's sensitivity to price movements in the underlying asset, changes over time.

of the underlying asset, the delta of the option would increase by 0.04

option's delta is relatively sensitive to changes in the

to assess the potential risk and reward associated with options

is $50, gamma would be relatively higher compared to options

gher gamma indicates greater sensitivity to changes in the
on more responsive to market movements.

in volatility, specifically the implied volatility of the

tion will change with a 1% change in the implied
lying asset.
 in volatility, specifically the implied volatility of the
tion will change with a 1% change in the implied
lying asset.

rectly related to the asset price itself.

on's price is sensitive to changes in implied volatility, with the option price changing by $0.2 for every 1% change in implied vol

f how volatility expectations are priced into the option.

s $55 indicates how sensitive the option's price is to

e would increase by $0.2 for every 1% increase in
p between the asset price and the strike price.
to the current asset price.
ying asset changes.
change in implied volatility.
A)
So / Current EUR/USD Spot Price: 1.20 P = max (k-so)

k / Strike Price of Put Option: 1.25 Profit = P - Premium

Premium: USD 0.1 per EUR

Example of Positive Scenario Market Price Falls

Profit
Month 1 1.2 max (1.25 - 1.2,0) (0.05,0) 0.05-0.1 = -0.05
Month 2 1.18 max (1.25 - 1.18,0) (0.07,0) 0.07-0.1 = -0.03
Month 3 1.16 max (1.25 - 1.16,0) (0.09,0) 0.09-0.1 = -0.01
Month 4 1.14 max (1.25 - 1.14,0) (0.11,0) 0.11-0.1 = 0.01
Month 5 1.12 max (1.25 - 1.12,0) (0.13,0) 0.13-0.1 = 0.03
Month 6 1.1 max (1.25 - 1.1,0) (0.15,0) 0.15-0.1 = 0.05
Month 7 1.08 max (1.25 - 1.08,0) (0.17,0) 0.17-0.1 = 0.07
Month 8 1.06 max (1.25 - 1.06,0) (0.19,0) 0.19-0.1 = 0.09
Month 9 1.04 max (1.25 - 1.04,0) (0.21,0) 0.21-0.1 = 0.11
Month 10 1.02 max (1.25 - 1.02,0) (0.23,0) 0.23-0.1 = 0.13
Month 11 1 max (1.25 - 1,0) (0.25,0) 0.25-0.1 = 0.15
Month 12 0.8 max (1.25 - 0.8,0) (0.27,0) 0.27-0.1 = 0.17

Example of negative Scenario Market Price Increase

Profit
Month 1 1.2 max (1.25 - 1.2,0) (0.05,0) 0.05-0.1 = -0.05
Month 2 1.22 max (1.25 - 1.22,0) (0.03,0) 0.03-0.1 = -0.03
Month 3 1.24 max (1.25 - 1.24,0) (0.01,0) 0.01-0.1 = -0.01
Month 4 1.26 max (1.25 - 1.26,0) (-0.01,0) -0.1
Month 5 1.28 max (1.25 - 1.28,0) (-0.03,0) -0.1
Month 6 1.3 max (1.25 - 1.3,0) (-0.05,0) -0.1
Month 7 1.32 max (1.25 - 1.32,0) (-0.07,0) -0.1
Month 8 1.34 max (1.25 - 1.34,0) (-0.09,0) -0.1
Month 9 1.36 max (1.25 - 1.36,0) (-0.11,0) -0.1
Month 10 1.38 max (1.25 - 1.38,0) (-0.13,0) -0.1
Month 11 1.4 max (1.25 - 1.4,0) (-0.15,0) -0.1
Month 12 1.42 max (1.25 - 1.42,0) (-0.17,0) -0.1

B) Buy a call option and pays premium 0.1 Example Scenario

Best scenario if stock keeps increasing Month 1 1.2
Month 2 1.22
I don’t believe it will be higher than 1.38 so I cap my Month 3 1.24
maximum profit at price of 1.38
 I don’t believe it will be higher than 1.38 so I cap my
maximum profit at price of 1.38 Month 4 1.26
I will sell the call with a credit of 0.05 Month 5 1.28
So I cap my loss at 0.05 and not 0.1 Month 6 1.3
Month 7 1.32
So / Current EUR/USD Spot Price: 1.20 Month 8 1.34
Month 9 1.36
k / Strike Price of Put Option: 1.25 Month 10 1.38
Month 11 1.4
Month 12 1.42

Benefits
Limits both potential profit and loss.
Low initial investment compared to outright purchase.

Risks:
Limited potential profit if EUR/USD rises significantly.
Potential loss if EUR/USD doesn't rise enough to cover the cost of the premiums.

C) A butterfly spread involves three strike prices: Spot Price

at Expiry
P1 Buying one put option at a lower strike price (USD)
P2 Selling two put options at a middle strike price 1.1
P3 Buying one put option at a higher strike price 1.15
1.2
Example Scenario 1.25
P1 = 1.15 1.3
P2 = 1.25 (same as the original put option)
P3 = 1.35

Example Premium
Premium for P1 = 0.15 USD
Premium for P2 = 0.1 USD (same as the original put option)
Premium for P3 = 0.05 USD
 Positive
Negative

Profit
0.05-0.1 = -0.05 Month 1 -0.05 Need to exercise because if not exercise and pay the p
0.07-0.1 = -0.03 Month 2 -0.03
0.09-0.1 = -0.01 Month 3 -0.01 This chart isn't available in your version of Excel.
0.11-0.1 = 0.01 Month 4 0.01 Editing this shape or saving this workbook into a different fil
0.13-0.1 = 0.03 Month 5 0.03 will permanently break the chart.
0.15-0.1 = 0.05 Month 6 0.05
0.17-0.1 = 0.07 Month 7 0.07
0.19-0.1 = 0.09 Month 8 0.09
0.21-0.1 = 0.11 Month 9 0.11
0.23-0.1 = 0.13 Month 10 0.13
0.25-0.1 = 0.15 Month 11 0.15
0.27-0.1 = 0.17 Month 12 0.17

Profit
0.05-0.1 = -0.05 Month 1 -0.05 Exercise because loss is lower than paying premium
0.03-0.1 = -0.03 Month 2 -0.07 Exercise because loss is lower than paying premium
0.01-0.1 = -0.01 Month 3 -0.09 Exercise because loss is lower than paying premium
-0.1 Month 4 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 5 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 6 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 7 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 8 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 9 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 10 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 11 -0.1 Don’t exercise because if exercise the loss will be higher
-0.1 Month 12 -0.1 Don’t exercise because if exercise the loss will be higher

max (1.2 - 1.25,0) (-0.05,0) Month 1 -0.05 Maximum at profit at 0.13 because
max (1.22 - 1.25,0) (-0.03,0) Month 2 -0.03 highest strike price at 1.38 but made
max (1.24 - 1.25,0) (-0.01,0) Month 3 -0.01 safer because lower initial investme
max (1.26 - 1.25,0) (0.01,0) Month 4 0.01
max (1.28 - 1.25,0) (0.03,0) Month 5 0.03 So despite the price keep increasin
max (1.3 - 1.25,0) (0.05,0) Month 6 0.05 profit is stuck at 0.13 because I
max (1.32 - 1.25,0) (0.07,0) Month 7 0.07 beginning and made a safer i
max (1.34 - 1.25,0) (0.09,0) Month 8 0.09
max (1.36 - 1.25,0) (0.11,0) Month 9 0.11
max (1.38 - 1.25,0) (0.13,0) Month 10 0.13
max (1.38 - 1.25,0) (0.15,0) Month 11 0.13
max (1.38 - 1.25,0) (0.17,0) Month 12 0.13

pay-off profile alongside the original

Pay-off Pay-off Pay-off Total Pay-
from P1 from P2 from P3 off
(1.15) (1.25) (1.35)
0.05 0.1 0.25 0.2
0 0.1 0.2 0.1
-0.05 0 0.15 0.1
-0.1 -0.1 0.1 -0.1
-0.1 -0.1 0.05 -0.15

The pay-off profile is more complex due to

The maximum profit occurs when the spot price at expiry
not exercise and pay the premium itu would be 0.1 which is bigger loss than 0.05 if exercise

version of Excel.

workbook into a different file format

han paying premium

han paying premium Payoff Profile
han paying premium 0
1 2 3 4 5 6 7 8 9
ise the loss will be higher compared to just paying the premium nth nth nth nth nth nth nth nth nth
-0.02 o o o o o o o o o
M M M M M M M M M M
ise the loss will be higher compared to just paying the premium
ise the loss will be higher compared to just paying the premium -0.04
ise the loss will be higher compared to just paying the premium
-0.06
ise the loss will be higher compared to just paying the premium
ise the loss will be higher compared to just paying the premium -0.08
ise the loss will be higher compared to just paying the premium
-0.1
ise the loss will be higher compared to just paying the premium
ise the loss will be higher compared to just paying the premium -0.12

at profit at 0.13 because I capped the

ike price at 1.38 but made my investment Payoff Profile
use lower initial investment 0.14
0.12
0.1
0.08
0.06
 Payoff Profile
0.14
0.12
0.1
e the price keep increasing my maximum 0.08
is stuck at 0.13 because I cap it in the 0.06
inning and made a safer investment 0.04
0.02
0
Month Month Month Month Month Month Month Month Month Month Month Month
-0.02 1 2 3 4 5 6 7 8 9 10 11 12
-0.04
-0.06

alongside the original put option.

