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Trade History

by Uncle Bob Williams

Conservative Portfolio: Trade History
2003 to Present


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Year to date 2016 23.7%
September 2016 2.5% open position
August 2016 2.5% closed early

Index at purchase: $2,166.45 Days until Expiration: 59

PUT SHORT: - CALL SHORT: 2280 ($0.50)

July 2016 5.0% closed early

Index at purchase: $24.27 Days until Expiration: 50

PUT SHORT: - CALL SHORT: 30 ($0.55)

June 2016 0.5% closed early due to BrExit volatility

Index at purchase: $2,053.92 Days until Expiration: 52

PUT SHORT: - CALL SHORT: 2170 ($0.65)

May 2016 2.0% closed early

Index at purchase: $2,088.39 Days until Expiration: 31

PUT SHORT: - CALL SHORT: 2170 ($0.40)

April 2016 2.0% closed early

Index at purchase: $2,046.10 Days until Expiration: 24

PUT SHORT: - CALL SHORT: 2125 ($0.45)

March 2016 3.5%

Index at purchase: $1,942.18 Days until Expiration: 24

PUT SHORT: - CALL SHORT: 2060 ($0.35)

Feb 2016 2.5% closed early

Index at purchase: $26.22 Days until Expiration: 56

PUT SHORT: - CALL SHORT: 40 ($0.50)

January 2016 3.2% closed early

Index at purchase: $1,124.80 Days until Expiration: 24

PUT SHORT: 1000 ($0.20) CALL SHORT: 1200 ($0.32)

Total Return 2015 34.55%
December 2015 3.5%

Index at purchase: $2,092 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 2175 ($0.35)

November 2015 1.25% adjusted & expired

Index at purchase: $2,026.28 Days until Expiration: 31

PUT SHORT: no put position CALL SHORT: 2125 ($0.30)

October 2015 4.0%

Index at purchase: $1,969.07 Days until Expiration: 23

PUT SHORT: no put position CALL SHORT: 2080 ($0.40)

September 2015 3.2% closed early

Index at purchase: $1,159.71 Days until Expiration: 17

PUT SHORT: no put position CALL SHORT: 1235 ($0.42)

August 2015 2.5%

Index at purchase: $1264.03 Days until Expiration: 31

PUT SHORT: no put position CALL SHORT: 1330 ($0.25)

July 2015 2.1%

Index at purchase: $1292.02 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1350 ($0.21)

June 2015 2.6%

Index at purchase: $1246.67 Days until Expiration: 31

PUT SHORT: no put position CALL SHORT: 1320 ($0.30)

May 2015 3.0%

Index at purchase: $1258.19 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1320 ($0.30)

April 2015 2.9%

Index at purchase: $1265.73 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1320 ($0.29)

March 2015 3.5%

Index at purchase: $1224.53 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1290 ($0.35)

February 2015 2.5%

Index at purchase: $1171.93 Days until Expiration: 29

PUT SHORT: no put position CALL SHORT: 1280 ($0.25)

January 2015 3.5%

Index at purchase: $2072.77 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 2175 ($0.35)

Total Return 2014 14.9%
December 2014 2.0%

Index at purchase: $2066.78 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 2150 ($0.20)

November 2014 -2.0% Adjusted position expired, leaving a net 2.0% loss.
October 2014 2.2%

Index at purchase: $1135.73 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1210 ($0.22)

September 2014 2.0%

Index at purchase: $1152.77 Days until Expiration: 31

PUT SHORT: no put position CALL SHORT: 1225 ($0.20)

August 2014 2.5%

Index at purchase: $1145.01 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1225 ($0.25)

July 2014 3.5%

Index at purchase: $1189.06 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1250 ($0.35)

June 2014 -9.3% loss Those who exited early had an 9.3% loss, those that waited until the final adjustment had a loss of 34%.
May 2014 2.2%

Index at purchase: $1139.79 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1220 ($0.22)

April 2014 2.2%

Index at purchase: $1187.66 Days until Expiration: 23

PUT SHORT: no put position CALL SHORT: 1260 ($0.22)

March 2014 3.1%

Index at purchase: $1172.72 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1240 ($0.31)

