Name: Srijeeta Enrollment No: 21BSPHH01C1283

Mutual Fund Name: Franklin India Blue

Date Portfolio NAV Portfolio Returns Day Portfolio Retunrs Cumulative Probability
01-Sep-2021 16.194
02-Sep-2021 16.352 0.971% 1 4.40% 0.40%
03-Sep-2021 16.364 0.073% 2 2.39% 0.81%
04-Sep-2021 16.12 -1.502% 3 2.01% 1.21%
07-Sep-2021 16.084 -0.224% 4 2.01% 1.62%
08-Sep-2021 15.996 -0.549% 5 1.93% 2.02%
09-Sep-2021 15.932 -0.401% 6 1.85% 2.43%
10-Sep-2021 16.114 1.136% 7 1.76% 2.83%
11-Sep-2021 16.157 0.266% 8 1.65% 3.24%
14-Sep-2021 16.364 1.273% 9 1.64% 3.64%
15-Sep-2021 16.533 1.027% 10 1.63% 4.05%
16-Sep-2021 16.655 0.735% 11 1.62% 4.45%
17-Sep-2021 16.564 -0.548% 12 1.54% 4.86%
18-Sep-2021 16.547 -0.103% 13 1.46% 5.26%
21-Sep-2021 16.06 -2.987% 14 1.45% 5.67%
22-Sep-2021 15.913 -0.920% 15 1.38% 6.07%
23-Sep-2021 15.89 -0.145% 16 1.27% 6.48%
24-Sep-2021 14.849 -6.776% 17 1.23% 6.88%
25-Sep-2021 15.151 2.013% 18 1.23% 7.29%
28-Sep-2021 15.434 1.851% 19 1.22% 7.69%
29-Sep-2021 15.465 0.201% 20 1.20% 8.10%
30-Sep-2021 15.479 0.090% 21 1.20% 8.50%
01-Oct-2021 15.622 0.920% 22 1.20% 8.91%
05-Oct-2021 15.634 0.077% 23 1.18% 9.31%
06-Oct-2021 15.737 0.657% 24 1.18% 9.72%
07-Oct-2021 15.759 0.140% 25 1.17% 10.12%
08-Oct-2021 15.834 0.475% 26 1.17% 10.53%
09-Oct-2021 15.856 0.139% 27 1.16% 10.93%
12-Oct-2021 15.856 0.000% 28 1.15% 11.34%
13-Oct-2021 15.835 -0.133% 29 1.15% 11.74%
14-Oct-2021 15.927 0.579% 30 1.14% 12.15%
15-Oct-2021 15.638 -1.831% 31 1.12% 12.55%
16-Oct-2021 15.797 1.012% 32 1.08% 12.96%
19-Oct-2021 15.896 0.625% 33 1.08% 13.36%
20-Oct-2021 15.927 0.195% 34 1.07% 13.77%
21-Oct-2021 15.987 0.376% 35 1.05% 14.17%
22-Oct-2021 15.991 0.025% 36 1.05% 14.57%
23-Oct-2021 16.081 0.561% 37 1.04% 14.98%
26-Oct-2021 15.87 -1.321% 38 1.04% 15.38%
27-Oct-2021 16.042 1.078% 39 1.03% 15.79%
28-Oct-2021 15.872 -1.065% 40 1.03% 16.19%
29-Oct-2021 15.83 -0.265% 41 1.02% 16.60%
30-Oct-2021 15.839 0.057% 42 1.01% 17.00%
02-Nov-2021 15.936 0.611% 43 0.98% 17.41%
03-Nov-2021 16.102 1.036% 44 0.97% 17.81%
04-Nov-2021 16.213 0.687% 45 0.96% 18.22%
05-Nov-2021 16.481 1.639% 46 0.96% 18.62%
06-Nov-2021 16.588 0.647% 47 0.94% 19.03%
09-Nov-2021 16.792 1.222% 48 0.92% 19.43%
10-Nov-2021 16.763 -0.173% 49 0.92% 19.84%
11-Nov-2021 16.943 1.068% 50 0.90% 20.24%
12-Nov-2021 16.946 0.018% 51 0.90% 20.65%
13-Nov-2021 17.048 0.600% 52 0.90% 21.05%
17-Nov-2021 17.249 1.172% 53 0.89% 21.46%
18-Nov-2021 17.364 0.664% 54 0.89% 21.86%
19-Nov-2021 17.134 -1.333% 55 0.89% 22.27%
20-Nov-2021 17.299 0.958% 56 0.88% 22.67%
21-Nov-2021 17.366 0.387% 57 0.88% 23.08%
24-Nov-2021 17.52 0.883% 58 0.88% 23.48%
25-Nov-2021 17.225 -1.698% 59 0.84% 23.89%
26-Nov-2021 17.406 1.045% 60 0.84% 24.29%
27-Nov-2021 17.534 0.733% 61 0.81% 24.70%
01-Dec-2021 17.672 0.784% 62 0.80% 25.10%
02-Dec-2021 17.723 0.288% 63 0.80% 25.51%
03-Dec-2021 17.706 -0.096% 64 0.79% 25.91%
04-Dec-2021 17.876 0.956% 65 0.78% 26.32%
07-Dec-2021 17.935 0.330% 66 0.77% 26.72%
08-Dec-2021 17.995 0.334% 67 0.76% 27.13%
09-Dec-2021 18.082 0.482% 68 0.76% 27.53%
10-Dec-2021 17.999 -0.460% 69 0.75% 27.94%
11-Dec-2021 18.018 0.106% 70 0.74% 28.34%
14-Dec-2021 18.108 0.498% 71 0.74% 28.74%
15-Dec-2021 18.113 0.028% 72 0.73% 29.15%
16-Dec-2021 18.276 0.896% 73 0.73% 29.55%
17-Dec-2021 18.328 0.284% 74 0.71% 29.96%
18-Dec-2021 18.357 0.158% 75 0.71% 30.36%
21-Dec-2021 17.794 -3.115% 76 0.70% 30.77%
22-Dec-2021 17.925 0.734% 77 0.70% 31.17%
23-Dec-2021 18.219 1.627% 78 0.69% 31.58%
24-Dec-2021 18.335 0.635% 79 0.69% 31.98%
28-Dec-2021 18.508 0.939% 80 0.67% 32.39%
29-Dec-2021 18.571 0.340% 81 0.66% 32.79%
30-Dec-2021 18.627 0.301% 82 0.66% 33.20%
31-Dec-2021 18.656 0.156% 83 0.65% 33.60%
01-Jan-2022 18.787 0.700% 84 0.65% 34.01%
04-Jan-2022 18.957 0.901% 85 0.64% 34.41%
05-Jan-2022 19.102 0.762% 86 0.63% 34.82%
06-Jan-2022 19.123 0.110% 87 0.63% 35.22%
07-Jan-2022 19.243 0.626% 88 0.63% 35.63%
08-Jan-2022 19.465 1.147% 89 0.62% 36.03%
11-Jan-2022 19.588 0.630% 90 0.61% 36.44%
12-Jan-2022 19.67 0.418% 91 0.61% 36.84%
13-Jan-2022 19.63 -0.204% 92 0.60% 37.25%
14-Jan-2022 19.661 0.158% 93 0.58% 37.65%
15-Jan-2022 19.46 -1.028% 94 0.58% 38.06%
18-Jan-2022 19.156 -1.575% 95 0.58% 38.46%
19-Jan-2022 19.468 1.616% 96 0.57% 38.87%
20-Jan-2022 19.669 1.027% 97 0.56% 39.27%
21-Jan-2022 19.495 -0.889% 98 0.50% 39.68%
22-Jan-2022 19.18 -1.629% 99 0.50% 40.08%
25-Jan-2022 19.028 -0.796% 100 0.50% 40.49%
27-Jan-2022 18.747 -1.488% 101 0.49% 40.89%
28-Jan-2022 18.631 -0.621% 102 0.49% 41.30%
29-Jan-2022 18.498 -0.716% 103 0.48% 41.70%
01-Feb-2022 19.33 4.400% 104 0.47% 42.11%
02-Feb-2022 19.798 2.392% 105 0.43% 42.51%
03-Feb-2022 20.044 1.235% 106 0.42% 42.91%
04-Feb-2022 20.222 0.884% 107 0.42% 43.32%
05-Feb-2022 20.279 0.281% 108 0.41% 43.72%
08-Feb-2022 20.675 1.934% 109 0.40% 44.13%
09-Feb-2022 20.725 0.242% 110 0.40% 44.53%
10-Feb-2022 20.721 -0.019% 111 0.39% 44.94%
11-Feb-2022 20.805 0.405% 112 0.39% 45.34%
12-Feb-2022 20.797 -0.038% 113 0.38% 45.75%
15-Feb-2022 21.103 1.461% 114 0.37% 46.15%
16-Feb-2022 21.1 -0.014% 115 0.34% 46.56%
17-Feb-2022 21.093 -0.033% 116 0.33% 46.96%
18-Feb-2022 21.118 0.118% 117 0.33% 47.37%
19-Feb-2022 20.845 -1.301% 118 0.33% 47.77%
22-Feb-2022 20.501 -1.664% 119 0.33% 48.18%
23-Feb-2022 20.668 0.811% 120 0.32% 48.58%
24-Feb-2022 20.917 1.198% 121 0.31% 48.99%
25-Feb-2022 21.085 0.800% 122 0.30% 49.39%
26-Feb-2022 20.588 -2.385% 123 0.29% 49.80%
01-Mar-2022 20.837 1.202% 124 0.28% 50.20%
02-Mar-2022 21.021 0.879% 125 0.28% 50.61%
