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# Annual Drift

Annual Volatility
Daliy Drift
Daily Volatility
Mean
Initial Price

10%
40%
0.04%
2.52%
0.0079%
100

Random Number
N(0,1)

0.585
0.215

0.641
0.362

0.775
0.756

0.866
1.108

0.315
-0.482

0.364
-0.347

Simulated Return

0.550%

0.919%

1.914%

2.800%

-1.207%

-0.866%

100.55179 101.480534

103.44136

106.37894

1.914%

2.800%

Price
Simulated Return

0.550%

0.919%

105.1026 104.195931
-1.207%

-0.866%

Price
110
105
100
95

0.046
-1.682

0.630
0.332

0.587
0.219

0.034
90
-1.828

0.472
-0.069

0.385
-0.291

0.035
-1.816

-4.230%

0.845%

0.560%

-4.598%
80

-0.166%

-0.726%

-4.568%

99.880768

100.72829

-4.230%

0.845%

85

101.29367 96.7420424
0.560%

-4.598%

96.581149
-0.166%

95.882706 91.6013773
-0.726%

-4.568%

10

11

Price

11

12

13

1st convert price into returns by applying formula ln(p2/p1)
Sum all the returns which is equal to annual drift
Calculate the variance from drift which is voltility
daily drift = annual drift/252
daily volatility = annual volatility/sqrt(252)
calculate mean
note initial price

e annual drift?

Price Date
6/30/2011
6/29/2011
6/28/2011
6/27/2011
6/24/2011
6/23/2011
6/22/2011
6/21/2011
6/20/2011
6/17/2011
6/16/2011
6/15/2011
6/14/2011
6/13/2011
6/10/2011
6/9/2011
6/8/2011
6/7/2011
6/6/2011
6/3/2011
6/2/2011
6/1/2011
5/31/2011
5/30/2011
5/27/2011
5/26/2011
5/25/2011
5/24/2011
5/23/2011
5/20/2011
5/19/2011
5/18/2011
5/17/2011
5/16/2011
5/13/2011
5/12/2011
5/11/2011
5/10/2011
5/9/2011
5/6/2011
5/5/2011
5/4/2011
5/3/2011
5/2/2011
4/29/2011
4/28/2011

876.1
871.8
0.00492
870.55
0.001435
848.2
0.026009
851.65
-0.00406
817.2
0.041292
830.45
-0.01608
828.95
0.001808
824.55
0.005322
838.95
-0.01731
841.5
-0.00303
845.65
-0.00492
842.5
0.003732
847.55
-0.00598
839.2
0.009901
844.25
-0.006
845.9
-0.00195
846.2
-0.00035
848.2
-0.00236
853.35
-0.00605
859.2
-0.00683
858.95
0.000291
865.9
-0.00806
857.95
0.009224
849.25
0.010192
852.05
-0.00329
861.4
-0.01091
857.05
0.005063
849.6
0.008731
857.45
-0.0092
853.4
0.004734
853.3
0.000117
863.6
-0.012
860.2
0.003945
863.2
-0.00348
864.05
-0.00098
888.6
-0.02802
863.85
0.028248
874.75
-0.01254
890.6
-0.01796
871.45
0.021737
866.4
0.005812
845.7
0.024182
857.3
-0.01362
857.9
-0.0007
876
-0.02088

Mean
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379

x - mean
66.96206
62.66206
61.41206
39.06206
42.51206
8.062055
21.31206
19.81206
15.41206
29.81206
32.36206
36.51206
33.36206
38.41206
30.06206
35.11206
36.76206
37.06206
39.06206
44.21206
50.06206
49.81206
56.76206
48.81206
40.11206
42.91206
52.26206
47.91206
40.46206
48.31206
44.26206
44.16206
54.46206
51.06206
54.06206
54.91206
79.46206
54.71206
65.61206
81.46206
62.31206
57.26206
36.56206
48.16206
48.76206
66.86206