February 2014 4.2%

Index at purchase: $1171.44 Days until Expiration: 30

PUT SHORT: no put position CALL SHORT: 1235 ($0.21)

January 2014 2.3%

Index at purchase: $1153.87 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1220 ($0.23)

Total Return 2013 14.80% We had a losing trade in May / June. The amount of loss depended on when you exited the trade.
December 2013 3.1%

Index at purchase: $1119.24 Days until Expiration: 31

PUT SHORT: no put position CALL SHORT: 1190 ($0.31)

November 2013 2.6%

Index at purchase: $1113.33 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1175 ($0.13)

October 2013 2.4%

Index at purchase: $1067.31 Days until Expiration: 24

PUT SHORT: no put position CALL SHORT: 1135 ($0.24)

September 2013 4.0%

Index at purchase: $1023.65 Days until Expiration: 31

PUT SHORT: no put position CALL SHORT: 1090 ($0.40)

August 2013 1.6% Closed early

Index at purchase: $1052.35 Days until Expiration: 59 (Sept)

PUT SHORT: 870 ($0.01) CALL SHORT: 1160 ($0.15)

July 2013 2.1%

Index at purchase: $959.02 Days until Expiration: 23

PUT SHORT: 840 ($0.21) CALL SHORT: no position

May / June 2013 -11% loss Those who exited early had an 11% loss, those that made very aggressive rolls had losses up to 143%.
April 2013 2.0%

Index at purchase: $949.84 Days until Expiration: 31

PUT SHORT: no position CALL SHORT: 1010 ($0.20)

March 2013 4.1%

Index at purchase: $891.73 Days until Expiration: 51

PUT SHORT: no position CALL SHORT: 960 ($0.41)

February 2013 0.0% No trades available that met the Minimum Premium requirement.
January 2013 3.9%

Index at purchase: $844.12 Days until Expiration: 24

PUT SHORT: 730 ($0.20) CALL SHORT: 910 ($0.19)

Total Return 2012 23.54%
December 2012 1.6% We removed our RUT positions early because of some extreme price movements. We repositioned the spreads the following day.

Original Spread:

Index at purchase: $791.41 Days until Expiration: 30

PUT SHORT: 690 ($0.17) CALL SHORT: 855 ($0.17) [$0.64 exit price]

Adjustment Spread:

Index at purchase: $823.48 Days until Expiration: 15

PUT SHORT: 760 ($0.27) CALL SHORT: 870 ($0.19)

November 2012 2.6%

Index at purchase: $2,684.31 Days until Expiration: 24

PUT SHORT: no position CALL SHORT: 2875 ($0.65)

October 2012 2.28%

Index at purchase: $2,849.04 Days until Expiration: 23

PUT SHORT: no position CALL SHORT: 3000 ($0.57)

September 2012 2.28%

Index at purchase: $2,641.65 Days until Expiration: 50

PUT SHORT: no position CALL SHORT: 2925 ($0.57)

August 2012 0.0% No trades available that met the Minimum Premium requirement.
July 2012 3.7%

Index at purchase: $766.93 IV: 27.18% Days until Expiration: 31

PUT SHORT: 630 ($0.22) CALL SHORT: 870 ($0.15)

June 2012 2.28%

Index at purchase: $2,497.14 IV: 22.71% Days until Expiration: 24

PUT SHORT: 2100 ($0.57) no Call position

May 2012 1.8%

Index at purchase: $2,697.26 IV: 16.18% Days until Expiration: 22

PUT SHORT: No Put position CALL SHORT: 2875 ($0.45)

April 2012 2.0%

Index at purchase: $834.54 IV: 20.6% Days until Expiration: 31

PUT SHORT: none CALL SHORT: 910 ($0.20)

March 2012 2.0%

Index at purchase: $827.28 IV: 22.28% Days until Expiration: 23

PUT SHORT: none CALL SHORT: 900 ($0.20)

February 2012 3.0%

Index at purchase: $788.50 IV: 22.42% Days until Expiration: 24

PUT SHORT: 650 ($0.15) CALL SHORT: 860 ($0.15)

January 2012 0.0% No trades available that met the Minimum Premium requirement.