03-Mar-2022 21.371 1.651% 126 0.27% 51.01%
04-Mar-2022 21.301 -0.328% 127 0.27% 51.42%
05-Mar-2022 20.981 -1.514% 128 0.25% 51.82%
08-Mar-2022 21.087 0.504% 129 0.25% 52.23%
09-Mar-2022 21.165 0.369% 130 0.24% 52.63%
10-Mar-2022 21.289 0.584% 131 0.20% 53.04%
12-Mar-2022 21.128 -0.759% 132 0.19% 53.44%
15-Mar-2022 21.028 -0.474% 133 0.19% 53.85%
16-Mar-2022 21.066 0.181% 134 0.18% 54.25%
17-Mar-2022 20.712 -1.695% 135 0.17% 54.66%
18-Mar-2022 20.417 -1.435% 136 0.16% 55.06%
19-Mar-2022 20.619 0.985% 137 0.16% 55.47%
22-Mar-2022 20.646 0.131% 138 0.16% 55.87%
23-Mar-2022 20.772 0.608% 139 0.15% 56.28%
24-Mar-2022 19.611 -5.752% 140 0.14% 56.68%
25-Mar-2022 19.361 -1.283% 141 0.14% 57.09%
26-Mar-2022 19.643 1.446% 142 0.13% 57.49%
30-Mar-2022 20.042 2.011% 143 0.13% 57.89%
31-Mar-2022 20.013 -0.145% 144 0.12% 58.30%
01-Apr-2022 20.194 0.900% 145 0.12% 58.70%
05-Apr-2022 19.826 -1.839% 146 0.11% 59.11%
06-Apr-2022 19.838 0.061% 147 0.11% 59.51%
07-Apr-2022 20.074 1.183% 148 0.10% 59.92%
08-Apr-2022 20.212 0.685% 149 0.09% 60.32%
09-Apr-2022 20.179 -0.163% 150 0.08% 60.73%
12-Apr-2022 19.325 -4.324% 151 0.07% 61.13%
13-Apr-2022 19.551 1.163% 152 0.06% 61.54%
15-Apr-2022 19.599 0.245% 153 0.06% 61.94%
16-Apr-2022 19.754 0.788% 154 0.05% 62.35%
19-Apr-2022 19.473 -1.433% 155 0.05% 62.75%
20-Apr-2022 19.452 -0.108% 156 0.03% 63.16%
22-Apr-2022 19.528 0.390% 157 0.03% 63.56%
23-Apr-2022 19.482 -0.236% 158 0.03% 63.97%
26-Apr-2022 19.702 1.123% 159 0.02% 64.37%
27-Apr-2022 19.945 1.226% 160 0.01% 64.78%
28-Apr-2022 20.153 1.037% 161 0.00% 65.18%
29-Apr-2022 20.159 0.030% 162 0.00% 65.59%
30-Apr-2022 19.907 -1.258% 163 -0.01% 65.99%
03-May-2022 19.973 0.331% 164 -0.01% 66.40%
04-May-2022 19.827 -0.734% 165 -0.02% 66.80%
05-May-2022 20.037 1.054% 166 -0.03% 67.21%
06-May-2022 20.18 0.711% 167 -0.04% 67.61%
07-May-2022 20.215 0.173% 168 -0.04% 68.02%
10-May-2022 20.401 0.916% 169 -0.09% 68.42%
11-May-2022 20.353 -0.236% 170 -0.10% 68.83%
12-May-2022 20.176 -0.873% 171 -0.10% 69.23%
14-May-2022 20.019 -0.781% 172 -0.11% 69.64%
17-May-2022 20.375 1.763% 173 -0.11% 70.04%
18-May-2022 20.692 1.544% 174 -0.12% 70.45%
19-May-2022 20.718 0.126% 175 -0.13% 70.85%
20-May-2022 20.646 -0.348% 176 -0.14% 71.26%
21-May-2022 20.889 1.170% 177 -0.14% 71.66%
24-May-2022 20.98 0.435% 178 -0.15% 72.06%
25-May-2022 20.99 0.048% 179 -0.16% 72.47%
26-May-2022 21.042 0.247% 180 -0.17% 72.87%
27-May-2022 21.067 0.119% 181 -0.20% 73.28%
28-May-2022 21.036 -0.147% 182 -0.20% 73.68%
31-May-2022 21.198 0.767% 183 -0.22% 74.09%
01-Jun-2022 21.123 -0.354% 184 -0.22% 74.49%
02-Jun-2022 21.226 0.486% 185 -0.24% 74.90%
03-Jun-2022 21.456 1.078% 186 -0.24% 75.30%
04-Jun-2022 21.433 -0.107% 187 -0.24% 75.71%
07-Jun-2022 21.624 0.887% 188 -0.25% 76.11%
08-Jun-2022 21.694 0.323% 189 -0.26% 76.52%
09-Jun-2022 21.534 -0.740% 190 -0.29% 76.92%
10-Jun-2022 21.755 1.021% 191 -0.33% 77.33%
11-Jun-2022 21.814 0.271% 192 -0.33% 77.73%
14-Jun-2022 21.812 -0.009% 193 -0.35% 78.14%
15-Jun-2022 22.006 0.885% 194 -0.35% 78.54%
16-Jun-2022 21.873 -0.606% 195 -0.35% 78.95%
17-Jun-2022 21.724 -0.684% 196 -0.38% 79.35%
18-Jun-2022 21.661 -0.290% 197 -0.40% 79.76%
21-Jun-2022 21.732 0.327% 198 -0.46% 80.16%
22-Jun-2022 21.765 0.152% 199 -0.46% 80.57%
23-Jun-2022 21.659 -0.488% 200 -0.47% 80.97%
24-Jun-2022 21.782 0.566% 201 -0.49% 81.38%
25-Jun-2022 21.965 0.837% 202 -0.52% 81.78%
28-Jun-2022 22.075 0.500% 203 -0.55% 82.19%
29-Jun-2022 21.997 -0.354% 204 -0.55% 82.59%
30-Jun-2022 22.038 0.186% 205 -0.57% 83.00%
01-Jul-2022 206 83.40%
21.993 -0.204% -0.57%
02-Jul-2022 22.137 0.653% 207 -0.61% 83.81%
05-Jul-2022 22.293 0.702% 208 -0.62% 84.21%
06-Jul-2022 22.283 -0.045% 209 -0.67% 84.62%
07-Jul-2022 22.451 0.751% 210 -0.68% 85.02%
08-Jul-2022 22.301 -0.670% 211 -0.72% 85.43%
09-Jul-2022 22.395 0.421% 212 -0.73% 85.83%
12-Jul-2022 22.562 0.743% 213 -0.74% 86.23%
13-Jul-2022 22.652 0.398% 214 -0.76% 86.64%
14-Jul-2022 22.722 0.309% 215 -0.78% 87.04%
15-Jul-2022 22.874 0.667% 216 -0.80% 87.45%
16-Jul-2022 22.877 0.013% 217 -0.83% 87.85%
19-Jul-2022 22.689 -0.825% 218 -0.87% 88.26%
20-Jul-2022 22.445 -1.081% 219 -0.89% 88.66%
22-Jul-2022 22.717 1.205% 220 -0.92% 89.07%
23-Jul-2022 22.828 0.487% 221 -1.03% 89.47%
26-Jul-2022 22.851 0.101% 222 -1.07% 89.88%
27-Jul-2022 22.72 -0.575% 223 -1.08% 90.28%
28-Jul-2022 22.645 -0.331% 224 -1.26% 90.69%
29-Jul-2022 22.826 0.796% 225 -1.28% 91.09%
30-Jul-2022 22.999 0.755% 226 -1.30% 91.50%
02-Aug-2022 23.272 1.180% 227 -1.32% 91.90%
03-Aug-2022 23.468 0.839% 228 -1.33% 92.31%
04-Aug-2022 23.409 -0.252% 229 -1.43% 92.71%
05-Aug-2022 23.388 -0.090% 230 -1.43% 93.12%
06-Aug-2022 23.254 -0.575% 231 -1.49% 93.52%
09-Aug-2022 23.226 -0.120% 232 -1.50% 93.93%
10-Aug-2022 23.137 -0.384% 233 -1.51% 94.33%
11-Aug-2022 23.016 -0.524% 234 -1.57% 94.74%
12-Aug-2022 23.181 0.714% 235 -1.57% 95.14%
13-Aug-2022 23.276 0.409% 236 -1.63% 95.55%
16-Aug-2022 23.17 -0.456% 237 -1.66% 95.95%
17-Aug-2022 23.305 0.581% 238 -1.69% 96.36%
18-Aug-2022 23.25 -0.236% 239 -1.70% 96.76%
20-Aug-2022 22.887 -1.574% 240 -1.83% 97.17%
23-Aug-2022 22.836 -0.223% 241 -1.84% 97.57%
24-Aug-2022 23.041 0.894% 242 -2.39% 97.98%
25-Aug-2022 23.053 0.052% 243 -2.99% 98.38%
26-Aug-2022 23.054 0.004% 244 -3.11% 98.79%
27-Aug-2022 23.202 0.640% 245 -4.32% 99.19%
30-Aug-2022 23.524 1.378% 246 -5.75% 99.60%
31-Aug-2022 23.797 1.154% 247 -6.78% 100.00%
ndia Blue Chip Fund
TotalNumber of trading Days 247