Benefits:

1. Limited Risk: The maximum loss is limited to the net premium

2. Potential for Profit: Provides a higher potential for profit if the
3. Cost-Effective: Generally cheaper than other strategies such a

Risks:

1. Limited Profit: The maximum profit is limited and occurs only

2. Complexity: More complex to manage compared to a single o
3. Margin Requirements: May require higher margin due to mult

le is more complex due to the combination of three options.

en the spot price at expiry is exactly at the middle strike price (1.25 USD).
yoff Profile
5 6 7 8 9 10 11 12
nth nth nth nth th th th
o o o o on on on
M M M M M M M
Month Month Month Month
9 10 11 12

mited to the net premium paid for the spread.

otential for profit if the spot price at expiry is close to the middle strike price (P2).
other strategies such as buying a single put or call option outright.

limited and occurs only if the spot price at expiry is exactly at the middle strike price (P2).
compared to a single option position, as it involves multiple contracts.
her margin due to multiple options being involved.
A)

Fixed yield 8% LIBOR +1.5%

US bond portfolio (value

PT. BASE
USD 100 million)

9%
LIBOR+2%

Medium Term Notes

B) Bank TOP Pays: 6% + 1.5% = 7.5%

Net Payment to PT. BASE: 9% - 7.5% = 1.5% (PT. BASE pays this net amount)

Income from Bond Portfolio: fixed yield 8%/ + USD 8 million

Payment on MTNs: 6% + 2% = 8% / - USD 8 million
Net IRS Payment (Currently): - 1.5% of 100 million = - USD 1.5 million

Cost Calculation

Net IRS Payment: 1.5% of 100 million = USD 1.5 million

Total Cost Over 5 Years:

5-Year Cost: 5 * USD 1.5 million = USD 7.5 million

The cost of the IRS transaction to PT. BASE, based on current LIBOR, is USD 1.5 million
annually, totaling USD 7.5 million over the 5-year period.

C) Libor = 6% Libor annually increase by 0.5%

 Year 1 Libor = 6% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 2 Libor = 6.5% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 3 Libor = 7% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 4 Libor = 7.5% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 5 Libor = 8% PT BASE income 8% - (Libor + 2%) - 9% + (L

Total Net Cash Flow Over 5 Years: Under the scenario where LIBOR
5 * - USD 1.5 million = - USD 7.5 million that the IRS did not generate a pr

D) Libor = 6% Libor annually decrease by 0.5%

Year 1 Libor = 6% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 2 Libor = 5.5% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 3 Libor = 5% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 4 Libor = 4.5% PT BASE income 8% - (Libor + 2%) - 9% + (L

Year 5 Libor = 4% PT BASE income 8% - (Libor + 2%) - 9% + (L

Total Net Cash Flow Over 5 Years:

Under the scenario wher
5 * - USD 1.5 million = - USD 7.5 million

Total Cost without IRS: Total Cost with IRS:

Cost of MTN: Libor +2% = 8% Cost of MTN: Libor +2% = 8%
Cash in: 8% Cash in: 8% + Libor +1.5% = 15.5%
Cash out: 8% Cash out: 8% + 9% (Fixed IRS Payment) =
Total Cost without IRS: 8% - 8% = 0 Total Cost with IRS: 15.5% - 17% = 1.5%
 LIBOR +1.5%

Bank TOP

9%

is USD 1.5 million

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 8 million (MTNs payment) - USD

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 8.5 million (MTNs payment) - U

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 9 million (MTNs payment) - USD

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 9.5 million (MTNs payment) - U

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 10 million (MTNs payment) + US

scenario where LIBOR increases by 0.5% annually, the projected cost of the transaction over the 5-year period is USD 7.5 millio
RS did not generate a profit for PT. BASE but instead had a net cost.

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 8 million (MTNs payment) - USD

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 7.5 million (MTNs payment) - U

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 7 million (MTNs payment) - USD

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 6.5 million (MTNs payment) - U

(Libor + 2%) - 9% + (Libor +1.5%) USD 8 million (income) - USD 6 million (MTNs payment) - USD

nder the scenario where LIBOR decreases by 0.5% annually, the projected loss of the transaction over the 5-year period is USD

Total Cost with IRS: So without IRS:

+2% = 8% Rising Libor: Total Loss of $5.000.000 (-)
+1.5% = 15.5% Falling Libor: Total Gain of $5.000.000 (+)
Fixed IRS Payment) = 17%
15.5% - 17% = 1.5% So with IRS:
Rising Libor: Total Loss of $7.500.000 (-)
Falling Libor: Total Loss of $7.500.000 (-)
MTNs payment) - USD 1.5 million (IRS net payment) = - USD 1.5 million

(MTNs payment) - USD 1 million (IRS net payment) = - USD 1.5 million

MTNs payment) - USD 0.5 million (IRS net payment) = - USD 1.5 million

(MTNs payment) - USD 0 million (IRS net payment) = - USD 1.5 million

(MTNs payment) + USD 0.5 million (IRS net receipt) = - USD 1.5 million

eriod is USD 7.5 million. This indicates

MTNs payment) - USD 1.5 million (IRS net payment) = - USD 1.5 million

(MTNs payment) - USD 2 million (IRS net payment) = - USD 1.5 million

MTNs payment) - USD 2.5 million (IRS net payment) = - USD 1.5 million

(MTNs payment) - USD 3 million (IRS net payment) = - USD 1.5 million

MTNs payment) - USD 3.5 million (IRS net payment) = - USD 1.5 million

5-year period is USD 7.5 million.

00 (-)
00 (+)

00 (-)
00 (-)
 Rising Libor: 0.5% per year

Periode LIBOR
Nominal $ 100,000,000.00
T 5 1 6.0%
Cash in 1.5% 2 6.5%
Cash out 2% 3 7.0%
Fixed payment rate 9% 4 7.5%
Libor 6% 5 8.0%
Cash in from portfolio 8% Total

Falling Libor: 0.5% per year

Periode LIBOR

1 6.0%
2 5.5%
3 5.0%
4 4.5%
5 4.0%
Total

Total Cost without IRS: Total Cost with IRS

Cost of MTN: Libor +2% = 8% Cost of MTN: Libor +2%
Cash in: 8% Cash in: 8% + Libor +1.5%
Cash out: 8% Cash out: 8% + 9% (Fixed IRS P
Total Cost without IRS: 8% - 8% = 0 Total Cost with IRS: 15.5% -

Rising Libor Payoff Profile

Net without IRS

year 1 0
year 2 Period (year)
-500,000.00
0
year 3 -1,000,000.00
year 1 year 4 year 2 year 3
-1,500,000.00 year 4 year 5

year 5 -2,000,000.00
-500,000

-1,000,000

-1,500,000

-2,000,000

-2,500,000
-1,000,000

-1,500,000

-2,000,000

-2,500,000

Net without IRS

Falling Libor Payoff Profile
 Loss
ising Libor: 0.5% per year Profit

Kas Masuk dari Bank Kas Keluar ke Pemegang Kas Masuk dari Cash out (9% Fixed payment
TOP MTN Portfolio rate to bank
 $ 7,500,000.00 $ 8,000,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 8,000,000.00 $ 8,500,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 8,500,000.00 $ 9,000,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 9,000,000.00 $ 9,500,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 9,500,000.00 $ 10,000,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 42,500,000.00 $ 45,000,000.00 $ 40,000,000.00 $ 45,000,000.00

Loss
alling Libor: 0.5% per year Profit

Kas Masuk dari Bank Kas Keluar ke Pemegang Kas Masuk dari Cash out (9% Fixed payment
TOP MTN Portfolio rate to bank

$ 7,500,000.00 $ 8,000,000.00 $ 8,000,000.00 $ 9,000,000.00

$ 7,000,000.00 $ 7,500,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 6,500,000.00 $ 7,000,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 6,000,000.00 $ 6,500,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 5,500,000.00 $ 6,000,000.00 $ 8,000,000.00 $ 9,000,000.00
$ 32,500,000.00 $ 35,000,000.00 $ 40,000,000.00 $ 45,000,000.00

Total Cost with IRS: So without IRS:

Cost of MTN: Libor +2% = 8% Rising Libor: Total Loss of $5.000.000 (-)
Cash in: 8% + Libor +1.5% = 15.5% Falling Libor: Total Gain of $5.000.000 (+)
Cash out: 8% + 9% (Fixed IRS Payment) = 17%
Total Cost with IRS: 15.5% - 17% = 1.5% So with IRS:
Rising Libor: Total Loss of $7.500.000 (-)
Falling Libor: Total Loss of $7.500.000 (-)

Rising Libor Payoff Profile

Net with IRS

year 1 -1,500,000.00
year 2 Period (year)
-1,500,000.00
year 3 0.00 year 1
-1,500,000.00
year 2 year 3 year 4 year 5
year 4
-200,000.00
-1,500,000.00
year 5 -1,500,000.00
-400,000.00

-600,000.00

-800,000.00

-1,000,000.00

-1,200,000.00

-1,400,000.00

-1,600,000.00
 -800,000.00

-1,000,000.00

-1,200,000.00

-1,400,000.00

-1,600,000.00

Net with IRS

Falling Libor Payoff Profile

Period (year)
0.00
year 1 year 2 year 3 year 4 year 5
-200,000.00

-400,000.00

-600,000.00

-800,000.00

-1,000,000.00

-1,200,000.00

-1,400,000.00

-1,600,000.00
Net without IRS Net with IRS
 $ - $ (1,500,000.00)
$ (500,000.00) $ (1,500,000.00)
$ (1,000,000.00) $ (1,500,000.00)
$ (1,500,000.00) $ (1,500,000.00)
$ (2,000,000.00) $ (1,500,000.00)
$ (5,000,000.00) $ (7,500,000.00)