Index at purchase: $708.56 IV: 32.35% Days until Expiration: 31

PUT SHORT: no Put position CALL SHORT: no Call position

Total Return 2011 19.8%
December 2011 1.8%

Index at purchase: $702.41 IV: 39.13% Days until Expiration: 24

PUT SHORT: 530 ($0.18) CALL SHORT: no Call position

November 2011 1.9%

Index at purchase: $722.89 IV: 35.53% Days until Expiration: 24

PUT SHORT: 540 ($0.19) CALL SHORT: no Call position

October 2011 1.9%

Index at purchase: $702.23 IV: 38.89% Days until Expiration: 31

PUT SHORT: 530 ($0.19) CALL SHORT: no Call position

September 2011 0.0% IV value above trade criteria checklist

Index at purchase: $651.34 IV: 46.16% Days until Expiration: 24

PUT SHORT: 0 ($0.00) CALL SHORT: no Call position

August 2011 0.0% No trades available that met the Minimum Premium requirement.
(Thank G-d! This month would have been a losing month.)

Index at purchase: $815.97 IV: 23.32% Days until Expiration: 31

PUT SHORT: 0 ($0.00) CALL SHORT: no Call position

July 2011 1.9%

Index at purchase: $788.48 IV: 24.36% Days until Expiration: 24

PUT SHORT: 660 ($0.19) CALL SHORT: no Call position

June 2011 1.5%

Index at purchase: $814.04 IV: 21.80% Days until Expiration: 24

PUT SHORT: 690 ($0.15) CALL SHORT: no Call position

May 2011 1.4%

Index at purchase: $821.51 IV: 19.60% Days until Expiration: 31

PUT SHORT: 690 ($0.14) CALL SHORT: no Call position

April 2011 2.1%

Index at purchase: $813.02 IV: 23.05% Days until Expiration: 24

PUT SHORT: 680 ($0.21) CALL SHORT: no Call position

March 2011 1.9%

Index at purchase: $812.96 IV: 24.23% Days until Expiration: 23

PUT SHORT: 690 ($0.19) CALL SHORT: no Call position

February 2011 2.5%

Index at purchase: $779.28 IV: 22.27% Days until Expiration: 24

PUT SHORT: 660 ($0.25) CALL SHORT: no Call position

January 2011 2.9%

Index at purchase: $782.30 IV: 19.04% Days until Expiration: 31

PUT SHORT: 660 ($0.17) CALL SHORT: 850 ($0.12)

Total Return 2010 25.3%
December 2010 2.4%

Index at purchase: $727.33 IV: 22.63% Days until Expiration: 24

PUT SHORT: 620 ($0.24) CALL SHORT: no Call position

November 2010 2.6%

Index at purchase: $710.13 IV: 25.34% Days until Expiration: 31

PUT SHORT: 580 ($0.26) CALL SHORT: no Call position

October 2010 2.0%

Index at purchase: $669.98 IV: 26.78% Days until Expiration: 24

PUT SHORT: 550 ($0.20) CALL SHORT: no Call position

September 2010 1.8%

Index at purchase: $602.67 IV: 32.34% Days until Expiration: 24

PUT SHORT: 480 ($0.18) CALL SHORT: no Call position

August 2010 1.9%

Index at purchase: $613.08 IV: 32.95% Days until Expiration: 31

PUT SHORT: 440 ($0.19) CALL SHORT: no Call position

July 2010 2.3%

Index at purchase: $660.03 IV: 29.92% Days until Expiration: 24

PUT SHORT: 530 ($0.23) CALL SHORT: no Call position

June 2010 0.0% IV value above trade criteria checklist

Index at purchase: $641.21 IV: 40.87% Days until Expiration: 24

PUT SHORT: 0 ($0.00) CALL SHORT: no Call position

May 2010 2.1%

Index at purchase: $711.40 IV: 20.93% Days until Expiration: 31

PUT SHORT: 590 ($0.21) CALL SHORT: no Call position

April 2010 4.0%

Index at purchase: $682.91 IV: 19.16% Days until Expiration: 24

PUT SHORT: 600 ($0.20) CALL SHORT: 740 ($0.20)

March 2010 1.7%

Index at purchase: $632.25 IV: 20.16% Days until Expiration: 24

PUT SHORT: 530 ($0.17) CALL SHORT: no Call position

February 2010 2.7%

Index at purchase: $649.15 IV: 20.87% Days until Expiration: 30

PUT SHORT: 550 ($0.27) CALL SHORT: no Call position

January 2010 1.8%

Index at purchase: $618.60 IV: 22.93% Days until Expiration: 24

PUT SHORT: 520 ($0.18) CALL SHORT: no Call position

Total Return 2009 23.8%
December 2009 0.0% No trades available that met the Minimum Premium requirement.