1% Abnormal Value at Risk using Historical Method

Conditions Date
Portfolio Value (AUM) as on31st Aug 2022 9592700000.00
99% Normal Confidence Level 99%
Conditions
Value at Risk -55151177.79
Probable Value of the Portfolio 9537548822.21
9-Aug-22

Maximum loss that can occur in one day which we can say with
99% confidence level is 97041661.04

10-Aug-22

Date Spot price

20-Aug-22 679.40
18-Aug-22 720.05
17-Aug-22 730.00
16-Aug-22 736.80
11-Aug-22
13-Aug-22 760.00
12-Aug-22 831.95
11-Aug-22 855.90
10-Aug-22 878.95
9-Aug-22 889.00
6-Aug-22 900.60
12-Aug-22
5-Aug-22 906.50
4-Aug-22 906.95
3-Aug-22 915.45
2-Aug-22 918.60
30-Jul-22 918.00
13-Aug-22
Average 836.54

Additional Informa
Interest Rate (91
Dividend Yie
Time to
Volatility(Stand
 Option Data of AUROBINDO PHARMA LIMITED Lower Bound

Option Moneyness of Option

Expiry Date Spot Price Strike Price Option Type Spot Price
Type options Premium
750 ITM 155.3 Call Option 889.00
CE 830 NTM 98.3 Call Option 889.00
1000 OTM 27.9 Call Option 889.00
30-Sep-22 889.00
1000 ITM 134.8 Put Option 889.00
PE 830 NTM 36.1 Put Option 889.00
750 OTM 13.55 Put Option 889.00
750 ITM 147.85 Call Option 878.95
CE 830 NTM 92 Call Option 878.95
1000 OTM 24.9 Call Option 878.95
30-Sep-22 878.95
1000 ITM 140.1 Put Option 878.95
PE 830 NTM 38.1 Put Option 878.95
750 OTM 14.4 Put Option 878.95
750 ITM 128.45 Call Option 855.90
CE 830 NTM 76.6 Call Option 855.90
1000 OTM 18.6 Call Option 855.90
30-Sep-22 855.9
1000 ITM 156.9 Put Option 855.90
PE 830 NTM 45.8 Put Option 855.90
750 OTM 18.05 Put Option 855.90
750 ITM 85.2 Call Option 831.95
CE 830 NTM 58.65 Call Option 831.95
1000 OTM 12.25 Call Option 831.95
30-Sep-22 831.95
1000 ITM 181 Put Option 831.95
PE 830 NTM 58.2 Put Option 831.95
750 OTM 15.8 Put Option 831.95
750 ITM 51.55 Call Option 760.00
CE 830 NTM 30.25 Call Option 760.00
1000 OTM 5.2 Call Option 760.00
30-Sep-22 760
1000 ITM 238.45 Put Option 760.00
PE 830 NTM 94.85 Put Option 760.00
750 OTM 37.35 Put Option 760.00

l Information : Formulas :
st Rate (91Day T-Bill Rate) 3.30% For European Call Option
vidend Yield On stocks 0.54
Lower Boundary
Time to Maturity 3 Months
tility(Standard Deviation) 10.79
For European Put Option