Net without IRS Net with IRS

$ - $ (1,500,000.00)
$ 500,000.00 $ (1,500,000.00)
$ 1,000,000.00 $ (1,500,000.00)
$ 1,500,000.00 $ (1,500,000.00)
$ 2,000,000.00 $ (1,500,000.00)
$ 5,000,000.00 $ (7,500,000.00)

So without IRS:
Total Loss of $5.000.000 (-)
Total Gain of $5.000.000 (+)

So with IRS:
Total Loss of $7.500.000 (-)
: Total Loss of $7.500.000 (-)

year 4 year 5
year 4 year 5
 Logitech International S.A. (LOGI) Day
Date Close Return A) Calculate Annualized daily return 235
6/28/2024 96.879997 -0.58% 171
6/27/2024 96.32 -0.05% C) Stdev 0.02346272 421
6/26/2024 96.269997 1.72% Mean -0.0010 409
6/25/2024 97.93 -0.31% Zscore 99% 2.3263 408
6/24/2024 97.629997 -1.56% 413
6/21/2024 96.110001 1.10% 436
6/20/2024 97.169998 1.93% 453
6/18/2024 99.050003 0.10% 490
6/17/2024 99.150002 -0.38% 412
6/14/2024 98.769997 3.44% 381
6/13/2024 102.17 -0.31% 479
6/12/2024 101.85 -1.69% 80
6/11/2024 100.13 1.30% 396
6/10/2024 101.43 -0.29% 474
6/7/2024 101.14 0.95% 292
6/6/2024 102.1 -2.07% 498
6/5/2024 99.989998 -1.99% 254
6/4/2024 98 -1.13% 294
6/3/2024 96.889999 3.22% 40
5/31/2024 100.01 -2.25% 440
5/30/2024 97.760002 -2.61% 32
5/29/2024 95.209999 0.23% 315
5/28/2024 95.43 0.61% 485
5/24/2024 96.010002 -0.92% 452
5/23/2024 95.129997 -0.40% 429
5/22/2024 94.75 -2.42% 371
5/21/2024 92.459999 -2.78% 361
5/20/2024 89.889999 0.08% 313
5/17/2024 89.959999 -0.81% 387
5/16/2024 89.230003 -0.73% 27
5/15/2024 88.580002 0.67% 441
5/14/2024 89.169998 -3.15% 156
5/13/2024 86.360001 -1.85% 423
5/10/2024 84.760002 0.05% 376
5/9/2024 84.800003 -0.48% 109
5/8/2024 84.389999 -0.05% 21
5/7/2024 84.349998 -0.52% 71
5/6/2024 83.910004 -2.17% 206
5/3/2024 82.089996 -0.39% 161
5/2/2024 81.769997 -3.38% 89
5/1/2024 79.010002 -0.78% 293
4/30/2024 78.389999 1.34% 427
4/29/2024 79.440002 -0.23% 279
4/26/2024 79.260002 -0.68% 26
4/25/2024 78.720001 0.88% 463
4/24/2024 79.410004 -0.50% 482
4/23/2024 79.010002 -0.99% 120
4/22/2024 78.230003 -1.18% 247
4/19/2024 77.309998 1.00% 20
4/18/2024 78.080002 1.18% 358
4/17/2024 79 0.87% 395
4/16/2024 79.690002 1.97% 422
4/15/2024 81.260002 6.87% 38
4/12/2024 86.839996 0.66% 243
4/11/2024 87.410004 -1.68% 91
4/10/2024 85.940002 3.05% 274
4/9/2024 88.559998 -0.93% 103
4/8/2024 87.739998 -0.43% 346
4/5/2024 87.360001 0.23% 257
4/4/2024 87.559998 3.22% 314
4/3/2024 90.379997 -1.86% 16
4/2/2024 88.699997 0.65% 185
4/1/2024 89.279999 0.10% 353
3/28/2024 89.370003 -1.02% 411
3/27/2024 88.459999 2.60% 139
3/26/2024 90.760002 0.40% 118
3/25/2024 91.120003 -0.31% 17
3/22/2024 90.839996 -1.14% 339
3/21/2024 89.800003 0.75% 137
3/20/2024 90.470001 0.01% 330
3/19/2024 90.480003 -2.56% 146
3/18/2024 88.160004 7.44% 94
3/15/2024 94.720001 -1.24% 472
3/14/2024 93.550003 -0.26% 61
3/13/2024 93.309998 -0.87% 33
3/12/2024 92.5 -1.18% 305
3/11/2024 91.410004 -0.98% 295
3/8/2024 90.510002 -1.08% 177
3/7/2024 89.529999 -1.42% 261
3/6/2024 88.260002 -3.94% 198
3/5/2024 84.779999 1.83% 245
3/4/2024 86.330002 1.82% 253
3/1/2024 87.900002 -0.09% 190
2/29/2024 87.82 1.08% 400
2/28/2024 88.769997 1.32% 12
2/27/2024 89.940002 -0.10% 55
2/26/2024 89.849998 -0.23% 290
2/23/2024 89.639999 -0.71% 155
 2/22/2024 89 -2.54% 364
2/21/2024 86.739998 1.21% 135
2/20/2024 87.790001 -2.15% 492
2/16/2024 85.900002 1.76% 455
2/15/2024 87.410004 -0.35% 483
2/14/2024 87.099998 -1.93% 5
2/13/2024 85.419998 -0.18% 354
2/12/2024 85.269997 -0.07% 210
2/9/2024 85.209999 -0.72% 388
2/8/2024 84.599998 -1.49% 497
2/7/2024 83.339996 1.96% 145
2/6/2024 84.970001 -0.93% 136
2/5/2024 84.18 0.18% 98
2/2/2024 84.330002 1.03% 369
2/1/2024 85.199997 -2.12% 251
1/31/2024 83.389999 1.26% 79
1/30/2024 84.440002 -0.59% 275
1/29/2024 83.940002 1.94% 241
1/26/2024 85.57 -0.39% 127
1/25/2024 85.239998 2.24% 368
1/24/2024 87.150002 -2.63% 152
1/23/2024 84.860001 13.05% 283
1/22/2024 95.93 -1.31% 319
1/19/2024 94.669998 0.05% 394
1/18/2024 94.720001 -1.02% 373
1/17/2024 93.75 0.31% 324
1/16/2024 94.040001 2.04% 111
1/12/2024 95.959999 -0.60% 166
1/11/2024 95.379997 0.59% 183
1/10/2024 95.940002 -1.99% 138
1/9/2024 94.029999 0.73% 73
1/8/2024 94.720001 -2.28% 382
1/5/2024 92.559998 0.35% 214
1/4/2024 92.879997 0.23% 234
1/3/2024 93.089996 0.58% 76
1/2/2024 93.629997 1.53% 48
12/29/2023 95.059998 -0.58% 212
12/28/2023 94.510002 0.05% 68
12/27/2023 94.559998 -1.41% 205
12/26/2023 93.230003 -0.70% 416
12/22/2023 92.580002 0.70% 18
12/21/2023 93.230003 -0.60% 303
12/20/2023 92.669998 1.53% 140
12/19/2023 94.089996 -0.70% 488
12/18/2023 93.43 0.70% 78
12/15/2023 94.080002 0.96% 406
12/14/2023 94.980003 -1.62% 296
12/13/2023 93.440002 -1.50% 207
12/12/2023 92.040001 -1.97% 249
12/11/2023 90.230003 -1.24% 113
12/8/2023 89.110001 -2.00% 64
12/7/2023 87.330002 -1.11% 390
12/6/2023 86.360001 0.13% 244
12/5/2023 86.470001 0.62% 189
12/4/2023 87.010002 0.11% 489
12/1/2023 87.110001 0.68% 47
11/30/2023 87.699997 -1.51% 188
11/29/2023 86.379997 -1.93% 77
11/28/2023 84.709999 0.15% 164
11/27/2023 84.839996 -0.20% 379
11/24/2023 84.669998 1.44% 304
11/22/2023 85.889999 -0.08% 268
11/21/2023 85.82 0.49% 202
11/20/2023 86.239998 -1.38% 327
11/17/2023 85.050003 -0.14% 100
11/16/2023 84.93 0.42% 57
11/15/2023 85.290001 -1.64% 24