Index at purchase: $594.81 IV: 25.67% Days until Expiration: 24

PUT SHORT: 0 ($0.00) CALL SHORT: no Call position

November 2009 2.2%

Index at purchase: $622.34 IV: 24.94% Days until Expiration: 31

PUT SHORT: 490 ($0.22) CALL SHORT: no Call position

October 2009 2.7%

Index at purchase: $615.97 IV: 28.49% Days until Expiration: 24

PUT SHORT: 520 ($0.27) CALL SHORT: no Call position

September 2009 2.2%

Index at purchase: $580.24 IV: 28.02% Days until Expiration: 24

PUT SHORT: 480 ($0.22) CALL SHORT: no Call position

August 2009 2.0%

Index at purchase: $526.96 IV: 30.32% Days until Expiration: 31

PUT SHORT: 430 ($0.20) CALL SHORT: no Call position

July 2009 2.5%

Index at purchase: $492.81 IV: 36.61% Days until Expiration: 24

PUT SHORT: 400 ($0.25) CALL SHORT: no Call position

June 2009 2.5%

Index at purchase: $494.79 IV: 38.75% Days until Expiration: 31

PUT SHORT: 380 ($0.25) CALL SHORT: no Call position

May 2009 2.0%

Index at purchase: $452.49 IV: 52.16% Days until Expiration: 24

PUT SHORT: 320 ($0.20) CALL SHORT: no Call position

April 2009 3.7%

Index at purchase: $433.72 IV: 49.29% Days until Expiration: 24

PUT SHORT: 320 ($0.37) CALL SHORT: no Call position

March 2009 2.0%

Index at purchase: $394.58 IV: 58.69% Days until Expiration: 24

PUT SHORT: 260 ($0.20) CALL SHORT: no Call position

February 2009 2.0%

Index at purchase: $433.65 IV: 58.73% Days until Expiration: 30

PUT SHORT: 270 ($0.20) CALL SHORT: no Call position

January 2009 0.0% No trades available that met the Minimum Premium requirement.

Index at purchase: $475.07 IV: 54.68% Days until Expiration: 24

PUT SHORT: 0 ($0.00) CALL SHORT: no Call position

Total Return 2008 14.5% We had a losing month of -15.8% in January. Fortunately the settlement value was very close to our Short Strike and we were able to still trade profitably for the year.
December 2008 2.5%

Index at purchase: $436.80 IV: 68.86% Days until Expiration: 24

PUT SHORT: 270 ($0.25) CALL SHORT: no Call position

November 2008 2.7%

Index at purchase: $546.84 IV: 55.79% Days until Expiration: 31

PUT SHORT: 340 ($0.27) CALL SHORT: no Call position

October 2008 0.0% IV value above trade criteria checklist

Index at purchase: $720.44 IV: 37.03% Days until Expiration: 31

PUT SHORT: 0 ($0.00) CALL SHORT: no Call position

September 2008 4.2%

Index at purchase: $741.97 IV: 26.09% Days until Expiration: 31

PUT SHORT: 620 ($0.22) CALL SHORT: 830 ($0.20)

August 2008 3.8%

Index at purchase: $697.63 IV: 28.94% Days until Expiration: 24

PUT SHORT: 580 ($0.20) CALL SHORT: 780 ($0.18)

July 2008 3.7%

Index at purchase: $719.81 IV: 27.77% Days until Expiration: 24

PUT SHORT: 610 ($0.25) CALL SHORT: 810 ($0.12)

June 2008 2.2%

Index at purchase: $738.45 IV: 23.60% Days until Expiration: 31

PUT SHORT: 630 ($0.22) CALL SHORT: no Call position

May 2008 4.0%

Index at purchase: $718.00 IV: 25.74% Days until Expiration: 24

PUT SHORT: 610 ($0.20) CALL SHORT: 790 ($0.20)

