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Author: davidMN Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 5980  
Subject: Put simulation, BI Date: 12/22/2000 1:05 AM
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Ok, here's a put simulation using 2.5X leverage on LEAP puts bought on Dow stocks that were OVER their upside target and perhaps ripe for a fall:

This is only through 1995....

Put simulation 1973 Upside Price/Upside 1974 price Change simulated put gain
Price
AA 53.13 53.41 0.994757536 48.5 -8.71% 21.79% 53.84%
AMB 42.13 39.13 1.076667519 32.25 -23.45% 58.63%
EK 148.38 146.23 1.014702865 116 -21.82% 54.56%
PG 111.5 100.76 1.106589917 92 -17.49% 43.72%
S 116 60.62 1.913559881 80.25 -30.82% 77.05%
SD 79.63 63.62 1.251650424 35 -56.05% 140.12%
XON 87.5 75.61 1.157254331 94.13 7.58% -18.94%
1974 Price/Upside 1975 price Change Simulated put gain
WX 25.38 6.97 3.641319943 10 -60.60% 151.50% 151.50%
1975 Price/Upside 1976 price Change Simulated put gain
AA 29.88 29.89 0.99966544 38.63 29.28% -73.21% -73.21%
1976 Price/Upside 1977 price Change Simulated put gain
X 65 68.8 0.944767442 49.75 -23.46% 58.65% 58.65%
1977 Price/Upside 1978 price Change Simulated put gain
ESM 35.75 36.46 0.980526604 30 -16.08% 40.21% 83.56%
N 32.63 20.35 1.603439803 17.13 -47.50% 118.76%
X 49.75 15.31 3.249510124 31.5 -36.68% 91.71%
1978 Price/Upside 1979 price Change Simulated put gain
N 17.13 16.18 1.058714462 15.75 -8.06% 20.14% 50.74%
X 31.5 18.31 1.720371382 21.25 -32.54% 81.35%
1979 Price/Upside 1980 price Change Simulated put gain
ACD 28.25 4.19 6.742243437 -100.00% 250.00% ??
1980 Price/Upside 1981 price Change Simulated put gain
AC 35.38 36.12 0.979512735 30.38 -14.13% 35.33% -13.39%
BS 21.13 21.39 0.987844787 26.38 24.85% -62.12%
1981 Price/Upside 1982 price Change Simulated put gain
AA 59.63 37.99 1.569623585 25.63 -57.02% 142.55% 106.98%
GM 45 8.87 5.073280722 38.5 -14.44% 36.11%
JM 24.75 13.8 1.793478261 14.88 -39.88% 99.70%
SD 99.5 58 1.715517241 42.88 -56.90% 142.26%
XON 80.63 55.29 1.458310725 31.25 -61.24% 153.11%
Z 24.75 19.38 1.277089783 18 -27.27% 68.18%
1982 Price/Upside 1983 Price Change Simulated put gain
AC 34.38 10.16 3.383858268 30.88 -10.18% 25.45% -0.05%
ALD 43.88 43.19 1.01597592 32.38 -26.21% 65.52%
GM 38.5 27.43 1.403572731 62.38 62.03% -100.00%
IP 39.13 29.79 1.31352803 48.38 23.64% -59.10%
OI 29.63 10.8 2.743518519 28.25 -4.66% 11.64%
SD 42.88 33.66 1.273915627 32 -25.37% 63.43%
UK 51.38 34.94 1.470520893 52.88 2.92% -7.30%
1983 Price/Upside 1984 Price Change Simulated put gain
AA 31 18.46 1.679306609 44.8 44.52% -100.00% -22.95%
AC 30.88 30.19 1.02285525 46.88 51.81% -100.00%
AXP 64.25 58.29 1.102247384 32.63 -49.21% 123.04%
EK 86 38.29 2.246017237 76.13 -11.48% 28.69%
GT 35 30.87 1.133786848 30.38 -13.20% 33.00%
IP 48.38 35.8 1.351396648 59 21.95% -54.88%
OI 28.25 18.94 1.49155227 37.38 32.32% -80.80%
T 59.38 15.25 3.893770492 61.5 3.57% -8.93%
UK 52.88 23.2 2.279310345 62.75 18.66% -46.66%
1984 Price/Upside 1985 Price Change Simulated put gain
AA 44.88 58 0.773793103 37 -17.56% 43.89% 24.72%
AC 46.88 55.29 0.847892928 50.5 7.72% -19.30%
AMB 59.25 19.38 3.057275542 64.25 8.44% -21.10%
EK 76.13 67.42 1.129190151 71.88 -5.58% 13.96%
GE 58.63 55.54 1.055635578 56.63 -3.41% 8.53%
IP 59 36.77 1.604568942 53.88 -8.68% 21.69%