11/14/2023 83.889999 -2.75% 289
11/13/2023 81.580002 -0.02% 237
11/10/2023 81.559998 -0.78% 264
11/9/2023 80.919998 0.16% 374
11/8/2023 81.050003 -0.35% 216
11/7/2023 80.769997 -2.55% 75
11/6/2023 78.709999 0.83% 350
11/3/2023 79.360001 0.55% 334
11/2/2023 79.800003 -0.96% 221
11/1/2023 79.029999 -0.51% 419
10/31/2023 78.629997 -1.26% 211
10/30/2023 77.639999 -0.81% 29
10/27/2023 77.010002 -0.65% 167
10/26/2023 76.510002 0.33% 41
10/25/2023 76.760002 0.52% 158
10/24/2023 77.160004 -11.42% 321
10/23/2023 68.349998 1.20% 326
10/20/2023 69.169998 1.66% 298
10/19/2023 70.32 0.67% 30
10/18/2023 70.790001 1.95% 337
10/17/2023 72.169998 0.26% 223
10/16/2023 72.360001 -1.80% 97
10/13/2023 71.059998 0.53% 88
10/12/2023 71.440002 -0.15% 491
10/11/2023 71.330002 0.04% 132
10/10/2023 71.360001 -0.17% 128
10/9/2023 71.239998 0.00% 44
10/6/2023 71.239998 -1.25% 461
10/5/2023 70.349998 -0.36% 473
10/4/2023 70.099998 -2.05% 278
10/3/2023 68.660004 0.83% 168
10/2/2023 69.230003 -0.42% 329
9/29/2023 68.940002 -0.99% 360
9/28/2023 68.260002 -1.00% 432
9/27/2023 67.580002 -1.72% 306
9/26/2023 66.419998 3.58% 372
9/25/2023 68.800003 2.92% 116
9/22/2023 70.809998 0.10% 130
9/21/2023 70.879997 1.30% 478
9/20/2023 71.800003 0.26% 105
9/19/2023 71.989998 -0.57% 309
9/18/2023 71.580002 -0.07% 125
9/15/2023 71.529999 -1.76% 1
9/14/2023 70.269997 0.44% 196
9/13/2023 70.580002 -0.11% 499
9/12/2023 70.5 0.40% 37
9/11/2023 70.779999 -0.95% 333
9/8/2023 70.110001 1.06% 344
9/7/2023 70.849998 1.91% 165
9/6/2023 72.199997 -1.14% 46
9/5/2023 71.379997 -2.56% 215
9/1/2023 69.550003 -1.05% 357
8/31/2023 68.82 0.39% 35
8/30/2023 69.089996 -0.39% 363
8/29/2023 68.82 -1.53% 355
8/28/2023 67.769997 -0.81% 266
8/25/2023 67.220001 -1.15% 263
8/24/2023 66.449997 2.35% 58
8/23/2023 68.010002 -1.22% 187
8/22/2023 67.18 -0.49% 25
8/21/2023 66.849998 -0.88% 420
8/18/2023 66.260002 -0.26% 209
8/17/2023 66.089996 0.97% 39
8/16/2023 66.730003 1.20% 285
8/15/2023 67.529999 0.64% 107
8/14/2023 67.959999 -0.84% 9
8/11/2023 67.389999 0.93% 280
8/10/2023 68.019997 -0.72% 184
 8/9/2023 67.529999 0.46% 316
8/8/2023 67.839996 0.77% 93
8/7/2023 68.360001 -0.10% 160
8/4/2023 68.290001 -0.19% 424
8/3/2023 68.160004 0.92% 281
8/2/2023 68.790001 0.20% 11
8/1/2023 68.93 0.65% 288
7/31/2023 69.379997 3.03% 67
7/28/2023 71.480003 0.10% 4
7/27/2023 71.550003 1.16% 464
7/26/2023 72.379997 -1.19% 370
7/25/2023 71.519997 -11.97% 299
7/24/2023 62.959999 0.81% 311
7/21/2023 63.470001 -0.90% 252
7/20/2023 62.900002 0.79% 14
7/19/2023 63.400002 0.60% 217
7/18/2023 63.779999 -0.02% 74
7/17/2023 63.77 -1.41% 365
7/14/2023 62.869999 -0.11% 87
7/13/2023 62.799999 -2.17% 43
7/12/2023 61.439999 -1.01% 270
7/11/2023 60.82 -1.76% 399
7/10/2023 59.75 -0.08% 148
7/7/2023 59.700001 -2.28% 227
7/6/2023 58.34 1.65% 401
7/5/2023 59.299999 -1.03% 345
7/3/2023 58.689999 1.21% 352
6/30/2023 59.400002 -1.48% 95
6/29/2023 58.52 -0.29% 181
6/28/2023 58.349998 -1.75% 256
6/27/2023 57.330002 -3.61% 179
6/26/2023 55.259998 0.98% 153
6/23/2023 55.799999 -0.16% 481
6/22/2023 55.709999 -2.10% 308
6/21/2023 54.540001 2.77% 200
6/20/2023 56.049999 1.53% 242
6/16/2023 56.91 1.62% 226
6/15/2023 57.830002 -1.76% 86
6/14/2023 56.810001 12.48% 378
6/13/2023 63.900002 -0.44% 83
6/12/2023 63.619999 -0.90% 246
6/9/2023 63.049999 0.27% 150
6/8/2023 63.220001 -0.44% 322
6/7/2023 62.939999 0.46% 317
6/6/2023 63.23 -0.95% 96
 6/5/2023 62.630001 1.61% 197
6/2/2023 63.639999 -0.22% 2
6/1/2023 63.5 0.54% 36
5/31/2023 63.84 1.90% 157
5/30/2023 65.050003 1.18% 302
5/26/2023 65.82 -2.13% 240
5/25/2023 64.419998 -1.41% 182
5/24/2023 63.509998 1.98% 70
5/23/2023 64.769997 1.62% 448
5/22/2023 65.82 -0.65% 383
5/19/2023 65.389999 -2.48% 180
5/18/2023 63.77 -0.38% 286
5/17/2023 63.529999 -0.33% 34
5/16/2023 63.32 0.84% 112
5/15/2023 63.849998 -1.38% 126
5/12/2023 62.970001 1.87% 28
5/11/2023 64.150002 -0.39% 495
5/10/2023 63.900002 0.05% 232
5/9/2023 63.93 0.94% 193
5/8/2023 64.529999 -0.31% 63
5/5/2023 64.330002 -0.90% 8
5/4/2023 63.75 -1.68% 143
5/3/2023 62.68 1.04% 348
5/2/2023 63.330002 -3.71% 141
5/1/2023 60.98 -2.49% 389
4/28/2023 59.459999 -3.60% 147
4/27/2023 57.32 -1.80% 159
4/26/2023 56.290001 -1.07% 101
4/25/2023 55.689999 3.05% 430
4/24/2023 57.389999 -0.73% 403
4/21/2023 56.970001 -0.30% 397
4/20/2023 56.799999 0.85% 493
4/19/2023 57.279999 3.56% 229
4/18/2023 59.32 -0.02% 122
4/17/2023 59.310001 -1.13% 59
4/14/2023 58.639999 -0.95% 22
4/13/2023 58.080002 -1.81% 418
4/12/2023 57.029999 -0.61% 176
4/11/2023 56.68 0.72% 195
4/10/2023 57.09 -0.12% 426
4/6/2023 57.02 -0.58% 265
4/5/2023 56.689999 1.41% 114
4/4/2023 57.490002 -0.30% 169
4/3/2023 57.32 1.29% 121
3/31/2023 58.060001 -2.86% 359
3/30/2023 56.400002 -2.09% 362
3/29/2023 55.220001 -3.11% 208
3/28/2023 53.5 -0.36% 66
3/27/2023 53.310001 -0.08% 201
3/24/2023 53.27 1.05% 450
3/23/2023 53.830002 -1.36% 154
3/22/2023 53.099998 1.11% 323
3/21/2023 53.689999 -0.78% 199
3/20/2023 53.27 -0.08% 435
3/17/2023 53.23 0.43% 224
3/16/2023 53.459999 -1.33% 267
3/15/2023 52.75 1.42% 342
3/14/2023 53.5 -0.75% 151
3/13/2023 53.099998 -0.94% 375
3/10/2023 52.599998 0.84% 170
3/9/2023 53.040001 -0.64% 178