Lower Boundary
 Option Derivative of AUROBINDO
Lower Boundary for European Call and Put Option

Lower Boundary for Lower Boundary for Lower Boundary for Overpriced /
Date
European Call / Put European Call Option European Put Option Underpriced
145.16 145.16 Overpriced
65.82 65.82 Overpriced
0 Not Executed Overpriced
9-Aug-22
103 102.783937856765 Overpriced
0 Not Executed Overpriced
0.00 Not Executed Overpriced
135.11 135.11 Overpriced
55.77 55.77 Overpriced
0 Not Executed Overpriced
10-Aug-22
113 112.833937856765 Overpriced
0 Not Executed Overpriced
0.00 Not Executed Overpriced
112.06 112.06 Overpriced
32.72 32.72 Overpriced
0 Not Executed Overpriced
11-Aug-22
136 135.883937856765 Overpriced
0 Not Executed Overpriced
0.00 Not Executed Overpriced
88.11 88.11 Underpriced
8.77 8.77 Overpriced
0 Not Executed Overpriced
12-Aug-22
160 159.833937856765 Overpriced
0 Not Executed Overpriced
0.00 Not Executed Overpriced
16.16 16.16 Overpriced
0.00 Not Executed Overpriced
0 Not Executed Overpriced
13-Aug-22
232 231.783937856765 Overpriced
63 63.1806684211153 Overpriced
0.00 Not Executed Overpriced

Formulas :
Portfolio 1:
S - Ke-rT When S ≥ K Buy Call Option and c
Not Executed When S < K Value of Portfolio 1

Portfolio 2:
Ke - S
-rT
When S < K Buy Put Optio
Not Executed When S ≥ K Value of Portfolio 1
AUROBINDO PHARMA LIMITED
Put Call Parity

Value of Value of Observation for Observation for

Stike Price Date Option Type Spot Price
Portfolio 1 Portfolio 2 Portfolio 1 Portfolio 2
Overprice, Sell Underprice, Buy Call Option 889.00
1000.00 1147.08 1023.80
Portfolio1 Portfolio2 Call Option 889.00
Underprice, Buy Overprice, Sell Call Option 889.00
830.00 921.48 925.10 9-Aug-22
Portfolio1 Portfolio2 Put Option 889.00
Underprice, Buy Overprice, Sell Put Option 889.00
750.00 771.74 902.55
Portfolio1 Portfolio2 Put Option 889.00
Overprice, Sell Underprice, Buy Call Option 878.95
1000.00 1139.63 1019.05
Portfolio1 Portfolio2 Call Option 878.95
Underprice, Buy Overprice, Sell Call Option 878.95
830.00 915.18 917.05 10-Aug-22
Portfolio1 Portfolio2 Put Option 878.95
Underprice, Buy Overprice, Sell Put Option 878.95
750.00 768.74 893.35
Portfolio1 Portfolio2 Put Option 878.95
Overprice, Sell Underprice, Buy Call Option 855.90
1000.00 1120.23 1012.80
Portfolio1 Portfolio2 Call Option 855.90
Underprice, Buy Overprice, Sell Call Option 855.90
830.00 899.78 901.70 11-Aug-22
Portfolio1 Portfolio2 Put Option 855.90
Underprice, Buy Overprice, Sell Put Option 855.90
750.00 762.44 873.95
Portfolio1 Portfolio2 Put Option 855.90
Overprice, Sell Underprice, Buy Call Option 831.95
1000.00 1076.98 1012.95
Portfolio1 Portfolio2 Call Option 831.95
Underprice, Buy Overprice, Sell Call Option 831.95
830.00 881.83 890.15 12-Aug-22
Portfolio1 Portfolio2 Put Option 831.95
Underprice, Buy Overprice, Sell Put Option 831.95
750.00 756.09 847.75 Portfolio1 Portfolio2 Put Option 831.95
Overprice, Sell Underprice, Buy Call Option 760
1000.00 1043.33 998.45
Portfolio1 Portfolio2 Call Option 760
Underprice, Buy Overprice, Sell Call Option 760
830.00 853.43 854.85 13-Aug-22
Portfolio1 Portfolio2 Put Option 760
Underprice, Buy Overprice, Sell Put Option 760
750.00 749.04 797.35
Portfolio1 Portfolio2 Put Option 760

s: Formulas :

Buy Call Option and cash equivalent of PV of Strike Price

of Portfolio 1 c + Ke-rT

Buy Put Option and buy underlying asset

of Portfolio 1 p+S
 Black n Sholes Model

Theoretical Option Theoretical Call Overpriced /

Strike Price d1 d2 Theoretical Put Premium
Premium Premium Underpriced
750.00 2.7055211 -2.689479 882.9223 882.9223 Underpriced
830.00 2.6867348 -2.708265 882.6065 882.6065 Underpriced
1000.00 2.6521973 -2.742803 881.9879 881.9879 Underpriced
1,000.00 2.6521973 -2.742803 1128.1211 1128.1211 Underpriced
830.00 2.6867348 -2.708265 935.7671 935.7671 Underpriced
750.00 2.7055211 -2.689479 845.2722 845.2722 Underpriced
750.00 2.7034138 -2.691586 872.9067 872.9067 Underpriced
830.00 2.6846274 -2.710373 872.5929 872.5929 Underpriced
1,000.00 2.6500899 -2.74491 871.9782 871.9782 Underpriced
1,000.00 2.6500899 -2.74491 1128.1614 1128.1614 Underpriced
830.00 2.6846274 -2.710373 935.8035 935.8035 Underpriced
750.00 2.7034138 -2.691586 845.3066 845.3066 Underpriced
750.00 2.698488 -2.696512 849.9364 849.9364 Underpriced
830.00 2.6797016 -2.715298 849.6272 849.6272 Underpriced
1,000.00 2.6451642 -2.749836 849.0216 849.0216 Underpriced
1,000.00 2.6451642 -2.749836 1128.2548 1128.2548 Underpriced
830.00 2.6797016 -2.715298 935.8878 935.8878 Underpriced
750.00 2.698488 -2.696512 845.3863 845.3863 Underpriced
750.00 2.6932274 -2.701773 826.0705 826.0705 Underpriced
830.00 2.674441 -2.720559 825.7662 825.7662 Underpriced
1,000.00 2.6399035 -2.755096 825.1701 825.1701 Underpriced
1,000.00 2.6399035 -2.755096 1128.3533 1128.3533 Underpriced
830.00 2.674441 -2.720559 935.9767 935.9767 Underpriced
750.00 2.6932274 -2.701773 845.4704 845.4704 Underpriced
750.00 2.6764611 -2.718539 754.3814 754.3814 Underpriced
830.00 2.6576747 -2.737325 754.0922 754.0922 Underpriced
1,000.00 2.6231373 -2.771863 753.5259 753.5259 Underpriced
1000 2.6231373 -2.771863 1128.6591 1128.6591 Underpriced
830.00 2.6576747 -2.737325 936.2527 936.2527 Underpriced
750.00 2.6764611 -2.718539 845.7313 845.7313 Underpriced