## (x-mean)^2Open Price High Price

4483.917 872
880.95
3926.533 872
880.25
3771.441 848.2
876.5
1525.844 850
851.1
1807.275 817
855
64.99674 830.45
830.45
454.2037 830
837
392.5175 824.55
837
237.5314 838.95
844.95
888.7586 848
848
1047.303 850.9
851
1333.13 842.5
855.9
1113.027 852.95
852.95
1475.486 838.9
850
903.7272 844.25
847.75
1232.856 847
850
1351.449 846
853.8
1373.596 848.2
853.7
1525.844 850
859.9
1954.706 859.1
867.5
2506.209 858.45
862.8
2481.241 866.1
871.85
3221.931 857
871
2382.617 855
864.9
1608.977 855
868
1841.444 862
872.8
2731.322 857.05
865.6
2295.565 849.6
861
1637.178 860
864
2334.055 855.85
870
1959.13 855
865
1950.287 863.6
867
2966.115 857
869.5
2607.333 863.65
863.65
2922.706 867.5
872.9
3015.334 888
890
6314.218 860
907
2993.409 870
875
4304.942 896
896.9
6636.066 872.05
895
3882.792 870.1
880.95
3278.943 838.1
876.8
1336.784 858
862.9
2319.584 858
863
2377.738 876
885
4470.534 854.1
895

Low Price
860.2
867.75
843.3
831
817
805
826.2
818.1
820.05
835
836
833.5
839.15
827.05
837.7
841
844.5
843.1
841
850.6
852
851.05
857
851.1
840.1
831.3
849.15
844
847
853.25
838.8
841
854
853.4
856.8
861.3
853
861
869.05
862
857.1
834
841
844.6
850
854.1

4/27/2011
4/26/2011
4/25/2011
4/21/2011
4/20/2011
4/19/2011
4/18/2011
4/15/2011
4/13/2011
4/11/2011
4/8/2011
4/7/2011
4/6/2011
4/5/2011
4/4/2011
4/1/2011
3/31/2011
3/30/2011
3/29/2011
3/28/2011
3/25/2011
3/24/2011
3/23/2011
3/22/2011
3/21/2011
3/18/2011
3/17/2011
3/16/2011
3/15/2011
3/14/2011
3/11/2011
3/10/2011
3/9/2011
3/8/2011
3/7/2011
3/4/2011
3/3/2011
3/1/2011
2/28/2011
2/25/2011
2/24/2011
2/23/2011
2/22/2011
2/21/2011
2/18/2011
2/17/2011
2/16/2011

853.05
835.55
827.4
827.5
831.8
817.85
825
814.15
805.9
801.05
804.05
805.85
801.4
789.85
790.9
783.15
797.25
812.2
811.65
790.75
783.6
772.95
750.2
745.35
742.1
749.4
735.95
738.85
735.15
746.25
734.7
740.45
722.65
713.25
713.95
726.75
688.6
682.85
663.65
678.75
668.35
698.1
663.5
662.6
662.3
666.5
661.25

0.026548
0.020728
0.009802
-0.00012
-0.00518
0.016913
-0.0087
0.013239
0.010185
0.006036
-0.00374
-0.00224
0.005537
0.014517
-0.00133
0.009847
-0.01784
-0.01858
0.000677
0.026087
0.009083
0.013684
0.029875
0.006486
0.00437
-0.00979
0.018111
-0.00393
0.00502
-0.01499
0.015598
-0.0078
0.024333
0.013093
-0.00098
-0.01777
0.053922
0.008385
0.02852
-0.0225
0.015441
-0.04355
0.050834
0.001357
0.000453
-0.00632
0.007908

809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379

43.91206
26.41206
18.26206
18.36206
22.66206
8.712055
15.86206
5.012055
-3.23794
-8.08794
-5.08794
-3.28794
-7.73794
-19.2879
-18.2379
-25.9879
-11.8879
3.062055
2.512055
-18.3879
-25.5379
-36.1879
-58.9379
-63.7879
-67.0379
-59.7379
-73.1879
-70.2879
-73.9879
-62.8879
-74.4379
-68.6879
-86.4879
-95.8879
-95.1879
-82.3879
-120.538
-126.288
-145.488
-130.388
-140.788
-111.038
-145.638
-146.538
-146.838
-142.638
-147.888