3/8/2023 52.700001 -1.94% 271
3/7/2023 51.68 3.29% 163
3/6/2023 53.380001 0.64% 404
3/3/2023 53.720001 -0.52% 438
3/2/2023 53.439999 -0.84% 123
3/1/2023 52.990002 2.94% 500
2/28/2023 54.549999 1.43% 117
2/27/2023 55.330002 -0.72% 239
2/24/2023 54.93 0.75% 23
2/23/2023 55.34 -1.97% 468
2/22/2023 54.25 0.98% 142
2/21/2023 54.779999 5.57% 220
2/17/2023 57.830002 0.48% 332
2/16/2023 58.110001 1.02% 230
2/15/2023 58.700001 -0.51% 62
2/14/2023 58.400002 -0.19% 54
2/13/2023 58.290001 -2.11% 31
2/10/2023 57.060001 1.58% 465
2/9/2023 57.959999 0.12% 174
2/8/2023 58.029999 1.71% 144
2/7/2023 59.02 -0.85% 437
2/6/2023 58.52 3.61% 391
2/3/2023 60.630001 -0.18% 133
2/2/2023 60.52 -2.05% 129
2/1/2023 59.279999 -1.54% 470
1/31/2023 58.369999 -0.45% 307
1/30/2023 58.110001 2.03% 454
1/27/2023 59.290001 -0.49% 119
1/26/2023 59 -2.19% 69
 1/25/2023 57.709999 0.35% 338
1/24/2023 57.91 -0.64% 460
1/23/2023 57.540001 -2.95% 225
1/20/2023 55.84 0.36% 238
1/19/2023 56.040001 -0.46% 236
1/18/2023 55.779999 -1.63% 162
1/17/2023 54.869999 -0.24% 186
1/13/2023 54.740002 3.51% 328
1/12/2023 56.66 20.28% 282
1/11/2023 68.150002 -1.39% 300
1/10/2023 67.199997 -1.49% 444
1/9/2023 66.199997 -0.30% 51
1/6/2023 66 -2.95% 45
1/5/2023 64.050003 -0.61% 228
1/4/2023 63.66 -1.34% 222
1/3/2023 62.810001 -0.89% 287
12/30/2022 62.25 0.50% 471
12/29/2022 62.560001 -2.65% 15
12/28/2022 60.900002 1.30% 447
12/27/2022 61.689999 -0.10% 134
12/23/2022 61.630001 -0.96% 218
12/22/2022 61.040001 1.21% 459
12/21/2022 61.779999 -4.14% 340
12/20/2022 59.220001 -1.23% 255
12/19/2022 58.490002 0.03% 445
12/16/2022 58.509998 4.00% 49
12/15/2022 60.849998 1.73% 480
12/14/2022 61.900002 1.42% 484
12/13/2022 62.779999 -2.82% 343
12/12/2022 61.009998 -1.51% 102
12/9/2022 60.09 0.15% 291
12/8/2022 60.18 -1.01% 318
12/7/2022 59.57 0.69% 203
12/6/2022 59.98 2.23% 84
12/5/2022 61.32 2.32% 6
12/2/2022 62.740002 -1.35% 320
12/1/2022 61.889999 -2.18% 477
11/30/2022 60.540001 -3.78% 476
11/29/2022 58.25 0.19% 494
11/28/2022 58.360001 1.23% 233
11/25/2022 59.080002 -0.20% 50
11/23/2022 58.959999 -1.70% 273
11/22/2022 57.959999 -0.19% 219
11/21/2022 57.849998 1.87% 172
11/18/2022 58.93 0.19% 458
11/17/2022 59.040001 0.56% 250
11/16/2022 59.369999 4.46% 90
11/15/2022 62.02 -1.08% 380
11/14/2022 61.349998 1.96% 398
11/11/2022 62.549999 -6.38% 443
11/10/2022 58.560001 -8.09% 104
11/9/2022 53.82 1.36% 312
11/8/2022 54.549999 -2.03% 377
11/7/2022 53.439999 -4.17% 194
11/4/2022 51.209999 -5.66% 13
11/3/2022 48.310001 2.13% 85
11/2/2022 49.34 1.76% 42
11/1/2022 50.209999 -1.14% 410
10/31/2022 49.639999 3.00% 310
10/28/2022 51.130001 0.25% 386
10/27/2022 51.259998 -0.82% 325
10/26/2022 50.84 -0.39% 336
10/25/2022 50.639999 -9.93% 149
10/24/2022 45.610001 -2.17% 124
10/21/2022 44.619999 -2.67% 131
10/20/2022 43.43 -0.35% 259
10/19/2022 43.279999 4.07% 347
10/18/2022 45.040001 0.27% 269
10/17/2022 45.16 -2.48% 260
10/14/2022 44.040001 1.79% 449
10/13/2022 44.830002 -2.99% 277
10/12/2022 43.490002 0.18% 248
10/11/2022 43.57 1.68% 173
10/10/2022 44.299999 -0.63% 431
10/7/2022 44.02 6.86% 349
10/6/2022 47.040001 1.89% 3
10/5/2022 47.93 0.46% 385
10/4/2022 48.150002 -5.11% 92
10/3/2022 45.689999 0.68% 415
9/30/2022 46 0.57% 457
9/29/2022 46.259998 2.51% 428
9/28/2022 47.419998 -3.35% 446
9/27/2022 45.830002 -2.77% 82
9/26/2022 44.560001 3.43% 81
9/23/2022 46.09 1.24% 402
9/22/2022 46.66 0.86% 284
9/21/2022 47.060001 0.98% 434
9/20/2022 47.52 1.81% 272
9/19/2022 48.380001 0.95% 204
9/16/2022 48.84 0.02% 7
9/15/2022 48.849998 1.62% 106
9/14/2022 49.639999 0.42% 175
9/13/2022 49.849998 4.57% 99
9/12/2022 52.130001 -2.99% 407
9/9/2022 50.57 -4.65% 52
9/8/2022 48.220001 0.73% 276
9/7/2022 48.57 -1.59% 356
9/6/2022 47.799999 2.09% 115
9/2/2022 48.799999 1.78% 456
9/1/2022 49.669998 1.21% 414
8/31/2022 50.27 0.97% 392
8/30/2022 50.759998 0.75% 108
8/29/2022 51.139999 -0.66% 393
8/26/2022 50.799999 6.04% 213
8/25/2022 53.869999 -2.36% 496
8/24/2022 52.599998 -0.30% 439
8/23/2022 52.439999 0.67% 486
8/22/2022 52.790001 3.13% 65
8/19/2022 54.439999 3.29% 258
8/18/2022 56.23 0.62% 469
8/17/2022 56.580002 2.81% 192
8/16/2022 58.169998 0.70% 335
8/15/2022 58.580002 0.94% 417
8/12/2022 59.130001 -1.93% 231
8/11/2022 57.990002 -0.66% 56
8/10/2022 57.610001 -3.73% 297
8/9/2022 55.459999 3.97% 466
8/8/2022 57.66 1.13% 19
8/5/2022 58.310001 1.11% 60
8/4/2022 58.959999 -0.59% 467
8/3/2022 58.610001 -4.08% 331
8/2/2022 56.220001 1.00% 442
8/1/2022 56.779999 -0.12% 10
7/29/2022 56.709999 -2.33% 366
7/28/2022 55.389999 -1.57% 301
7/27/2022 54.52 1.01% 191
7/26/2022 55.07 -3.07% 351
7/25/2022 53.380001 2.51% 475
7/22/2022 54.720001 4.48% 384
7/21/2022 57.169998 -1.10% 425
7/20/2022 56.540001 -0.99% 405
7/19/2022 55.98 -4.18% 487
7/18/2022 53.639999 -0.71% 451
7/15/2022 53.259998 -1.60% 341
7/14/2022 52.41 0.19% 462
7/13/2022 52.509998 1.14% 433
7/12/2022 53.110001 0.09% 53
7/11/2022 53.16 2.48% 72
7/8/2022 54.48 -1.51% 262
7/7/2022 53.66 -3.65% 110
7/6/2022 51.700001 -0.56% 367
7/5/2022 51.41 0.58%
7/1/2022 51.71
Return Day B) Calculate Empirical 99% 500 days Value at Risk (VaR). In your own words expl
-11.97% 1
-11.42% 2