April 2008 2.0%

Index at purchase: $701.28 IV: 30.28% Days until Expiration: 24

PUT SHORT: 570 ($0.20) CALL SHORT: no Call position

March 2008 2.2%

Index at purchase: $702.34 IV: 31.68% Days until Expiration: 24

PUT SHORT: 560 ($0.22) CALL SHORT: no Call position

February 2008 3.0%

Index at purchase: $671.57 IV: 35.19% Days until Expiration: 23

PUT SHORT: 530 ($0.30) CALL SHORT: no Call position

January 2008 (15.8%) Loss 15.8%

Index at purchase: $794.34 IV: 22.84% Days until Expiration: 24

PUT SHORT: 680 ($0.25) CALL SHORT: no Call position

Total Return 2007 45.0% We were able place CALL spreads on most of the trades which resulted in higher overall returns.
December 2007 3.0%

Index at purchase: $740.30 IV: 31.90% Days until Expiration: 30

PUT SHORT: 590 ($0.30) CALL SHORT: no Call position

November 2007 2.0%

Index at purchase: $824.90 IV: 26.40% Days until Expiration: 30

PUT SHORT: 680 ($0.20) CALL SHORT: no Call position

October 2007 2.5%

Index at purchase: $817.70 IV: 23.10% Days until Expiration: 30

PUT SHORT: 650 ($0.25) CALL SHORT: no Call position

September 2007 3.5%

Index at purchase: $798.60 IV: 26.80% Days until Expiration: 30

PUT SHORT: 650 ($0.35) CALL SHORT: no Call position

August 2007 5.5%

Index at purchase: $845.90 IV: 18.80% Days until Expiration: 30

PUT SHORT: 730 ($0.25) CALL SHORT: 920 ($0.30)

July 2007 4.5%

Index at purchase: $836.20 IV: 18.80% Days until Expiration: 30

PUT SHORT: 730 ($0.20) CALL SHORT: 910 ($0.25)

June 2007 3.0%

Index at purchase: $820.20 IV: 17.90% Days until Expiration: 30

PUT SHORT: 720 ($0.30) CALL SHORT: no Call position

May 2007 3.0%

Index at purchase: $824.40 IV: 17.30% Days until Expiration: 30

PUT SHORT: 730 ($0.30) CALL SHORT: no Call position

April 2007 3.0%

Index at purchase: $807.50 IV: 17.10% Days until Expiration: 30

PUT SHORT: 700 ($0.30) CALL SHORT: no Call position

March 2007 4.5%

Index at purchase: $814.00 IV: 17.30% Days until Expiration: 30

PUT SHORT: 720 ($0.20) CALL SHORT: 870 ($0.25)

February 2007 5.5%

Index at purchase: $788.80 IV: 16.80% Days until Expiration: 30

PUT SHORT: 700 ($0.25) CALL SHORT: 850 ($0.30)

January 2007 5.0%

Index at purchase: $785.60 IV: 16.10% Days until Expiration: 30

PUT SHORT: 710 ($0.25) CALL SHORT: 840 ($0.25)

Total Return 2006 55.0% We were able place CALL spreads on most of the trades which resulted in higher overall returns.
December 2006 2.5%

Index at purchase: $792.00 IV: 17.20% Days until Expiration: 30

PUT SHORT: 700 ($0.25) CALL SHORT: no Call position

November 2006 5.0%

Index at purchase: $763.40 IV: 20.70% Days until Expiration: 30

PUT SHORT: 650 ($0.20) CALL SHORT: 830 ($0.30)

October 2006 4.0%

Index at purchase: $734.50 IV: 20.30% Days until Expiration: 30

PUT SHORT: 630 ($0.20) CALL SHORT: 800 ($0.20)

September 2006 5.0%

Index at purchase: $707.40 IV: 22.30% Days until Expiration: 30

PUT SHORT: 600 ($0.20) CALL SHORT: 780 ($0.30)

August 2006 5.0%

Index at purchase: $702.30 IV: 24.00% Days until Expiration: 30

PUT SHORT: 600 ($0.30) CALL SHORT: 780 ($0.20)