OI 37.38 36.54 1.022988506 40.25 7.68% -19.19%
TX 35.88 28.6 1.254545455 34.13 -4.88% 12.19%
UK 62.75 41.52 1.511319846 36.75 -41.43% 103.59%
WX 54.75 53.86 1.016524322 26.13 -52.27% 130.68%
X 30.38 13.78 2.204644412 26.13 -13.99% 34.97%
Z 35.13 33.9 1.036283186 37 5.32% -13.31%
1985 Price/Upside 1986 Price Change Simulated put gain
AA 37 12.67 2.920284136 38.5 4.05% -10.14% -32.29%
AC 50.5 45.38 1.112825033 60 18.81% -47.03%
ALD 34.5 23.56 1.46434635 46.75 35.51% -88.77%
AMB 64.25 63.86 1.006107109 -100.00% 250.00% ??
EK 71.88 34.59 2.078057242 50 -30.44% 76.10%
GE 56.63 55.31 1.023865485 72.75 28.47% -71.16%
GT 26 25.4 1.023622047 31.25 20.19% -50.48%
IP 53.88 19.6 2.748979592 50.75 -5.81% 14.52%
N 12.38 2.7 4.585185185 13.25 7.03% -17.57%
PG 57 52.58 1.084062381 69.75 22.37% -55.92%
UK 36.75 10.37 3.543876567 70.88 92.87% -100.00%
X 26.13 22.64 1.154151943 26.63 1.91% -4.78%
1986 Price/Upside 1987 Price Change Simulated put gain
AA 38.5 13.28 2.899096386 33.88 -12.00% 30.00% -20.33%
AC 60 53.22 1.127395716 84.13 40.22% -100.54%
CHV 38.13 20.65 1.846489104 45.38 19.01% -47.53%
DD 67.88 65.16 1.041743401 84 23.75% -59.37%
EK 50 23.08 2.166377816 68.59 37.18% -92.95%
GE 72.75 55.19 1.318173582 86 18.21% -45.53%
GM 70.38 64.9 1.084437596 66 -6.22% 15.56%
GT 31.25 24.71 1.264670174 41.88 34.02% -85.04%
IP 50.75 43.74 1.160265203 75.13 48.04% -100.00%
MCD 80.88 72.06 1.122398002 60.75 -24.89% 62.22%
OI 52.75 42.42 1.243517209 53 0.47% -1.18%
PG 69.75 51.73 1.348347187 76.38 9.51% -23.76%
S 39 38.74 1.006711409 39.75 1.92% -4.81%
TX 30 17.21 1.743172574 35.88 19.60% -49.00%
UK 70.88 30.33 2.336960106 22.5 -68.26% 170.64%
UTX 43.75 27.55 1.588021779 46 5.14% -12.86%
WX 44.5 41.52 1.07177264 55.75 25.28% -63.20%
XON 55.13 48.11 1.14591561 70.13 27.21% -68.02%
Z 60 53.54 1.120657452 38.63 -35.62% 89.04%
1987 Price/Upside 1988 Price Change Simulated put gain
AC 84.13 64.2 1.310436137 -100.00% 250.00% 37.79%
ALD 40.13 30.26 1.326173166 28.25 -29.60% 74.01%
AXP 57.5 22.17 2.593594948 22.38 -61.08% 152.70%
BS 6.25 3.61 1.731301939 16.75 168.00% -100.00%
CHV 45.38 17.72 2.560948081 39.63 -12.67% 31.68%
GE 86 68.66 1.252548791 44.13 -48.69% 121.72%
IP 75.13 66.08 1.136955206 42.25 -43.76% 109.41%
MCD 60.75 41.65 1.458583433 44 -27.57% 68.93%
N 11.75 7.29 1.611796982 -100.00% 250.00% ?
OI 53 42.42 1.249410655 -100.00% 250.00% ?
PG 76.38 61.37 1.244582043 85.38 11.78% -29.46%
TX 35.88 12.25 2.928979592 37.25 3.82% -9.55%
WX 55.75 50.79 1.097657019 49.75 -10.76% 26.91%
X 21.5 12.08 1.779801325 29.75 38.37% -95.93%
XON 70.13 51.34 1.36599143 38.13 -45.63% 114.07%
Z 38.63 36.45 1.059807956 34.5 -10.69% 26.73%
1988 Price/Upside 1989 Price Change Simulated put gain
PG 85.38 82.27 1.037802358 87 1.90% -4.74% -33.51%
TX 37.25 30.09 1.237952808 51.13 37.26% -100.00%
X 29.75 12.08 2.462748344 29.25 -1.68% 4.20%
1989 Price/Upside 1990 Price Change Simulated put gain
CHV 45.75 42.68 1.071930647 67.75 48.09% -100.00% -31.57%
NAV 5.38 1.17 4.598290598 3.88 -27.88% 69.70%
TX 51.13 29.17 1.752828248 58.88 15.16% -37.89%
X 29.25 27.08 1.080132939 35.75 22.22% -55.56%
XON 44 30.09 1.462279827 50 13.64% -34.09%
1990 Price/Upside 1991 Price Change Simulated put gain
BS 18.5 13.64 1.356304985 14.75 -20.27% 50.68% 28.08%
CHV 67.75 52.26 1.296402602 72.63 7.20% -18.01%
GT 43.54 40.05 1.087141074 18.88 -56.64% 141.59%