The 99% confidence level indicates that we are considering the worst-case scenario w
-9.93% 3
other words, there is a 1% chance that losses could exceed this amount ove
-8.09% 4
-6.38% 5 Var 99%
-5.66% 6
The VaR value itself, -6.38%, represents the maximum expected loss (expressed as a
-5.11% 7
value or investment) that would not be exceeded with 99% confidence ov
-4.65% 8
-4.18% 9
-4.17% 10
a VaR of -6.38% at 99% confidence over 500 days suggests that with 99% certainty, t
-4.14% 11
6.38% of the total value or investment over that time period.
-4.08% 12
-3.94% 13
-3.78% 14
-3.73% 15
D) Assume that the annualized return follows Normal Distribution with Mean and Standard D
-3.71% 16 c. Calculate 99% 500 days VaR! Compare the result with point b. Which one do you
-3.65% 17
-3.61% 18
-3.60% 19 Stdev 0.02346272 Var 99% 500 days 5.36%
-3.38% 20 Mean -0.0010
-3.35% 21 Zscore 99% 2.3263
-3.15% 22
-3.11% 23
The Normal Distribution VaR, with its positive value, indicates the potential maximum gain w
-3.07% 24 500 days, ideal for assessing expected returns in stable market conditions. Conversely, the em
-2.99% 25 Var 95% negative value, reflects the potential maximum loss observed historically with the same confi
-2.99% horizon, offering a conservative estimate suited for unpredictable market environments or pe
between these approaches depends on the risk appetite, market outlook, and preference for
-2.95% empirical insights in managing investment risks effectively.
-2.95%
-2.86%
-2.82%
-2.78% If I were a stock trader or investor, I would prefer to use the Empirical 99% 500 days VaR. Thi
-2.77% life investment outcomes derived from actual data, making it more realistic and therefore mo
-2.75%
-2.67% Reason
-2.65% By relying on empirical data, I can better understand the actual risks involved based on past m
-2.63% than relying solely on theoretical assumptions that may not accurately reflect current market
-2.61% empirical method more trustworthy and relevant for decision-making, as it directly reflects th
learned from previous investment experiences.
-2.56%
-2.56%
-2.55%
-2.54%
-2.49%
-2.48%
-2.48%
-2.42%
-2.36%
-2.33%
-2.28%
-2.28%
-2.25%
-2.19%
-2.18%
-2.17%
-2.17%
-2.17%
-2.15%
-2.13%
-2.12%
-2.11%
-2.10%
-2.09%
-2.07%
-2.05%
-2.05%
-2.03%
-2.00%
-1.99%
-1.99%
-1.97%
-1.97%
-1.94%
-1.93%
-1.93%
-1.93%
-1.86%
-1.85%
-1.81%
-1.80%
-1.80%
-1.76%
-1.76%
-1.76%
-1.75%
-1.72%
-1.70%
-1.69%
-1.68%
-1.68%
-1.64%
-1.63%
-1.62%
-1.60%
-1.59%
-1.57%
-1.56%
-1.54%
-1.53%
-1.51%
-1.51%
-1.51%
-1.50%
-1.49%
-1.49%
-1.48%
-1.42%
-1.41%
-1.41%
-1.41%
-1.39%
-1.38%
-1.38%
-1.36%
-1.35%
-1.34%
-1.33%
-1.31%
-1.26%
-1.25%
-1.24%
-1.24%
-1.23%
-1.22%
-1.19%
-1.18%
-1.18%
-1.15%
-1.14%
-1.14%
-1.14%
-1.13%
-1.13%
-1.11%
-1.10%
-1.08%
-1.08%
-1.07%
-1.05%
-1.03%
-1.02%
-1.02%
-1.01%
-1.01%
-1.00%
-0.99%
-0.99%
-0.99%
-0.98%
-0.96%
-0.96%
-0.95%
-0.95%
-0.95%
-0.94%
-0.93%
-0.93%
-0.92%
-0.90%
-0.90%
-0.90%
-0.89%
-0.88%
-0.87%
-0.85%
-0.84%
-0.84%
-0.82%
-0.81%
-0.81%
-0.81%
-0.78%
-0.78%
-0.78%
-0.75%
-0.73%
-0.73%
-0.72%
-0.72%
-0.72%
-0.71%
-0.71%
-0.70%
-0.70%
-0.68%
-0.66%
-0.66%
-0.65%
-0.65%
-0.64%
-0.64%
-0.63%
-0.61%
-0.61%
-0.60%
-0.60%
-0.59%
-0.59%
-0.58%
-0.58%
-0.58%
-0.57%
-0.56%
-0.52%
-0.52%
-0.51%
-0.51%
-0.50%
-0.49%
-0.49%
-0.48%
-0.46%
-0.45%
-0.44%
-0.44%
-0.43%
-0.42%
-0.40%
-0.39%
-0.39%
-0.39%
-0.39%
-0.39%
-0.38%
-0.38%
-0.36%
-0.36%
-0.35%
-0.35%
-0.35%
-0.33%
-0.31%
-0.31%
-0.31%
-0.31%
-0.30%
-0.30%
-0.30%
-0.30%
-0.29%
-0.29%
-0.26%
-0.26%
-0.24%
-0.23%
-0.23%
-0.22%
-0.20%
-0.20%
-0.19%
-0.19%
-0.19%
-0.18%
-0.18%
-0.17%
-0.16%
-0.15%
-0.14%
-0.12%
-0.12%
-0.11%
-0.11%
-0.10%
-0.10%
-0.10%
-0.09%
-0.08%
-0.08%
-0.08%
-0.08%
-0.07%
-0.07%
-0.05%
-0.05%
-0.02%
-0.02%
-0.02%
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.05%
0.05%
0.05%
0.08%
0.09%
0.10%
0.10%
0.10%
0.10%
0.11%
0.12%
0.13%
0.15%
0.15%
0.16%
0.18%
0.18%
0.19%
0.19%
0.19%
0.20%
0.23%
0.23%
0.23%
0.25%
0.26%
0.26%
0.27%
0.27%
0.31%
0.33%
0.35%
0.35%
0.36%
0.39%
0.40%
0.40%
0.42%
0.42%
0.43%
0.44%
0.46%
0.46%
0.46%
0.48%
0.49%
0.50%
0.52%
0.53%
0.54%
0.55%
0.56%
0.57%
0.58%
0.58%
0.59%
0.60%
0.61%
0.62%
0.62%
0.64%
0.64%
0.65%
0.65%
0.66%
0.67%
0.67%
0.67%
0.68%
0.68%
0.69%
0.70%
0.70%
0.70%
0.72%
0.73%
0.73%
0.75%
0.75%
0.75%
0.77%
0.79%
0.81%
0.83%
0.83%
0.84%
0.84%
0.85%
0.86%
0.87%
0.88%
0.92%
0.93%
0.94%
0.94%
0.95%
0.95%
0.96%
0.97%
0.97%
0.98%
0.98%
0.98%
1.00%
1.00%
1.01%
1.02%
1.03%
1.04%
1.05%
1.06%
1.08%
1.10%
1.11%
1.11%
1.13%
1.14%
1.16%
1.18%
1.18%
1.20%
1.20%
1.21%
1.21%
1.21%
1.21%
1.23%
1.24%
1.26%
1.29%
1.30%
1.30%
1.30%
1.32%
1.34%
1.36%
1.41%
1.42%
1.42%
1.43%
1.44%
1.53%
1.53%
1.53%
1.58%
1.61%
1.62%
1.62%
1.62%
1.65%
1.66%
1.68%
1.71%
1.72%
1.73%
1.76%
1.76%
1.78%
1.79%
1.81%
1.82%
1.83%
1.87%
1.87%
1.89%
1.90%
1.91%
1.93%
1.94%
1.95%
1.96%
1.96%
1.97%
1.98%
2.03%
2.04%
2.09%
2.13%
2.23%
2.24%
2.32%
2.35%
2.48%
2.51%
2.51%
2.60%
2.77%
2.81%
2.92%
2.94%
3.00%
3.03%
3.05%
3.05%
3.13%
3.22%
3.22%
3.29%
3.29%
3.43%
3.44%
3.51%
3.56%
3.58%
3.61%
3.97%
4.00%
4.07%
4.46%
4.48%
4.57%
5.57%
6.04%
 6.86%
6.87%
7.44%
12.48%
13.05%
20.28%
 In your own words explain what the number is?