Call Option Price, c = S x N(d1) – Ke-(r-q)T x N(d2)

Put Option Price, p = Ke-(r-q)T x N(-d2) – S x N(-d1)
 Name: MILAN MEHER Enrollment Number: 21BSPHH01C0677
NIPPON INDIA LARGE CAP

Date NAV DAILY RETURN Day Portfolio Return

9/1/2022 83.47
1
9/2/2022 84.04 0.68% 2 4.82%
9/3/2022 83.79 -0.30% 3 2.66%
9/4/2022 82.55 -1.48% 4 2.40%
9/7/2022 82.39 -0.19% 5 2.15%
9/8/2022 82.14 -0.30% 6 2.14%
9/9/2022 81.71 -0.52% 7 2.08%
9/10/2022 82.8 1.33% 8 2.05%
9/11/2022 82.96 0.19% 9 1.81%
9/14/2022 83.72 0.92% 10 1.78%
9/15/2022 84.66 1.12% 11 1.75%
9/16/2022 85.36 0.83% 12 1.75%
9/17/2022 84.89 -0.55% 13 1.70%
9/18/2022 84.93 0.05% 14 1.70%
9/21/2022 82.45 -2.92% 15 1.69%
9/22/2022 81.94 -0.62% 16 1.67%
9/23/2022 81.68 -0.32% 17 1.56%
9/24/2022 79.43 -2.75% 18 1.56%
9/25/2022 81.34 2.40% 19 1.47%
9/28/2022 83.09 2.15% 20 1.44%
9/29/2022 82.86 -0.28% 21 1.41%
9/30/2022 83.17 0.37% 22 1.37%
10/1/2022 84.28 1.33% 23 1.36%
10/5/2022 84.6 0.38% 24 1.33%
10/6/2022 85.26 0.78% 25 1.33%
10/7/2022 85.56 0.35% 26 1.33%
10/8/2022 86.32 0.89% 27 1.27%
10/9/2022 86.74 0.49% 28 1.26%
10/12/2022 86.73 -0.01% 29 1.24%
10/13/2022 86.8 0.08% 30 1.18%
10/14/2022 87.06 0.30% 31 1.15%
10/15/2022 84.86 -2.53% 32 1.13%
10/16/2022 85.48 0.73% 33 1.12%
10/19/2022 86.11 0.74% 34 1.12%
10/20/2022 86.47 0.42% 35 1.11%
10/21/2022 86.62 0.17% 36 1.11%
10/22/2022 86.55 -0.08% 37 1.07%
10/23/2022 86.83 0.32% 38 1.07%
10/26/2022 85.71 -1.29% 39 1.06%
10/27/2022 87.14 1.67% 40 1.05%
10/28/2022 86.24 -1.03% 41 1.04%
10/29/2022 85.86 -0.44% 42 1.00%
10/30/2022 85.17 -0.80% 43 1.00%
11/2/2022 85.35 0.21% 44 0.99%
11/3/2022 86.3 1.11% 45 0.99%
11/4/2022 86.97 0.78% 46 0.99%
11/5/2022 88.49 1.75% 47 0.96%
11/6/2022 89.27 0.88% 48 0.96%
11/9/2022 90.79 1.70% 49 0.96%
11/10/2022 91.33 0.59% 50 0.96%
11/11/2022 91.94 0.67% 51 0.96%
11/12/2022 91.74 -0.22% 52 0.93%
11/13/2022 92.23 0.53% 53 0.92%
11/17/2022 93.32 1.18% 54 0.92%
11/18/2022 93.84 0.56% 55 0.92%
11/19/2022 92.49 -1.44% 56 0.90%
11/20/2022 93.41 0.99% 57 0.89%
11/23/2022 94.02 0.65% 58 0.88%
11/24/2022 94.95 0.99% 59 0.88%
11/25/2022 93.24 -1.80% 60 0.85%
11/26/2022 94.22 1.05% 61 0.84%
11/27/2022 94.68 0.49% 62 0.83%
12/1/2022 95.63 1.00% 63 0.83%
12/2/2022 95.49 -0.15% 64 0.80%
12/3/2022 95.54 0.05% 65 0.79%
12/4/2022 96.55 1.06% 66 0.79%
12/7/2022 97.12 0.59% 67 0.78%
12/8/2022 97.09 -0.03% 68 0.78%
12/9/2022 98.02 0.96% 69 0.78%
12/10/2022 97.46 -0.57% 70 0.75%
12/11/2022 97.58 0.12% 71 0.74%
12/14/2022 97.93 0.36% 72 0.74%
12/15/2022 98.15 0.22% 73 0.73%
12/16/2022 99.05 0.92% 74 0.72%
12/17/2022 99.45 0.40% 75 0.72%
12/18/2022 99.54 0.09% 76 0.71%
12/21/2022 96.49 -3.06% 77 0.71%
12/22/2022 97.29 0.83% 78 0.70%
12/23/2022 98.62 1.37% 79 0.68%
12/24/2022 99.61 1.00% 80 0.67%
12/28/2022 100.33 0.72% 81 0.66%
12/29/2022 100.78 0.45% 82 0.66%
12/30/2022 101.23 0.45% 83 0.65%
12/31/2022 101.31 0.08% 84 0.65%
1/1/2021 101.43 0.12% 85 0.64%
1/4/2021 102.24 0.80% 86 0.62%
1/5/2021 102.91 0.66% 87 0.60%
1/6/2021 102.89 -0.02% 88 0.59%
1/7/2021 103.06 0.17% 89 0.59%
1/8/2021 104.51 1.41% 90 0.56%
1/11/2021 105.4 0.85% 91 0.53%
1/12/2021 105.94 0.51% 92 0.53%
1/13/2021 105.74 -0.19% 93 0.53%
1/14/2021 105.68 -0.06% 94 0.52%
1/15/2021 104.68 -0.95% 95 0.51%
1/18/2021 103.27 -1.35% 96 0.50%
1/19/2021 105.11 1.78% 97 0.49%
1/20/2021 105.94 0.79% 98 0.49%
1/21/2021 106.05 0.10% 99 0.46%
1/22/2021 104.59 -1.38% 100 0.45%
1/25/2021 103.61 -0.94% 101 0.45%
1/27/2021 101.33 -2.20% 102 0.45%
1/28/2021 100.56 -0.76% 103 0.42%
1/29/2021 99.35 -1.20% 104 0.42%
2/1/2021 104.14 4.82% 105 0.42%
2/2/2021 106.91 2.66% 106 0.40%
2/3/2021 107.87 0.90% 107 0.39%
2/4/2021 108.91 0.96% 108 0.38%
2/5/2021 108.25 -0.61% 109 0.38%
2/8/2021 109.84 1.47% 110 0.37%
2/9/2021 109.63 -0.19% 111 0.37%
2/10/2021 109.77 0.13% 112 0.36%
2/11/2021 110.16 0.36% 113 0.36%
2/12/2021 110.42 0.24% 114 0.35%
2/15/2021 112.14 1.56% 115 0.32%
2/16/2021 111.68 -0.41% 116 0.32%
2/17/2021 111.08 -0.54% 117 0.30%
2/18/2021 110.07 -0.91% 118 0.28%
2/19/2021 108.65 -1.29% 119 0.27%
2/22/2021 106.43 -2.04% 120 0.27%
2/23/2021 106.99 0.53% 121 0.24%
2/24/2021 109.22 2.08% 122 0.24%
2/25/2021 109.8 0.53% 123 0.23%
2/26/2021 106.26 -3.22% 124 0.23%
3/1/2021 107.67 1.33% 125 0.23%
