Friday, August 17, 2007

spx put insurance analysis

S&P put insurance:
Monthly:
Ann cost: Loss if:
933.1 P: = % of ind-10.0% -15% -20% -25% -30%
-3.7% 899 8.9 1.0% 12.0% -4.7% -4.7% -4.7% -4.7% -4.7%
-5.3% 884 6.5 0.7% 8.7% -6.0% -6.0% -6.0% -6.0% -6.0%
-10% 840 2.3 0.2% 2.9%-10.2%-10.2%-10.2%-10.2%-10.2%
-15% 800 0.9 0.1% 1.2%-10.1%-14.4%-14.4%-14.4%-14.4%

Quarterly:
Ann cost: Loss if:
933.1 P: = % of ind-10.0% -15% -20% -25% %
-3.7% 899 24.0 2.6% 10.7% -4.7% -4.7% -4.7% -4.7%
-5.3% 884 20.5 2.2% 9.1% -6.0% -6.0% -6.0% -6.0%
-10.0% 840 10.0 1.1% 4.4%-10.2%-10.2%-10.2%-10.2%
-15.0% 800 4.0 0.4% 1.7%-10.1%-14.4%-14.4%-14.4%

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