the worst-case scenario with 99% confidence. In

exceed this amount over the 500 days.

ected loss (expressed as a percentage of the total

with 99% confidence over 500 days.

hat with 99% certainty, the loss should not exceed

ent over that time period.

with Mean and Standard Deviation obtained in point

point b. Which one do you prefer? Explain!

potential maximum gain with 99% confidence over

ditions. Conversely, the empirical VaR, showing a
orically with the same confidence level and time
market environments or periods of volatility. Choosing
utlook, and preference for theoretical versus
Choosing between the Normal Distribution VaR (5.36%) and the empiric
largely on the context and specific risk management goals. The Normal D
theoretical framework based on statistical assumptions, providing a clea
approach to estimating potential gains with 99% confidence over 500 da
beneficial in scenarios where market conditions are stable and follow pr
allowing for systematic risk assessment and management.

ical 99% 500 days VaR. This approach relies on real-

e realistic and therefore more trustworthy in my view.

ks involved based on past market behaviors, rather

tely reflect current market dynamics. This makes the
ing, as it directly reflects the outcomes and lessons
n VaR (5.36%) and the empirical VaR (-6.38%) depends
the empirical VaR draws directly from historical data, capturing actual m
nagement goals. The Normal Distribution VaR offers a
behaviors and potential extreme events that might not conform to Norm
assumptions, providing a clear and structured
Distribution assumptions. While it provides a more conservative estimat
h 99% confidence over 500 days. . This method is
reflecting worst-case scenarios observed in the past, its reliability hinges
itions are stable and follow predictable patterns,
quality and relevance of historical data.
d management.
orical data, capturing actual market
hat might not conform to Normal
s a more conservative estimate by
n the past, its reliability hinges on the
 Logitech International S.A. (LOGI)
Date Close Return
6/28/2024 96.879997 -0.58%
6/27/2024 96.32 -0.05%
6/26/2024 96.269997 1.72%
6/25/2024 97.93 -0.31%
6/24/2024 97.629997 -1.56%
6/21/2024 96.110001 1.10%
6/20/2024 97.169998 1.93%
6/18/2024 99.050003 0.10%
6/17/2024 99.150002 -0.38%
6/14/2024 98.769997 3.44%
6/13/2024 102.17 -0.31%
6/12/2024 101.85 -1.69%
6/11/2024 100.13 1.30%
6/10/2024 101.43 -0.29%
6/7/2024 101.14 0.95%
6/6/2024 102.1 -2.07%
6/5/2024 99.989998 -1.99%
6/4/2024 98 -1.13%
6/3/2024 96.889999 3.22%
5/31/2024 100.01 -2.25%
5/30/2024 97.760002 -2.61%
5/29/2024 95.209999 0.23%
5/28/2024 95.43 0.61%
5/24/2024 96.010002 -0.92%
5/23/2024 95.129997 -0.40%
5/22/2024 94.75 -2.42%
5/21/2024 92.459999 -2.78%
5/20/2024 89.889999 0.08%
5/17/2024 89.959999 -0.81%
5/16/2024 89.230003 -0.73%
5/15/2024 88.580002 0.67%
5/14/2024 89.169998 -3.15%
5/13/2024 86.360001 -1.85%
5/10/2024 84.760002 0.05%
5/9/2024 84.800003 -0.48%
5/8/2024 84.389999 -0.05%
5/7/2024 84.349998 -0.52%
5/6/2024 83.910004 -2.17%
5/3/2024 82.089996 -0.39%
5/2/2024 81.769997 -3.38%
5/1/2024 79.010002 -0.78%
4/30/2024 78.389999 1.34%
4/29/2024 79.440002 -0.23%
4/26/2024 79.260002 -0.68%
4/25/2024 78.720001 0.88%
4/24/2024 79.410004 -0.50%
4/23/2024 79.010002 -0.99%
4/22/2024 78.230003 -1.18%
4/19/2024 77.309998 1.00%
4/18/2024 78.080002 1.18%
4/17/2024 79 0.87%
4/16/2024 79.690002 1.97%
4/15/2024 81.260002 6.87%
4/12/2024 86.839996 0.66%
4/11/2024 87.410004 -1.68%
4/10/2024 85.940002 3.05%
4/9/2024 88.559998 -0.93%
4/8/2024 87.739998 -0.43%
4/5/2024 87.360001 0.23%
4/4/2024 87.559998 3.22%
4/3/2024 90.379997 -1.86%
4/2/2024 88.699997 0.65%
4/1/2024 89.279999 0.10%
3/28/2024 89.370003 -1.02%
3/27/2024 88.459999 2.60%
3/26/2024 90.760002 0.40%
3/25/2024 91.120003 -0.31%
3/22/2024 90.839996 -1.14%
3/21/2024 89.800003 0.75%
3/20/2024 90.470001 0.01%
3/19/2024 90.480003 -2.56%
3/18/2024 88.160004 7.44%
3/15/2024 94.720001 -1.24%
3/14/2024 93.550003 -0.26%
3/13/2024 93.309998 -0.87%
3/12/2024 92.5 -1.18%
3/11/2024 91.410004 -0.98%
3/8/2024 90.510002 -1.08%
3/7/2024 89.529999 -1.42%
3/6/2024 88.260002 -3.94%
3/5/2024 84.779999 1.83%
3/4/2024 86.330002 1.82%
3/1/2024 87.900002 -0.09%
2/29/2024 87.82 1.08%
 2/28/2024 88.769997 1.32%
2/27/2024 89.940002 -0.10%
2/26/2024 89.849998 -0.23%
2/23/2024 89.639999 -0.71%
2/22/2024 89 -2.54%
2/21/2024 86.739998 1.21%
2/20/2024 87.790001 -2.15%
2/16/2024 85.900002 1.76%
2/15/2024 87.410004 -0.35%
2/14/2024 87.099998 -1.93%
2/13/2024 85.419998 -0.18%
2/12/2024 85.269997 -0.07%
2/9/2024 85.209999 -0.72%
2/8/2024 84.599998 -1.49%
2/7/2024 83.339996 1.96%
2/6/2024 84.970001 -0.93%
2/5/2024 84.18 0.18%
2/2/2024 84.330002 1.03%
2/1/2024 85.199997 -2.12%
1/31/2024 83.389999 1.26%
1/30/2024 84.440002 -0.59%
1/29/2024 83.940002 1.94%
1/26/2024 85.57 -0.39%
1/25/2024 85.239998 2.24%
1/24/2024 87.150002 -2.63%
1/23/2024 84.860001 13.05%
1/22/2024 95.93 -1.31%
1/19/2024 94.669998 0.05%
1/18/2024 94.720001 -1.02%
1/17/2024 93.75 0.31%
1/16/2024 94.040001 2.04%
1/12/2024 95.959999 -0.60%
1/11/2024 95.379997 0.59%
1/10/2024 95.940002 -1.99%
1/9/2024 94.029999 0.73%
1/8/2024 94.720001 -2.28%
1/5/2024 92.559998 0.35%
1/4/2024 92.879997 0.23%
1/3/2024 93.089996 0.58%
1/2/2024 93.629997 1.53%
12/29/2023 95.059998 -0.58%
12/28/2023 94.510002 0.05%
12/27/2023 94.559998 -1.41%
12/26/2023 93.230003 -0.70%
12/22/2023 92.580002 0.70%
12/21/2023 93.230003 -0.60%
12/20/2023 92.669998 1.53%
12/19/2023 94.089996 -0.70%
12/18/2023 93.43 0.70%
12/15/2023 94.080002 0.96%
12/14/2023 94.980003 -1.62%
12/13/2023 93.440002 -1.50%
12/12/2023 92.040001 -1.97%
12/11/2023 90.230003 -1.24%
12/8/2023 89.110001 -2.00%
12/7/2023 87.330002 -1.11%
12/6/2023 86.360001 0.13%
12/5/2023 86.470001 0.62%
12/4/2023 87.010002 0.11%
12/1/2023 87.110001 0.68%
11/30/2023 87.699997 -1.51%
11/29/2023 86.379997 -1.93%
11/28/2023 84.709999 0.15%
11/27/2023 84.839996 -0.20%
11/24/2023 84.669998 1.44%
11/22/2023 85.889999 -0.08%
11/21/2023 85.82 0.49%
11/20/2023 86.239998 -1.38%
11/17/2023 85.050003 -0.14%
11/16/2023 84.93 0.42%
11/15/2023 85.290001 -1.64%
11/14/2023 83.889999 -2.75%
11/13/2023 81.580002 -0.02%
11/10/2023 81.559998 -0.78%
11/9/2023 80.919998 0.16%
11/8/2023 81.050003 -0.35%
11/7/2023 80.769997 -2.55%
11/6/2023 78.709999 0.83%
11/3/2023 79.360001 0.55%
11/2/2023 79.800003 -0.96%
11/1/2023 79.029999 -0.51%
10/31/2023 78.629997 -1.26%
10/30/2023 77.639999 -0.81%
10/27/2023 77.010002 -0.65%
10/26/2023 76.510002 0.33%
10/25/2023 76.760002 0.52%
10/24/2023 77.160004 -11.42%
10/23/2023 68.349998 1.20%
10/20/2023 69.169998 1.66%
10/19/2023 70.32 0.67%
10/18/2023 70.790001 1.95%
10/17/2023 72.169998 0.26%
10/16/2023 72.360001 -1.80%
10/13/2023 71.059998 0.53%
10/12/2023 71.440002 -0.15%
10/11/2023 71.330002 0.04%
10/10/2023 71.360001 -0.17%
10/9/2023 71.239998 0.00%
10/6/2023 71.239998 -1.25%
10/5/2023 70.349998 -0.36%
10/4/2023 70.099998 -2.05%
10/3/2023 68.660004 0.83%
10/2/2023 69.230003 -0.42%
9/29/2023 68.940002 -0.99%
9/28/2023 68.260002 -1.00%
9/27/2023 67.580002 -1.72%
9/26/2023 66.419998 3.58%
9/25/2023 68.800003 2.92%
9/22/2023 70.809998 0.10%
9/21/2023 70.879997 1.30%
9/20/2023 71.800003 0.26%
9/19/2023 71.989998 -0.57%
9/18/2023 71.580002 -0.07%
9/15/2023 71.529999 -1.76%
9/14/2023 70.269997 0.44%
9/13/2023 70.580002 -0.11%
9/12/2023 70.5 0.40%
9/11/2023 70.779999 -0.95%
9/8/2023 70.110001 1.06%
9/7/2023 70.849998 1.91%
9/6/2023 72.199997 -1.14%
9/5/2023 71.379997 -2.56%