1928.269
697.5967
333.5027
337.1651
513.5688
75.89991
251.6048
25.1207
10.48429
65.41485
25.88718
10.81058
59.87579
372.0248
332.6226
675.3733
141.3232
9.376183
6.310422
338.1165
652.1866
1309.567
3473.681
4068.902
4494.086
3568.622
5356.475
4940.395
5474.216
3954.894
5541.008
4718.034
7480.165
9194.498
9060.745
6787.773
14529.4
15948.64
21166.74
17001.02
19821.25
12329.43
21210.41
21473.37
21561.38
20345.58
21870.84

836
827.4
785.2
840
818.05
820.95
817
805.25
790.1
804
807
802
794
791
782
797.25
815
815
817.4
789
779
768
742.6
744
750
735.95
737
741.9
735
734.25
736.5
721
716.35
710
727
690
687
670
677.8
670
700
663.5
663
668.35
665.2
660.5
663

855
840
838.7
841.8
835
824.9
848.9
822.4
808.8
804
812.45
809
817
797.5
795
800
826.2
829.7
825
803
785
790
753.55
749.85
768.85
755
748
757.95
741
750
749
743.75
729
729.8
729
747.7
710.6
685
686
686.95
700
715.2
666.6
668.9
676.7
674
665

833.1
824.5
745
825.05
818.05
814.2
808.5
796.2
788.4
790
790
793.1
792
786
781.35
775
783
806
784
780.05
775.5
760
740.5
743.1
740
735
734
730.2
720
729
720
714.35
714.8
708
703.4
688
675
666.2
661.65
664
659
640
657.1
657.05
657.05
660
659.05

2/15/2011
2/14/2011
2/11/2011
2/10/2011
2/9/2011
2/8/2011
2/7/2011
2/4/2011
2/3/2011
2/2/2011
2/1/2011
1/31/2011
1/28/2011
1/27/2011
1/25/2011
1/24/2011
1/21/2011
1/20/2011
1/19/2011
1/18/2011
1/17/2011
1/14/2011
1/13/2011
1/12/2011
1/11/2011
1/10/2011
1/7/2011
1/6/2011
1/5/2011
1/4/2011
1/3/2011
12/31/2010
12/30/2010
12/29/2010
12/28/2010
12/27/2010
12/24/2010
12/23/2010
12/22/2010
12/21/2010
12/20/2010
12/16/2010
12/15/2010
12/14/2010
12/13/2010
12/10/2010
12/9/2010

662.5
663.95
642.4
647.9
618.6
646.05
666.75
692.8
708.15
702.2
717.25
736.7
707.85
716.25
742.5
736.1
741.2
739.05
737.45
749.1
746.65
749.15
752.85
747.3
741.45
741.2
776.35
798.65
799.05
807.1
810.55
792.25
782.75
802.65
796.3
803.1
804.45
802.65
777.15
760.7
769.6
776.75
775.7
787.55
781.85
759.7
760.65

-0.00189
-0.00219
0.032996
-0.00853
0.046278
-0.04342
-0.03154
-0.03833
-0.02191
0.008438
-0.02121
-0.02676
0.039949
-0.0118
-0.03599
0.008657
-0.0069
0.002905
0.002167
-0.01567
0.003276
-0.00334
-0.00493
0.007399
0.007859
0.000337
-0.04633
-0.02832
-0.0005
-0.01002
-0.00427
0.022836
0.012064
-0.02511
0.007943
-0.0085
-0.00168
0.00224
0.032285
0.021394
-0.01163
-0.00925
0.001353
-0.01516
0.007264
0.028739
-0.00125