3/2/2021 108.86 1.11% 126 0.22%
3/3/2021 111.09 2.05% 127 0.21%
3/4/2021 110.44 -0.59% 128 0.21%
3/5/2021 109.06 -1.25% 129 0.19%
3/8/2021 109.01 -0.05% 130 0.19%
3/9/2021 109.77 0.70% 131 0.18%
3/10/2021 110.64 0.79% 132 0.17%
3/12/2021 109.73 -0.82% 133 0.17%
3/15/2021 108.68 -0.96% 134 0.17%
3/16/2021 108.58 -0.09% 135 0.13%
3/17/2021 107.12 -1.34% 136 0.12%
3/18/2021 105.62 -1.40% 137 0.12%
3/19/2021 106.83 1.15% 138 0.12%
3/22/2021 106.75 -0.07% 139 0.11%
3/23/2021 107.73 0.92% 140 0.10%
3/24/2021 105.84 -1.75% 141 0.10%
3/25/2021 104.39 -1.37% 142 0.09%
3/26/2021 105.72 1.27% 143 0.09%
3/30/2021 107.63 1.81% 144 0.08%
3/31/2021 106.93 -0.65% 145 0.08%
4/1/2021 108.14 1.13% 146 0.06%
4/5/2021 105.99 -1.99% 147 0.06%
4/6/2021 106.24 0.24% 148 0.05%
4/7/2021 107.56 1.24% 149 0.05%
4/8/2021 107.98 0.39% 150 0.05%
4/9/2021 107.93 -0.05% 151 0.03%
4/12/2021 103.77 -3.85% 152 0.03%
4/13/2021 105.26 1.44% 153 0.02%
4/15/2021 105.55 0.28% 154 0.01%
4/16/2021 105.77 0.21% 155 -0.01%
4/19/2021 104.01 -1.66% 156 -0.01%
4/20/2021 103.79 -0.21% 157 -0.02%
4/22/2021 104.41 0.60% 158 -0.03%
4/23/2021 104.04 -0.35% 159 -0.05%
4/26/2021 105.21 1.12% 160 -0.05%
4/27/2021 106.64 1.36% 161 -0.06%
4/28/2021 108.3 1.56% 162 -0.07%
4/29/2021 108.32 0.02% 163 -0.08%
4/30/2021 106.6 -1.59% 164 -0.09%
5/3/2021 106.78 0.17% 165 -0.09%
5/4/2021 105.91 -0.81% 166 -0.10%
5/5/2021 106.93 0.96% 167 -0.11%
5/6/2021 107.46 0.50% 168 -0.15%
5/7/2021 107.47 0.01% 169 -0.16%
5/10/2021 108.14 0.62% 170 -0.16%
5/11/2021 107.91 -0.21% 171 -0.19%
5/12/2021 107.5 -0.38% 172 -0.19%
5/14/2021 106.71 -0.73% 173 -0.19%
5/17/2021 108.99 2.14% 174 -0.19%
5/18/2021 110.9 1.75% 175 -0.21%
5/19/2021 110.65 -0.23% 176 -0.21%
5/20/2021 109.94 -0.64% 177 -0.22%
5/21/2021 111.81 1.70% 178 -0.23%
5/24/2021 112.23 0.38% 179 -0.24%
5/25/2021 112.35 0.11% 180 -0.24%
5/26/2021 113.07 0.64% 181 -0.25%
5/27/2021 113.49 0.37% 182 -0.27%
5/28/2021 113.21 -0.25% 183 -0.28%
5/31/2021 114.06 0.75% 184 -0.28%
6/1/2021 113.96 -0.09% 185 -0.30%
6/2/2021 114.22 0.23% 186 -0.30%
6/3/2021 115.22 0.88% 187 -0.31%
6/4/2021 115.04 -0.16% 188 -0.32%
6/7/2021 115.56 0.45% 189 -0.34%
6/8/2021 116.04 0.42% 190 -0.34%
6/9/2021 115.14 -0.78% 191 -0.35%
6/10/2021 116.24 0.96% 192 -0.37%
6/11/2021 116.45 0.18% 193 -0.38%
6/14/2021 116.56 0.09% 194 -0.40%
6/15/2021 117.4 0.72% 195 -0.41%
6/16/2021 116.74 -0.56% 196 -0.43%
6/17/2021 116.42 -0.27% 197 -0.44%
6/18/2021 116.23 -0.16% 198 -0.47%
6/21/2021 116.6 0.32% 199 -0.52%
6/22/2021 116.87 0.23% 200 -0.52%
6/23/2021 116.47 -0.34% 201 -0.54%
6/24/2021 117.3 0.71% 202 -0.55%
6/25/2021 118.39 0.93% 203 -0.56%
6/28/2021 118.45 0.05% 204 -0.57%
6/29/2021 118.01 -0.37% 205 -0.59%
6/30/2021 118.04 0.03% 206 -0.61%
7/1/2021 118.07 0.03% 207 -0.62%
7/2/2021 118.99 0.78% 208 -0.64%
7/5/2021 119.83 0.71% 209 -0.65%
7/6/2021 119.54 -0.24% 210 -0.73%
7/7/2021 120.04 0.42% 211 -0.75%
7/8/2021 119.14 -0.75% 212 -0.76%
7/9/2021 118.91 -0.19% 213 -0.78%
7/12/2021 119.23 0.27% 214 -0.78%
7/13/2021 120.01 0.65% 215 -0.80%
7/14/2021 120.33 0.27% 216 -0.81%
7/15/2021 120.95 0.52% 217 -0.82%
7/16/2021 121.02 0.06% 218 -0.82%
7/19/2021 120.07 -0.78% 219 -0.91%
7/20/2021 119.08 -0.82% 220 -0.94%
7/22/2021 120.58 1.26% 221 -0.95%
7/23/2021 121.47 0.74% 222 -0.96%
7/26/2021 121.35 -0.10% 223 -1.01%
7/27/2021 120.78 -0.47% 224 -1.03%
7/28/2021 120.26 -0.43% 225 -1.20%
7/29/2021 121.42 0.96% 226 -1.25%
7/30/2021 121.57 0.12% 227 -1.29%
8/2/2021 122.84 1.04% 228 -1.29%
8/3/2021 124.16 1.07% 229 -1.34%
8/4/2021 124.15 -0.01% 230 -1.35%
8/5/2021 123.73 -0.34% 231 -1.37%
8/6/2021 123.24 -0.40% 232 -1.38%
8/9/2021 123.36 0.10% 233 -1.40%
8/10/2021 122.98 -0.31% 234 -1.44%
8/11/2021 122.68 -0.24% 235 -1.48%
8/12/2021 123.71 0.84% 236 -1.59%
8/13/2021 124.28 0.46% 237 -1.66%
8/16/2021 123.93 -0.28% 238 -1.75%
8/17/2021 124.17 0.19% 239 -1.80%
8/18/2021 124.03 -0.11% 240 -1.99%
8/20/2021 122.78 -1.01% 241 -2.04%
8/23/2021 122.14 -0.52% 242 -2.20%
8/24/2021 123.45 1.07% 243 -2.53%
8/25/2021 123.52 0.06% 244 -2.75%
8/26/2021 123.8 0.23% 245 -2.92%
8/27/2021 124.62 0.66% 246 -3.06%
8/30/2021 126.73 1.69% 247 -3.22%
8/31/2021 127.99 0.99% 248 -3.85%
Cumulative
Probability Conditions
Abnormal
1% Conditions