9/1/2023 69.550003 -1.05%
8/31/2023 68.82 0.39%
8/30/2023 69.089996 -0.39%
8/29/2023 68.82 -1.53%
8/28/2023 67.769997 -0.81%
8/25/2023 67.220001 -1.15%
8/24/2023 66.449997 2.35%
8/23/2023 68.010002 -1.22%
8/22/2023 67.18 -0.49%
8/21/2023 66.849998 -0.88%
8/18/2023 66.260002 -0.26%
8/17/2023 66.089996 0.97%
8/16/2023 66.730003 1.20%
8/15/2023 67.529999 0.64%
8/14/2023 67.959999 -0.84%
8/11/2023 67.389999 0.93%
8/10/2023 68.019997 -0.72%
8/9/2023 67.529999 0.46%
8/8/2023 67.839996 0.77%
8/7/2023 68.360001 -0.10%
8/4/2023 68.290001 -0.19%
8/3/2023 68.160004 0.92%
8/2/2023 68.790001 0.20%
8/1/2023 68.93 0.65%
7/31/2023 69.379997 3.03%
7/28/2023 71.480003 0.10%
7/27/2023 71.550003 1.16%
7/26/2023 72.379997 -1.19%
7/25/2023 71.519997 -11.97%
7/24/2023 62.959999 0.81%
7/21/2023 63.470001 -0.90%
7/20/2023 62.900002 0.79%
7/19/2023 63.400002 0.60%
7/18/2023 63.779999 -0.02%
7/17/2023 63.77 -1.41%
7/14/2023 62.869999 -0.11%
7/13/2023 62.799999 -2.17%
7/12/2023 61.439999 -1.01%
7/11/2023 60.82 -1.76%
7/10/2023 59.75 -0.08%
7/7/2023 59.700001 -2.28%
7/6/2023 58.34 1.65%
7/5/2023 59.299999 -1.03%
7/3/2023 58.689999 1.21%
6/30/2023 59.400002 -1.48%
6/29/2023 58.52 -0.29%
6/28/2023 58.349998 -1.75%
6/27/2023 57.330002 -3.61%
6/26/2023 55.259998 0.98%
6/23/2023 55.799999 -0.16%
6/22/2023 55.709999 -2.10%
6/21/2023 54.540001 2.77%
6/20/2023 56.049999 1.53%
6/16/2023 56.91 1.62%
6/15/2023 57.830002 -1.76%
6/14/2023 56.810001 12.48%
6/13/2023 63.900002 -0.44%
6/12/2023 63.619999 -0.90%
6/9/2023 63.049999 0.27%
6/8/2023 63.220001 -0.44%
6/7/2023 62.939999 0.46%
6/6/2023 63.23 -0.95%
6/5/2023 62.630001 1.61%
6/2/2023 63.639999 -0.22%
6/1/2023 63.5 0.54%
5/31/2023 63.84 1.90%
5/30/2023 65.050003 1.18%
5/26/2023 65.82 -2.13%
5/25/2023 64.419998 -1.41%
5/24/2023 63.509998 1.98%
5/23/2023 64.769997 1.62%
5/22/2023 65.82 -0.65%
5/19/2023 65.389999 -2.48%
5/18/2023 63.77 -0.38%
5/17/2023 63.529999 -0.33%
5/16/2023 63.32 0.84%
5/15/2023 63.849998 -1.38%
5/12/2023 62.970001 1.87%
5/11/2023 64.150002 -0.39%
5/10/2023 63.900002 0.05%
5/9/2023 63.93 0.94%
5/8/2023 64.529999 -0.31%
5/5/2023 64.330002 -0.90%
5/4/2023 63.75 -1.68%
5/3/2023 62.68 1.04%
5/2/2023 63.330002 -3.71%
5/1/2023 60.98 -2.49%
4/28/2023 59.459999 -3.60%
4/27/2023 57.32 -1.80%
4/26/2023 56.290001 -1.07%
4/25/2023 55.689999 3.05%
4/24/2023 57.389999 -0.73%
4/21/2023 56.970001 -0.30%
4/20/2023 56.799999 0.85%
4/19/2023 57.279999 3.56%
4/18/2023 59.32 -0.02%
4/17/2023 59.310001 -1.13%
4/14/2023 58.639999 -0.95%
4/13/2023 58.080002 -1.81%
4/12/2023 57.029999 -0.61%
4/11/2023 56.68 0.72%
4/10/2023 57.09 -0.12%
4/6/2023 57.02 -0.58%
4/5/2023 56.689999 1.41%
4/4/2023 57.490002 -0.30%
4/3/2023 57.32 1.29%
3/31/2023 58.060001 -2.86%
3/30/2023 56.400002 -2.09%
3/29/2023 55.220001 -3.11%
3/28/2023 53.5 -0.36%
3/27/2023 53.310001 -0.08%
3/24/2023 53.27 1.05%
3/23/2023 53.830002 -1.36%
3/22/2023 53.099998 1.11%
3/21/2023 53.689999 -0.78%
3/20/2023 53.27 -0.08%
3/17/2023 53.23 0.43%
3/16/2023 53.459999 -1.33%
3/15/2023 52.75 1.42%
3/14/2023 53.5 -0.75%
3/13/2023 53.099998 -0.94%
3/10/2023 52.599998 0.84%
3/9/2023 53.040001 -0.64%
3/8/2023 52.700001 -1.94%
3/7/2023 51.68 3.29%
3/6/2023 53.380001 0.64%
3/3/2023 53.720001 -0.52%
3/2/2023 53.439999 -0.84%
3/1/2023 52.990002 2.94%
2/28/2023 54.549999 1.43%
2/27/2023 55.330002 -0.72%
2/24/2023 54.93 0.75%
2/23/2023 55.34 -1.97%
2/22/2023 54.25 0.98%
2/21/2023 54.779999 5.57%
2/17/2023 57.830002 0.48%
 2/16/2023 58.110001 1.02%
2/15/2023 58.700001 -0.51%
2/14/2023 58.400002 -0.19%
2/13/2023 58.290001 -2.11%
2/10/2023 57.060001 1.58%
2/9/2023 57.959999 0.12%
2/8/2023 58.029999 1.71%
2/7/2023 59.02 -0.85%
2/6/2023 58.52 3.61%
2/3/2023 60.630001 -0.18%
2/2/2023 60.52 -2.05%
2/1/2023 59.279999 -1.54%
1/31/2023 58.369999 -0.45%
1/30/2023 58.110001 2.03%
1/27/2023 59.290001 -0.49%
1/26/2023 59 -2.19%
1/25/2023 57.709999 0.35%
1/24/2023 57.91 -0.64%
1/23/2023 57.540001 -2.95%
1/20/2023 55.84 0.36%
1/19/2023 56.040001 -0.46%
1/18/2023 55.779999 -1.63%
1/17/2023 54.869999 -0.24%
1/13/2023 54.740002 3.51%
1/12/2023 56.66 20.28%
1/11/2023 68.150002 -1.39%
1/10/2023 67.199997 -1.49%
1/9/2023 66.199997 -0.30%
1/6/2023 66 -2.95%
1/5/2023 64.050003 -0.61%
1/4/2023 63.66 -1.34%
1/3/2023 62.810001 -0.89%
12/30/2022 62.25 0.50%
12/29/2022 62.560001 -2.65%
12/28/2022 60.900002 1.30%
12/27/2022 61.689999 -0.10%
12/23/2022 61.630001 -0.96%
12/22/2022 61.040001 1.21%
12/21/2022 61.779999 -4.14%
12/20/2022 59.220001 -1.23%
12/19/2022 58.490002 0.03%
12/16/2022 58.509998 4.00%
12/15/2022 60.849998 1.73%
12/14/2022 61.900002 1.42%
12/13/2022 62.779999 -2.82%
12/12/2022 61.009998 -1.51%
12/9/2022 60.09 0.15%
12/8/2022 60.18 -1.01%
12/7/2022 59.57 0.69%
12/6/2022 59.98 2.23%
12/5/2022 61.32 2.32%
12/2/2022 62.740002 -1.35%
12/1/2022 61.889999 -2.18%
11/30/2022 60.540001 -3.78%
11/29/2022 58.25 0.19%
11/28/2022 58.360001 1.23%
11/25/2022 59.080002 -0.20%
11/23/2022 58.959999 -1.70%
11/22/2022 57.959999 -0.19%
11/21/2022 57.849998 1.87%
11/18/2022 58.93 0.19%
11/17/2022 59.040001 0.56%
11/16/2022 59.369999 4.46%
11/15/2022 62.02 -1.08%
11/14/2022 61.349998 1.96%
11/11/2022 62.549999 -6.38%
11/10/2022 58.560001 -8.09%
11/9/2022 53.82 1.36%
11/8/2022 54.549999 -2.03%
11/7/2022 53.439999 -4.17%
11/4/2022 51.209999 -5.66%
11/3/2022 48.310001 2.13%
11/2/2022 49.34 1.76%
11/1/2022 50.209999 -1.14%
10/31/2022 49.639999 3.00%
10/28/2022 51.130001 0.25%
10/27/2022 51.259998 -0.82%
10/26/2022 50.84 -0.39%
10/25/2022 50.639999 -9.93%
10/24/2022 45.610001 -2.17%
10/21/2022 44.619999 -2.67%
10/20/2022 43.43 -0.35%
10/19/2022 43.279999 4.07%
10/18/2022 45.040001 0.27%
10/17/2022 45.16 -2.48%
10/14/2022 44.040001 1.79%
10/13/2022 44.830002 -2.99%
10/12/2022 43.490002 0.18%
10/11/2022 43.57 1.68%
10/10/2022 44.299999 -0.63%
10/7/2022 44.02 6.86%
10/6/2022 47.040001 1.89%
10/5/2022 47.93 0.46%
10/4/2022 48.150002 -5.11%
10/3/2022 45.689999 0.68%
9/30/2022 46 0.57%
9/29/2022 46.259998 2.51%
9/28/2022 47.419998 -3.35%
9/27/2022 45.830002 -2.77%
9/26/2022 44.560001 3.43%
9/23/2022 46.09 1.24%
9/22/2022 46.66 0.86%
9/21/2022 47.060001 0.98%
9/20/2022 47.52 1.81%
9/19/2022 48.380001 0.95%
9/16/2022 48.84 0.02%
9/15/2022 48.849998 1.62%
9/14/2022 49.639999 0.42%
9/13/2022 49.849998 4.57%
9/12/2022 52.130001 -2.99%
9/9/2022 50.57 -4.65%
9/8/2022 48.220001 0.73%
9/7/2022 48.57 -1.59%
9/6/2022 47.799999 2.09%
9/2/2022 48.799999 1.78%
9/1/2022 49.669998 1.21%
8/31/2022 50.27 0.97%
8/30/2022 50.759998 0.75%
8/29/2022 51.139999 -0.66%
8/26/2022 50.799999 6.04%
8/25/2022 53.869999 -2.36%
8/24/2022 52.599998 -0.30%
8/23/2022 52.439999 0.67%
8/22/2022 52.790001 3.13%
8/19/2022 54.439999 3.29%
8/18/2022 56.23 0.62%
8/17/2022 56.580002 2.81%
8/16/2022 58.169998 0.70%
8/15/2022 58.580002 0.94%
8/12/2022 59.130001 -1.93%
8/11/2022 57.990002 -0.66%
8/10/2022 57.610001 -3.73%
8/9/2022 55.459999 3.97%
8/8/2022 57.66 1.13%
8/5/2022 58.310001 1.11%
8/4/2022 58.959999 -0.59%
8/3/2022 58.610001 -4.08%
8/2/2022 56.220001 1.00%
8/1/2022 56.779999 -0.12%
7/29/2022 56.709999 -2.33%
7/28/2022 55.389999 -1.57%
7/27/2022 54.52 1.01%
7/26/2022 55.07 -3.07%
7/25/2022 53.380001 2.51%
7/22/2022 54.720001 4.48%
7/21/2022 57.169998 -1.10%
7/20/2022 56.540001 -0.99%
7/19/2022 55.98 -4.18%
7/18/2022 53.639999 -0.71%
7/15/2022 53.259998 -1.60%
7/14/2022 52.41 0.19%
7/13/2022 52.509998 1.14%
7/12/2022 53.110001 0.09%
7/11/2022 53.16 2.48%
7/8/2022 54.48 -1.51%
7/7/2022 53.66 -3.65%
7/6/2022 51.700001 -0.56%
7/5/2022 51.41 0.58%
7/1/2022 51.71