809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379

-146.638
-145.188
-166.738
-161.238
-190.538
-163.088
-142.388
-116.338
-100.988
-106.938
-91.8879
-72.4379
-101.288
-92.8879
-66.6379
-73.0379
-67.9379
-70.0879
-71.6879
-60.0379
-62.4879
-59.9879
-56.2879
-61.8379
-67.6879
-67.9379
-32.7879
-10.4879
-10.0879
-2.03794
1.412055
-16.8879
-26.3879
-6.48794
-12.8379
-6.03794
-4.68794
-6.48794
-31.9879
-48.4379
-39.5379
-32.3879
-33.4379
-21.5879
-27.2879
-49.4379
-48.4879

21502.69
21079.54
27801.54
25997.67
36304.71
26597.68
20274.33
13534.52
10198.56
11435.72
8443.394
5247.256
10259.25
8628.17
4440.616
5334.541
4615.564
4912.32
5139.161
3604.555
3904.743
3598.554
3168.333
3823.931
4581.658
4615.564
1075.049
109.997
101.7666
4.153218
1.9939
285.2027
696.3236
42.09343
164.8128
36.45678
21.97683
42.09343
1023.229
2346.234
1563.249
1048.979
1118.096
466.0394
744.6319
2444.11
2351.081

669.95
649
647.9
615
654
677.7
697
709
703
725
753
699
719
750
744
741
739
730
750.7
750
744.1
753
748.1
737
744
777
799
800
807
810
798
785
805
794.2
800
804.45
804.1
782
770
770
777
779
787.1
775
765
762
798

673
669
654.55
655.9
654
677.7
703.9
717.95
714
729.8
753
749.85
720
750
755
751.8
744
744.9
751.9
757.9
753.8
765
768
754.7
763
782
802
807
814.5
823
824.95
801
808.8
811
803.9
814.5
821.95
807.9
779.8
775
779
788.9
792.5
794
785
774
799.8

659
649
626.35
595.8
605
636.3
660.3
690
698
695.1
712.1
688
701.2
706.15
738.3
732.55
734
726.1
730
742.35
740.2
736.75
746.35
725.2
726.1
726.3
759.3
788.1
795.4
798
796
776.05
777.25
794.2
792
799
800
780.05
763.2
752.2
765
766.2
773
771
759
751
755

12/8/2010
12/7/2010
12/6/2010
12/3/2010
12/2/2010
12/1/2010
11/30/2010
11/29/2010
11/26/2010
11/25/2010
11/24/2010
11/23/2010
11/22/2010
11/19/2010
11/18/2010
11/16/2010
11/15/2010
11/12/2010
11/11/2010
11/10/2010
11/9/2010
11/8/2010
11/5/2010
11/4/2010
11/3/2010
11/2/2010
11/1/2010
10/29/2010
10/28/2010
10/27/2010
10/26/2010
10/25/2010
10/22/2010
10/21/2010
10/20/2010
10/19/2010
10/18/2010
10/15/2010
10/14/2010
10/13/2010
10/12/2010
10/11/2010
10/8/2010
10/7/2010
10/6/2010
10/5/2010
10/4/2010

790.35
800.45
799.6
803.85
804.2
794.05
770.65
751.45
764.85
792.65
845.3
848.05
850.4
836.8
854.75
835.95
854.5
850.2
857.95
874.6
863.1
865.3
860
859.1
861.35
860.6
841.65
822.5
869.2
888.35
901.95
912.1
900.15
901.4
893.95
901.25
914
911.6
925.6
915.9
905.45
922.25
923.45
934.45
923.35
922.65
936

-0.0383
-0.0127
0.001062
-0.0053
-0.00044
0.012702
0.029912
0.02523
-0.01768
-0.0357
-0.06431
-0.00325
-0.00277
0.016122
-0.02122
0.02224
-0.02195
0.005045
-0.00907
-0.01922
0.013236
-0.00255
0.006144
0.001047
-0.00262
0.000871
0.022266
0.023016
-0.05522
-0.02179
-0.01519
-0.01119
0.013188
-0.00139
0.008299
-0.00813
-0.01405
0.002629
-0.01524
0.010535
0.011475
-0.01838
-0.0013
-0.01184
0.01195
0.000758
-0.01437