July 2006 4.0%

Index at purchase: $690.70 IV: 23.00% Days until Expiration: 30

PUT SHORT: 590 ($0.20) CALL SHORT: 760 ($0.20)

June 2006 5.0%

Index at purchase: $725.90 IV: 23.80% Days until Expiration: 30

PUT SHORT: 630 ($0.30) CALL SHORT: 800 ($0.20)

May 2006 5.0%

Index at purchase: $778.40 IV: 18.00% Days until Expiration: 30

PUT SHORT: 680 ($0.20) CALL SHORT: 840 ($0.30)

April 2006 5.0%

Index at purchase: $744.90 IV: 15.60% Days until Expiration: 30

PUT SHORT: 660 ($0.30) CALL SHORT: 800 ($0.20)

March 2006 4.0%

Index at purchase: $725.10 IV: 17.90% Days until Expiration: 30

PUT SHORT: 630 ($0.20) CALL SHORT: 790 ($0.20)

February 2006 5.0%

Index at purchase: $703.80 IV: 17.90% Days until Expiration: 30

PUT SHORT: 620 ($0.20) CALL SHORT: 760 ($0.30)

January 2006 5.5%

Index at purchase: $672.80 IV: 17.10% Days until Expiration: 31

PUT SHORT: 600 ($0.30) CALL SHORT: 730 ($0.25)

Total Return 2005 42.0% We were able place CALL spreads on most of the trades which resulted in higher overall returns.
December 2005 3.0%

Index at purchase: $657.60 IV: 21.20% Days until Expiration: 30

PUT SHORT: 580 ($0.30) CALL SHORT: no Call position

November 2005 5.5%

Index at purchase: $621.76 IV: 23.20% Days until Expiration: 30

PUT SHORT: 530 ($0.25) CALL SHORT: 690 ($0.30)

October 2005 4.5%

Index at purchase: $656.90 IV: 19.00% Days until Expiration: 30

PUT SHORT: 570 ($0.25) CALL SHORT: 710 ($0.20)

September 2005 2.0%

Index at purchase: $652.50 IV: 21.00% Days until Expiration: 30

PUT SHORT: 570 ($0.20) CALL SHORT: no Call position

August 2005 2.0%

Index at purchase: $667.40 IV: 14.80% Days until Expiration: 30

PUT SHORT: 610 ($0.20) CALL SHORT: no Call position

July 2005 4.0%

Index at purchase: $635.69 IV: 14.00% Days until Expiration: 30

PUT SHORT: 580 ($0.40) CALL SHORT: no Call position

June 2005 2.0%

Index at purchase: $600.30 IV: 21.20% Days until Expiration: 30

PUT SHORT: 520 ($0.20) CALL SHORT: no Call position

May 2005 4.0%

Index at purchase: $593.54 IV: 22.90% Days until Expiration: 30

PUT SHORT: 0 ($0.00) CALL SHORT: 650 ($0.40)

April 2005 4.0%

Index at purchase: $634.08 IV: 18.00% Days until Expiration: 30

PUT SHORT: 550 ($0.20) CALL SHORT: 690 ($0.20)

March 2005 3.0%

Index at purchase: $635.40 IV: 18.00% Days until Expiration: 30

PUT SHORT: 560 ($0.30) CALL SHORT: no Call position

February 2005 6.0%

Index at purchase: $624.11 IV: 20.30% Days until Expiration: 30

PUT SHORT: 550 ($0.20) CALL SHORT: 680 ($0.40)

January 2005 2.0%

Index at purchase: $646.64 IV: 15.10% Days until Expiration: 30

PUT SHORT: 580 ($0.20) CALL SHORT: no Call position

Total Return 2004 54.5% We were able place CALL spreads on most of the trades which resulted in higher overall returns.
December 2004 4.0%

Index at purchase: $624.00 IV: 13.40% Days until Expiration: 30

PUT SHORT: 560 ($0.40) CALL SHORT: no Call position

November 2004 4.5%

Index at purchase: $565.86 IV: 20.50% Days until Expiration: 30

PUT SHORT: 490 ($0.25) CALL SHORT: 620 ($0.20)