Abnormal Normal
0.40% 1% 99% Conditions
Conditions
0.81%
1.21% 2.00% Normal
Conditions
1.61%
2.02%
2.42%
2.82%
3.23%
3.63%
4.03%
4.44%
4.84%
5.24%
5.65%
6.05%
6.45%
6.85%
7.26%
7.66%
8.06%
8.47%
8.87%
9.27%
9.68%
10.08%
10.48%
10.89%
11.29%
11.69%
12.10%
12.50%
12.90%
13.31%
13.71%
14.11%
14.52%
14.92%
15.32%
15.73%
16.13%
16.53%
16.94%
17.34%
17.74%
18.15%
18.55%
18.95%
19.35%
19.76%
20.16%
20.56%
20.97%
21.37%
21.77%
22.18%
22.58%
22.98%
23.39%
23.79%
24.19%
24.60%
25.00%
25.40%
25.81%
26.21%
26.61%
27.02%
27.42%
27.82%
28.23%
28.63%
29.03%
29.44%
29.84%
30.24%
30.65%
31.05%
31.45%
31.85%
32.26%
32.66%
33.06%
33.47%
33.87%
34.27%
34.68%
35.08%
35.48%
35.89%
36.29%
36.69%
37.10%
37.50%
37.90%
38.31%
38.71%
39.11%
39.52%
39.92%
40.32%
40.73%
41.13%
41.53%
41.94%
42.34%
42.74%
43.15%
43.55%
43.95%
44.35%
44.76%
45.16%
45.56%
45.97%
46.37%
46.77%
47.18%
47.58%
47.98%
48.39%
48.79%
49.19%
49.60%
50.00%
50.40%
50.81%
51.21%
51.61%
52.02%
52.42%
52.82%
53.23%
53.63%
54.03%
54.44%
54.84%
55.24%
55.65%
56.05%
56.45%
56.85%
57.26%
57.66%
58.06%
58.47%
58.87%
59.27%
59.68%
60.08%
60.48%
60.89%
61.29%
61.69%
62.10%
62.50%
62.90%
63.31%
63.71%
64.11%
64.52%
64.92%
65.32%
65.73%
66.13%
66.53%
66.94%
67.34%
67.74%
68.15%
68.55%
68.95%
69.35%
69.76%
70.16%
70.56%
70.97%
71.37%
71.77%
72.18%
72.58%
72.98%
73.39%
73.79%
74.19%
74.60%
75.00%
75.40%
75.81%
76.21%
76.61%
77.02%
77.42%
77.82%
78.23%
78.63%
79.03%
79.44%
79.84%
80.24%
80.65%
81.05%
81.45%
81.85%
82.26%
82.66%
83.06%
83.47%
83.87%
84.27%
84.68%
85.08%
85.48%
85.89%
86.29%
86.69%
87.10%
87.50%
87.90%
88.31%
88.71%
89.11%
89.52%
89.92%
90.32%
90.73%
91.13%
91.53%
91.94%
92.34%
92.74%
93.15%
93.55%
93.95%
94.35%
94.76%
95.16%
95.56%
95.97%
96.37%
96.77%
97.18%
97.58%
97.98%
98.39%
98.79%
 99.19%
99.60%
100.00%
Total No. of Trading Days 248

VaR using Historical Method

Portfolio Value (AuM) (in crores) 2129835

Confidence Level 99%
Value at Risk (1 day) 51214.71547
Probable Value of Portfolio(IN CRORES) 2078620.285

We are 99% confident that the maximum loss that the portfolio
could bear in a day would be less than 51214.7155
 Option Data of BHEL

Date Expiry Date Spot Price Option Type Strike Price

57
CE 59
61
30-Jul-21 30-Sep-21 59.40
61
PE 59
57
57
CE 59
61
3-Aug-21 30-Sep-21 59.15
61
PE 59
57
52
CE 54
56
10-Aug-21 30-Sep-21 54.6
56
PE 54
52
52
CE 54
56
16-Aug-21 30-Sep-21 54.20
56
PE 54
52
50
CE 52
54
20-Aug-21 30-Sep-21 51.65
54
PE 52
50

Additional Information :
Interest Rate (91Day T-Bill Rate) 3.30%
Dividend Yield of BHEL 4.60%
Time to Maturity 3 Months
Volatility(Standard Deviation) 2.20%
 Lower Bou

Moneyness Option
Option Type Spot Price
of options Premium
ITM 7.9 Call Option 54.40
NTM 6.9 Call Option 54.40
OTM 6.06 Call Option 54.40
ITM 7.25 Put Option 54.40
NTM 6.15 Put Option 54.40
OTM 5.1 Put Option 54.40
ITM 7.45 Call Option 59.15
NTM 6.5 Call Option 59.15
OTM 5.6 Call Option 59.15
ITM 7.15 Put Option 59.15
NTM 6.05 Put Option 59.15
OTM 5 Put Option 59.15
ITM 6.8 Call Option 54.6
NTM 5.8 Call Option 54.6
OTM 4.9 Call Option 54.6
ITM 4.9 Put Option 54.6
NTM 6 Put Option 54.6
OTM 3.95 Put Option 54.6
ITM 6.2 Call Option 52.20
NTM 5.2 Call Option 52.20
OTM 4.35 Call Option 52.20
ITM 5.9 Put Option 52.20
NTM 4.75 Put Option 52.20
OTM 3.75 Put Option 52.20
ITM 4.5 Call Option 51.65
NTM 4.5 Call Option 51.65
OTM 2.85 Call Option 51.65
ITM 5.8 Put Option 51.65
NTM 4.65 Put Option 51.65
OTM 2.85 Put Option 51.65

Formulas :
For European Call Option

Lower Boundary

For European Put Option

Lower Boundary
 Lower Boundary for European Call and Put Option

Lower Boundary for European Call / Put Lower Boundary for European Call Option

0.00 Not Executed

0.00 Not Executed
0 Not Executed
6
4
2.13
2.62 2.62
0.63 0.63
0 Not Executed
1
0
0.00
3.03 3.03
1.04 1.04
0 Not Executed
1
0
0.00
0.63 0.63
0.00 Not Executed
0 Not Executed
3
1
0.00
2.06 2.06
0.08 Not Executed
0 Not Executed
2
0
0.00
 S - Ke-rT When S ≥ K
Not Executed When S < K