809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379

-18.7879
-8.68794
-9.53794
-5.28794
-4.93794
-15.0879
-38.4879
-57.6879
-44.2879
-16.4879
36.16206
38.91206
41.26206
27.66206
45.61206
26.81206
45.36206
41.06206
48.81206
65.46206
53.96206
56.16206
50.86206
49.96206
52.21206
51.46206
32.51206
13.36206
60.06206
79.21206
92.81206
102.9621
91.01206
92.26206
84.81206
92.11206
104.8621
102.4621
116.4621
106.7621
96.31206
113.1121
114.3121
125.3121
114.2121
113.5121
126.8621

352.9869
75.48038
90.97239
27.96236
24.3833
227.6461
1481.322
3327.899
1961.422
271.8523
1307.694
1514.148
1702.557
765.1893
2080.46
718.8863
2057.716
1686.092
2382.617
4285.281
2911.903
3154.176
2586.949
2496.207
2726.099
2648.343
1057.034
178.5445
3607.45
6274.55
8614.078
10601.18
8283.194
8512.287
7193.085
8484.631
10996.05
10498.47
13563.41
11398.14
9276.012
12794.34
13067.25
15703.11
13044.39
12884.99
16093.98

802
765
814.9
808.7
805
769
750
760
790
842
852
843
840
860
849
861.9
848
864
877
862
868
851.25
860
865
869
846.45
822.5
870
885
900
912.1
909.9
901
895.75
900
916
913
927
929
918
915
932
943.5
920
930
923
934.9

803.9
809.9
815
809.9
810
814
783.8
774.95
798
849.75
864
854.9
859.95
869
858
868.1
863
866.9
898
880
872.8
873
874
870.9
878
871
845
870
888
901.9
912.1
921.4
911
906
908.5
955
921
933
935
921.2
923.7
932.85
943.5
948.65
935.9
929
953.7

785
755
794.05
790
795.5
765.2
750
735
756.2
779
801.5
822.1
824.6
833
830.5
832.2
842
841.15
855
849
856
850
854.2
856
858
839.25
813.25
810.1
864
881.8
897.5
894.15
894
870
889.15
870
900
908
912
901.1
896.9
914
916.5
917
918
890.2
929

10/1/2010
9/30/2010
9/29/2010
9/28/2010
9/27/2010
9/24/2010
9/23/2010
9/22/2010
9/21/2010
9/20/2010
9/17/2010
9/16/2010
9/15/2010
9/14/2010
9/13/2010
9/9/2010
9/8/2010
9/7/2010
9/6/2010
9/3/2010
9/2/2010
9/1/2010
8/31/2010
8/30/2010
8/27/2010
8/26/2010
8/25/2010
8/24/2010
8/23/2010
8/20/2010
8/19/2010
8/18/2010
8/17/2010
8/16/2010
8/13/2010
8/12/2010
8/11/2010
8/10/2010
8/9/2010
8/6/2010
8/5/2010
8/4/2010
8/3/2010
8/2/2010
7/30/2010
7/29/2010
7/28/2010

925.65
920.95
939.35
948.35
906.6
878.75
872.85
872.35
856
863.8
842.05
812.2
798.9
789.55
783.6
782.85
782.5
781.05
782.9
778.55
777.6
777.9
777
779.8
760.15
769
759.35
765.35
777.6
773.4
773.85
773.55
771.3
777.6
783
782
778.8
787.4
801.35
800.2
788.45
788.2
799.15
803.25
812.05
846.55
841.3

0.011119
0.00509
-0.01978
-0.00954
0.045022
0.031201
0.006737
0.000573
0.01892
-0.00907
0.025502
0.036093
0.016511
0.011773
0.007564
0.000958
0.000447
0.001855
-0.00237
0.005572
0.001221
-0.00039
0.001158
-0.0036
0.025522
-0.01158
0.012628
-0.00787
-0.01588
0.005416
-0.00058
0.000388
0.002913
-0.00813
-0.00692
0.001278
0.0041
-0.01098
-0.01756
0.001436
0.014793
0.000317
-0.0138
-0.00512
-0.0109
-0.04161
0.006221