October 2004 7.0%

Index at purchase: $568.33 IV: 19.60% Days until Expiration: 30

PUT SHORT: 500 ($0.20) CALL SHORT: 620 ($0.50)

September 2004 2.0%

Index at purchase: $527.74 IV: 24.00% Days until Expiration: 30

PUT SHORT: 450 ($0.20) CALL SHORT: no Call position

August 2004 4.0%

Index at purchase: $565.38 IV: 19.30% Days until Expiration: 30

PUT SHORT: 490 ($0.20) CALL SHORT: 630 ($0.20)

July 2004 5.0%

Index at purchase: $568.50 IV: 21.30% Days until Expiration: 30

PUT SHORT: 480 ($0.25) CALL SHORT: 630 ($0.25)

June 2004 6.5%

Index at purchase: $546.74 IV: 24.41% Days until Expiration: 30

PUT SHORT: 450 ($0.40) CALL SHORT: 620 ($0.25)

May 2004 4.0%

Index at purchase: $577.73 IV: 23.80% Days until Expiration: 30

PUT SHORT: 490 ($0.20) CALL SHORT: 640 ($0.20)

April 2004 5.0%

Index at purchase: $570.65 IV: 24.10% Days until Expiration: 30

PUT SHORT: 480 ($0.25) CALL SHORT: 640 ($0.25)

March 2004 4.0%

Index at purchase: $595.13 IV: 21.40% Days until Expiration: 30

PUT SHORT: 500 ($0.20) CALL SHORT: 660 ($0.20)

February 2004 4.5%

Index at purchase: $597.47 IV: 18.50% Days until Expiration: 30

PUT SHORT: 520 ($0.25) CALL SHORT: 650 ($0.20)

January 2004 4.0%

Index at purchase: $538.72 IV: 23.40% Days until Expiration: 30

PUT SHORT: 450 ($0.20) CALL SHORT: 600 ($0.20)

Total Return 2003 35.5% We were able place CALL spreads on some of the trades which resulted in higher overall returns.
December 2003 2.0%

Index at purchase: $525.62 IV: 21.60% Days until Expiration: 30

PUT SHORT: 440 ($0.20) CALL SHORT: no Call position

November 2003 3.0%

Index at purchase: $513.15 IV: 20.40% Days until Expiration: 30

PUT SHORT: 440 ($0.30) CALL SHORT: no Call position

October 2003 2.5%

Index at purchase: $515.09 IV: 19.80% Days until Expiration: 30

PUT SHORT: 450 ($0.25) CALL SHORT: no Call position

September 2003 2.0%

Index at purchase: $489.46 IV: 17.70% Days until Expiration: 30

PUT SHORT: 410 ($0.20) CALL SHORT: no Call position

August 2003 2.0%

Index at purchase: $473.68 IV: 20.30% Days until Expiration: 30

PUT SHORT: 420 ($0.20) CALL SHORT: no Call position

July 2003 2.0%

Index at purchase: $457.52 IV: 16.20% Days until Expiration: 30

PUT SHORT: 400 ($0.20) CALL SHORT: no Call position

June 2003 4.0%

Index at purchase: $410.73 IV: 18.00% Days until Expiration: 30

PUT SHORT: 340 ($0.20) CALL SHORT: 0 ($0.20)

May 2003 2.5%

Index at purchase: $377.73 IV: 22.30% Days until Expiration: 30

PUT SHORT: 330 ($0.25) CALL SHORT: no Call position

April 2003 6.0%

Index at purchase: $368.51 IV: 26.80% Days until Expiration: 30

PUT SHORT: 310 ($0.45) CALL SHORT: 420 ($0.15)

March 2003 4.5%

Index at purchase: $360.28 IV: 26.60% Days until Expiration: 30

PUT SHORT: 300 ($0.25) CALL SHORT: 410 ($0.20)

February 2003 2.5%

Index at purchase: $380.52 IV: 20.20% Days until Expiration: 30

PUT SHORT: 0 ($0.00) CALL SHORT: 420 ($0.25)

January 2003 2.5%

Index at purchase: $383.42 IV: 27.60% Days until Expiration: 30

PUT SHORT: 0 ($0.00) CALL SHORT: 440 ($0.25)

Portions of the trade history are based on back testing data according to our Options trading rules.

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