A B C D E F G H I J K L M

1 Portfolio Insurance from a Put Option

2
3 Stock's Current Price $42.00
4 Put Option's Cost $1.25
5 Put Option's Exercise Price (0.5 years from now) $40.00
6 Percentage Increase in Stock Price () 5.00%
7 Percentage Increase in Stock Price () 15.00%
8 Given Info Computations
9 Percentage Increase in Stock Price 9.80%
10 Stock Price on Put Option's Exercise Date $46.11 C10: =(1+C9)*C3
11
12 Share Only Share & Put D13: =MAX(C5-C10,0)
13 Cash INFLOW from Put Option's Payoff on its Exercise Date $0.00
14 Cash INFLOW from Sale of Stock on Put Option's Exercise Date $46.11 $46.11 C14: =$C10 ; copied to D14.
15 Total Cash INFLOW on Put Option's Exercise Date $46.11 $46.11 C15: =SUM(C13:C14) ; copied to D15
16 Total Initial Cash OUTFLOW $42.00 $43.25 C16: =C3 D16: =C3+C4
17 Half-Year Gross Return 1.0980 1.0662
C17: =C15/C16 D17: =D15/D16
18 Difference Between (Share Only) and (Share & Put) ---------------> 0.0317
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20 CUSTOMIZED SIMULATION RESULTS
D18: =C17-D17
21 Metric Share Only Share & Put
22 Gross Return Mean = 1.0500 1.0423
0.1500 0.1145 C22: =PsiMean(C17)
23 Gross Return Standard Deviation =
C23: =PsiStdDev(C17)
24 Pr{Gross Return > 1} = 0.6306 0.5537 C24: =1-PsiTarget(C17,1)
25 Gross Return Maximum = 1.7057 1.6564 C25: =PsiMax(C17)
C26: =PsiMin(C17)
26 Gross Return Minimum = 0.4038 0.9249
C27: =PsiTarget(C17,0.9)
27 Downside Risk: Pr{Gross Return 0.90} = 0.1587 0.0000 C28: =1-PsiTarget(C17,1.25)
28 Upside Potential: Pr{Gross Return > 1.25} = 0.0912 0.0569
C22:C28 copied to Column D.
29 Probability of Outperforming the Other Strategy = 0.7979 0.2021
30
31 C29: =1-PsiTarget(D18,0) D30: =PsiTarget(D18,-0.0000001)
32
33 CUSTOMIZED SIMULATION RESULTS (pasted after simulation)
To EXCLUDE a tie, you must
34 Metric Share Only Share & Put use a Target Value that is
35 Gross Return Mean = 1.0500 1.0423 slightly less than 0.
36 Gross Return Standard Deviation = 0.1500 0.1145
37 Pr{Gross Return > 1} = 0.6306 0.5537
38 Gross Return Maximum = 1.7149 1.6653
39 Gross Return Minimum = 0.4119 0.9249
40 Downside Risk: Pr{Gross Return 0.90} = 0.1586 0.0000
41 Upside Potential: Pr{Gross Return > 1.25} = 0.0912 0.0569
42 Probability of Outperforming the Other Strategy 0.7979 0.2021
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44 Share Only Share & Put
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65 Generated by selecting AnalyticSolver Platform Analysis Charts Multiple Simulation Results Overlay
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