809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379

116.5121
111.8121
130.2121
139.2121
97.46206
69.61206
63.71206
63.21206
46.86206
54.66206
32.91206
3.062055
-10.2379
-19.5879
-25.5379
-26.2879
-26.6379
-28.0879
-26.2379
-30.5879
-31.5379
-31.2379
-32.1379
-29.3379
-48.9879
-40.1379
-49.7879
-43.7879
-31.5379
-35.7379
-35.2879
-35.5879
-37.8379
-31.5379
-26.1379
-27.1379
-30.3379
-21.7379
-7.78794
-8.93794
-20.6879
-20.9379
-9.98794
-5.88794
2.912055
37.41206
32.16206

13575.06
12501.94
16955.18
19380
9498.852
4845.838
4059.226
3995.764
2196.052
2987.94
1083.203
9.376183
104.8155
383.6876
652.1866
691.056
709.5801
788.9326
688.4297
935.6224
994.642
975.8092
1032.847
860.715
2399.819
1611.055
2478.839
1917.384
994.642
1277.201
1245.239
1266.502
1431.71
994.642
683.1922
736.468
920.3909
472.5382
60.65208
79.88685
427.9911
438.3975
99.75904
34.66789
8.480066
1399.662
1034.398

910
954.95
960
915
879
874
875
850.25
865
842
814
806.9
784
785
789
785
783
786.8
782
784
782.4
785
779
765.1
770
760
767
780
771
770
770
771.3
779
783
785
804
780
798
808
788
790
836.3
803.25
813
850
832.25
818

945
954.95
974.9
968
922.75
881.1
877
879
866.8
867.9
847
830.25
806.8
793.7
795.75
786.5
785
786.8
794
784
786.4
785
788.1
781.7
780.8
774.4
773.5
786
784.9
789.95
776.9
781
779.9
789
789.7
804
787.5
801
815.45
812
799
836.3
805.3
813
855.8
857
884

905
893
931.3
912
878.75
872.2
867.95
845
840
840.05
814
803.05
784
780
782
780.4
780
779
780
776.5
776.1
770
772
745
758
750.6
757.25
764.1
771
770
767
765.3
768.25
773.6
780
771.1
776
785.05
797.2
783
779.75
786
796.5
796
806.8
831
806

7/27/2010
7/26/2010
7/23/2010
7/22/2010
7/21/2010
7/20/2010
7/19/2010
7/16/2010
7/15/2010
7/14/2010
7/13/2010
7/12/2010
7/9/2010
7/8/2010
7/7/2010
7/6/2010
7/5/2010
7/2/2010
7/1/2010

814.7
826.7
839.85
847.85
847.95
857.9
852.2
872.55
869.85
869.65
870
865.05
861.75
862.5
860.8
863.35
861.55
861.5
860.05
809.1379

0.032128
-0.01462
-0.01578
-0.00948
-0.00012
-0.01167
0.006666
-0.0236
0.003099
0.00023
-0.0004
0.005706
0.003822
-0.00087
0.001973
-0.00296
0.002087
5.8E-05
0.001685
1.85%

809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379
809.1379

5.562055
17.56206
30.71206
38.71206
38.81206
48.76206
43.06206
63.41206
60.71206
60.51206
60.86206
55.91206
52.61206
53.36206
51.66206
54.21206
52.41206
52.36206
50.91206
0

30.93646
308.4258
943.2303
1498.623
1506.376
2377.738
1854.341
4021.089
3685.954
3661.709
3704.19
3126.158
2768.028
2847.509
2668.968
2938.947
2747.024
2741.785
2592.037
1128452
4460.285
66.78537
7.62%