KO 77.25 73.5 1.051020408 46.5 -39.81% 99.51%
MO 41.63 38.46 1.082423297 51.75 24.31% -60.77%
NAV 3.88 1.17 3.316239316 2.25 -42.01% 105.03%
PG 70.25 58.32 1.204561043 86.63 23.32% -58.29%
TX 58.88 40.62 1.44953225 60.5 2.75% -6.88%
X 35.75 27.08 1.320162482 30.5 -14.69% 36.71%
XON 50 37.69 1.326611833 51.75 3.50% -8.75%
1991 Price/Upside 1992 Price Change Simulated put gain
BS 14.75 8.6 1.715116279 14 -5.08% 12.71% -20.25%
CHV 72.63 68.48 1.060601636 69 -5.00% 12.49%
GM 34.38 27.81 1.236245955 28.88 -16.00% 39.99%
GT 18.88 12.89 1.464701319 53.5 183.37% -100.00%
PG 86.63 82.95 1.044364075 93.88 8.37% -20.92%
PRM 8.5 8.49 1.001177856 -100.00% 250.00% ?
TX 60.5 50.53 1.19730853 61.25 1.24% -3.10%
UK 16.38 14.75 1.110508475 20.25 23.63% -59.07%
XON 51.75 43.49 1.189928719 60.88 17.64% -44.11%
1992 Price/Upside 1993 Price Change Simulated put gain
CHV 69 49.42 1.396195872 69.5 0.72% -1.81% 17.90%
DD 46.63 35.94 1.297440178 47.13 1.07% -2.68%
GT 53.5 47.7 1.121593291 68.38 27.81% -69.53%
IP 70.75 51.33 1.378336256 66.63 -5.82% 14.56%
JPM 68.63 67.95 1.010007358 65.75 -4.20% 10.49%
KO 80.25 69.61 1.152851602 41.88 -47.81% 119.53%
MMM 95.25 85.4 1.115339578 100.63 5.65% -14.12%
PG 93.88 78.6 1.194402036 53.63 -42.87% 107.18%
TX 61.25 39.66 1.544377206 59.75 -2.45% 6.12%
UTX 54.25 46.4 1.169181034 48.13 -11.28% 28.20%
XON 60.88 41.2 1.477669903 61.13 0.41% -1.03%
1993 Price/Upside 1994 Price Change Simulated put gain
ALD 60.5 59.4 1.018518519 79 30.58% -76.45% -43.87%
BS 16 4.02 3.980099502 20.38 27.38% -68.44%
CHV 69.5 68.17 1.019510048 87.13 25.37% -63.42%
GM 32.25 21.18 1.52266289 54.88 70.17% -100.00%
IP 66.63 52.61 1.266489261 67.75 1.68% -4.20%
PG 53.63 50.69 1.057999605 55.63 3.73% -9.32%
TX 59.75 54 1.106481481 64.75 8.37% -20.92%
XON 61.13 48.5 1.260412371 63.13 3.27% -8.18%
1994 Price/Upside 1995 Price Change Simulated put gain
AA 69.38 15.59 4.450288647 86.63 24.86% -62.16% 16.96%
ALD 79 72.42 1.090858879 34 -56.96% 142.41%
BA 43.25 28.81 1.501214856 47 8.67% -21.68%
BS 20.38 10.71 1.902894491 18 -11.68% 29.20%
GM 54.88 26.27 2.08907499 42.13 -23.23% 58.08%
IBM 56.5 52.09 1.084661163 73.5 30.09% -75.22%
IP 67.75 39.74 1.704831404 75.38 11.26% -28.15%
MMM 108.75 107.44 1.012192852 53.38 -50.91% 127.29%
PG 55.63 54.91 1.013112366 62 11.45% -28.63%
S 57 48.25 1.18134715 46 -19.30% 48.25%
TX 64.75 54.9 1.179417122 59.88 -7.52% 18.80%
UK 22.38 21.23 1.054168629 29.38 31.28% -78.19%
UTX 62 55.02 1.126862959 62.88 1.42% -3.55%
WX 14.13 2.66 5.312030075 12.25 -13.31% 33.26%
XON 63.13 46.88 1.346629693 60.75 -3.77% 9.42%
Z 25.38 15.96 1.590225564 15 -40.90% 102.25%
1995 Price/Upside 1996 Price Change Simulated put gain
AA 86.63 44.61 1.941941269 52.88 -38.96% 97.40% -17.34%
BA 47 31.12 1.510282776 78.38 66.77% -100.00%
GM 42.13 40.75 1.033865031 52.88 25.52% -63.79%
IP 75.38 68.79 1.095798808 37.88 -49.75% 124.37%
TX 59.88 55.91 1.071006975 78.5 31.10% -77.74%
WX 12.25 10.93 1.120768527 16.38 33.71% -84.29%

I know this is ugly, but you can table it in Excel.

The bottom line is, you get close to a 13% arithmetic average on the put simulation through 1995. Not so hot. I tried cut-offs (only taking the top 4, etc) but they didn't seem to help the returns.

Not sure what to make of this, except that markets go up more than they go down.

David
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