830.05
785
850
835
855
850.5
865
880
867.45
875
864.75
865
867
869.8
864
864
863
863
867

852
842
855
852
860.1
860
868
880
874
875.7
874.9
866.7
867
870
864
864.95
864
864.9
867

802
785
832.5
830.3
846
845.05
847.25
870.05
865.1
869
864.75
860.5
860.15
860.2
860.5
860
861
860.1
858.15

5669226 455
6512
11186615 709
12773
18167986 1128
20965
4899693 453
5784
14639643 882
17319
5185148 412
6305
2927693 286
3523
5039471 384
6075
6146153 600
7399
3397290 246
4036
2193303 262
2594
4902866 376
5827
3646497 345
4318
9804293 500
11622
2973307 213
3531
2554381 161
3022
2241929 175
2645
3860175 290
4555
3058861 277
3587
4562033 300
5311
4393202 366
5118
8270861 516
9597
5725488 452
6614
4823066 420
5626
6787669 494
7926
16583456 1100
19503
7303071 421
8515
6335332 376
7411
5679260 396
6648
7586967 542
8822
8686858 757
10250
6331535 501
7379
8684855 742
10089
9420721 549
10982
12684072 839
14666
32303619 1765
36928
1.7E+08 9122
191508
11839106 741
13672
8451364 675
9553
14532190 990
16535
25543924 1267
29498
32764539 2136
38370
7846380 633
9204
10185587 702
11947
17264707 1156
19884
60984918 3487
69269

21638015
9369927
6165134
6035890
11318860
7696904
40218249
17773197
12074027
10820908
16686108
18759244
18567579
7243620
10488511
10667835
11972265
12820133
15881693
16237494
26497403
47960865
4186699
6607377
21430837
15207141
6945406
12844261
12713641
17964531
27390894
18740319
8858350
7363095
13732033
1.35E+08
12056368
7127437
10657232
15551882
70246393
3.29E+08
13410559
10671860
8527709
10674963
12959850

1490
732
500
480
791
626
3440
1068
862
584
970
1053
1133
528
760
709
920
844
1117
984
1354
2478
388
420
1548
993
623
965
969
1224
1755
1358
650
649
1254
8530
1109
595
729
1240
3886
15475
433
377
546
798
493

25532
11245
7431
7259
13644
9393
48581
21896
15060
13556
20783
23408
23063
9146
13318
13583
14716
15611
19808
20557
33908
62266
5591
8857
28383
20360
9399
17167
17365
24300
37126
25494
12289
10254
19230
183939
17466
10499
15779
23035
104740
485810
20318
16115
12781
15996
19587

15593003
9998794
8214840
17481268
18919116
21897698
13712116
10150175
5984799
13318038
17345012
21729227
10921730
18373851
4194340
6458603
7419219
5817464
10361795
4932968
8088250
9975864
9903577
22921730
33866474
25382192
14022490
14975475
15969795
23656103
14211189
17814985
13164465
9401203
7027814
17376596
53610267
30603673
9081704
18837241
3955256
4178177
2298967
3713674
6020797
13266231
9474235

948
869
864
1679
1488
2055
1210
826
614
809
1193
1582
745
1096
382
557
566
460
714
404
502
466
739
1293
1584
1062
958
754
859
1048
774
858
814
650
382
865
2360
1751
520
475
285
353
221
347
522
841
624

23455
15111
12876
28087
30168
33675
20287
14421
8456
18632
23796
30027
15451
25320
5629
8711
10028
7901
14022
6587
10839
13286
13040
31096
45834
33588
17914
18767
19782
29158
17628
22655
16564
11669
8819
21531
65952
38261
11773
24588
5128
5399
2950
4714
7790
17459
12215

5895706
7103529
11563986
7371714
9378950
16329859
14255393
15144716
24779520
10293161
10272501
7007305
8569963
9546197
6016664
6383750
6140242
9632619
24056571
13704836
5440930
8440178
3182521
10697440
11703341
15119941
9247385
1.2E+08
17172905
11418177
6332369
22295200
8422937
6070654
10829334
9434757
6840101
9969407
30528476
14660330
16551457
9849650
19217904
37076103
15367989
44160833
42946928

440
493
618
594
615
1143
1057
1126
1458
768
661
501
572
566
462
512
443
620
1224
549
347
524
226
565
706
885
549
4907
1006
673
363
938
493
407
618
514
521
597
1208
697
913
579
928
1562
759
1685
1961

7456
8844
14356
9198
11658
20642
18495
20238
31838
12801
12047
8319
10226
11207
7123
7543
7231
11247
27302
15815
6290
9840
3690
12430
13464
17744
11082
145130
19598
12825
7004
24420
9323
6748
12096
10341
7502
10842
32990
16048
18247
10678
20704
39677
16616
47928
45657

55968852
85602525
1.27E+08
91092639
64670590
18464963
30224601
32725694
15724941
37248542
58966309
58605840
32998337
22108638
14493018
3997723
4508691
5938128
12415313
3252651
5994640
6987849
27813146
21104784
18663630
17274751
11889034
22156577
16260271
23348383
15448025
12314911
8181684
11005556
15855123
15592908
24754279
37900766
26345736
31487230
46851275
28913316
28155039
57477323
1.81E+08
37555529
1.84E+08

2783
4112
4257
4142
2695
1295
1810
2382
1034
2128
3173
3102
1777
1056
698
298
291
433
810
271
321
494
1245
1316
1136
1095
919
1234
844
1420
1020
762
576
725
762
968
1377
1953
1299
1491
1896
1272
1252
2367
6262
1750
6999

60374
93217
133151
97415
71181
21019
34655
37564
18408
43437
70667
71601
41260
28031
18436
5108
5764
7581
15769
4175
7693
8965
35715
27239
24264
22733
15604
28675
20888
29964
20016
15911
10570
14144
20216
19957
31633
47888
32628
39703
59531
36552
35120
71518
221211
44189
214977

60860659
30473523
1.88E+08
2.67E+08
49626482
58596087
1.42E+08
38396071
19864679
25457645
92941696
29039463
19531393
65564922
26563953
16305408
12448976
23118761
42030155

2222
1743
1245
1597
686
1102
1673
827
388
492
807
468
445
1020
281
269
228
317
448

73363
37227
223951
315216
58380
68801
165435
43946
22895
29170
106748
33581
22675
75968
30836
18883
14445
26829
48870

Annual Drift
Annual Volatility
Daily Drift
Daily Volatility
Mean
Initial Price

1.85%
7.62%
0.007%
0.48%
0.0062%
876.1

Random Number
N(0,1)

0.371782933
-0.00150554

Stimulated Return

Actual Price
Date

## 0.12709 0.930965 0.201141 0.142287 0.187797 0.362909

-0.0054 0.007166 -0.00395 -0.00506 -0.00418 -0.00162

876.6
874.9
877.8
883.8
899.6
12-Jul-11 13-Jul-11 14-Jul-11 15-Jul-11 16-Jul-11

Stimulated Return
880
875

## 0.406158 0.950603 0.898025

-0.00108 0.00797 0.006148
862.5103 869.4118

874.773

870
865
860
855
1

10

d Return

Stimulated Return

10

Random Number
N(0,1)
Change
Stimulated Return

0.2182057
-0.0036668

## 0.9035705 0.5456456 0.9779303 0.151576

0.0062999
0.000611 0.0097041 -0.00487
+
+
+
+
872.89343
872.9562959 878.47318 879.01007 887.58159 883.2684

Actual Price
Date

876.6
7/12/2011
+

Matching Changes
Total Changes
Accuracy

0.500863356
0.000072015

3
5
60%

874.9
877.8
883.8
899.6
7/13/2011 7/14/2011 7/15/2011 7/16/2011
+
+
+

## 0.989112 0.448127 0.97558 0.659183

0.011053 -0.00056 0.009499 0.002027
893.0851 892.5824 901.1016 902.9299