Ke-rT - S When S < K

Not Executed When S ≥ K
t Option

Overpriced /
Lower Boundary for European Put Option
Underpriced
Overpriced
Date Strike Price
Overpriced
Overpriced
57.00
6.09882020926269 Overpriced
4.11525233354917 Overpriced
30-Jul-21 59.00
2.13 Overpriced
Overpriced
61.00
Overpriced
Overpriced
57.00
1.34882020926269 Overpriced
Not Executed Overpriced
3-Aug-21 59.00
Not Executed Overpriced
Overpriced
61.00
Overpriced
Overpriced
52.00
0.939900519978863 Overpriced
Not Executed Overpriced
10-Aug-21 54.00
Not Executed Overpriced
Overpriced
56.00
Overpriced
Overpriced
52.00
3.33990051997886 Overpriced
1.35633264426533 Overpriced
16-Aug-21 54.00
Not Executed Overpriced
Overpriced
56.00
Overpriced
Overpriced
50.00
1.90633264426533 Overpriced
0 Overpriced
20-Aug-21 52.00
Not Executed Overpriced
54.00
Formulas :
Portfolio 1:
Buy Call Option and cash equ
Value of Portfolio 1

Portfolio 2:
Buy Put Option and b
Value of Portfolio 1
 Put Call Parity

Value of Value of Observation for Observation for

Date
Portfolio 1 Portfolio 2 Portfolio 1 Portfolio 2
Overprice, Sell Underprice, Buy
64.43 61.65
Portfolio1 Portfolio2

65.42 59.50 Overprice, Sell Underprice, Buy 30-Jul-21

Portfolio1 Portfolio2

66.56 65.65 Overprice, Sell Underprice, Buy

Portfolio1 Portfolio2
Underprice, Buy Overprice, Sell
63.98 66.30
Portfolio1 Portfolio2
Underprice, Buy Overprice, Sell
65.02 65.20 3-Aug-21
Portfolio1 Portfolio2

66.10 64.15 Overprice, Sell Underprice, Buy

Portfolio1 Portfolio2

58.37 59.50 Underprice, Buy Overprice, Sell

Portfolio1 Portfolio2
Underprice, Buy Overprice, Sell
59.36 60.60 10-Aug-21
Portfolio1 Portfolio2
Overprice, Sell Underprice, Buy
60.44 58.55
Portfolio1 Portfolio2

57.77 58.10 Underprice, Buy Overprice, Sell

Portfolio1 Portfolio2

58.76 56.95 Overprice, Sell Underprice, Buy 16-Aug-21

Portfolio1 Portfolio2
Overprice, Sell Underprice, Buy
59.89 55.95
Portfolio1 Portfolio2
Underprice, Buy Overprice, Sell
54.09 57.45
Portfolio1 Portfolio2

56.07 56.30 Underprice, Buy Overprice, Sell 20-Aug-21

Portfolio1 Portfolio2

56.41 54.50 Overprice, Sell Underprice, Buy

Portfolio1 Portfolio2
 Formulas :

all Option and cash equivalent of PV of Strike Price

c + Ke-rT

Buy Put Option and buy underlying asset

p+S
 Black and Scholes Model

Theoretical Theoretical
Option Type Spot Price Strike Price d1 d2 Option
Premium Call Premium
Call Option 54.40 57.00 -4.534237634 -4.545237634 3.503787E-07 3.503787E-07
Call Option 54.40 59.00 -7.669344549 -7.680344549 6.523496E-16 6.523496E-16
Call Option 54.40 61.00 -10.69992821 -10.71092821 2.797693E-28 2.797693E-28
Put Option 54.40 61.00 -10.69992821 -10.71092821 6.798572506
Put Option 54.40 59.00 -7.669344549 -7.680344549 4.792061932
Put Option 54.40 57.00 -4.534237634 -4.545237634 2.785551708
Call Option 59.15 57.00 3.075983872 3.064983872 1.964638824 1.964638824
Call Option 59.15 59.00 -0.059123044 -0.070123044 0.239173811 0.239173811
Call Option 59.15 61.00 -3.089706704 -3.100706704 0.000179963 0.000179963
Put Option 59.15 61.00 -3.089706704 -3.100706704 2.048752469
Put Option 59.15 59.00 -0.059123044 -0.070123044 0.281235743
Put Option 59.15 57.00 3.075983872 3.064983872 0.000190181
Call Option 54.60 52.00 4.145514924 4.134514924 2.430727312 2.430727312
Call Option 54.60 54.00 0.714576017 0.703576017 0.508386975 0.508386975
Call Option 54.60 56.00 -2.591573453 -2.602573453 0.00090019 0.00090019
Put Option 54.60 56.00 -2.591573453 -2.602573453 1.583196261
Put Option 54.60 54.00 0.714576017 0.703576017 0.084172472
Put Option 54.60 52.00 4.145514924 4.134514924 2.234961E-06
Call Option 52.20 52.00 0.059025119 0.048025119 0.244694585 0.244694585
Call Option 52.20 54.00 -3.371913789 -3.382913789 5.533242E-05 5.533242E-05
Call Option 52.20 56.00 -6.678063259 -6.689063259 9.971987E-13 9.971987E-13
Put Option 52.20 56.00 -6.678063259 -6.689063259 3.982296071
Put Option 52.20 54.00 -3.371913789 -3.382913789 1.975840829
Put Option 52.20 52.00 0.059025119 0.048025119 0.213969507
Call Option 51.65 50.00 2.661608194 2.650608194 1.487920257 1.487920257
Call Option 51.65 52.00 -0.903911183 -0.914911183 0.056363153 0.056363153
Call Option 51.65 54.00 -4.334850091 -4.345850091 8.720136E-07 8.720136E-07
Put Option 51.65 54.00 -4.334850091 -4.345850091 2.525786369
Put Option 51.65 52.00 -0.903911183 -0.914911183 0.575638076
Put Option 51.65 50.00 2.661608194 2.650608194 0.000684606
mulas :

Call Option Price, c = S x N(d1) – Ke-(r-q)T x N(d2)

Put Option Price, p = Ke-(r-q)T x N(-d2) – S x N(-d1)
 Theoretical Put Overpriced /
Premium Underpriced
Overpriced
Overpriced
Overpriced
6.79857250553636 Underpriced
4.79206193158435 Overpriced
2.78555170801099 Overpriced
Overpriced
Overpriced
Overpriced
2.04875246878804 Overpriced
0.28123574262036 Overpriced
0.000190181309592 Overpriced
Overpriced
Overpriced
Overpriced
1.58319626069202 Overpriced
0.084172472203447 Overpriced
2.234961290107E-06 Overpriced
Overpriced
Overpriced
Overpriced
3.98229607065733 Underpriced
1.97584082912108 Overpriced
0.213969507471461 Overpriced
Overpriced
Overpriced
Overpriced
2.52578636871795 Overpriced
0.575638075740834 Underpriced
0.000684606114726 Underpriced
 x N(d1) – Ke-(r-q)T x N(d2)
e-(r-q)T x N(-d2) – S x N(-d1)
 Name: Priyanka Rani Enrollment No: 21BSPHH01C0891 Mutual Fund Name: Essel Large Cap Equit

Date Portfolio NAV Portfolio Returns Day Portfolio Retunrs Cumulative Probability
06-Jan-2022 44.014 -
06-Feb-2022 44.207 0.440% 1 4.40% 2.38%
06-Mar-2022 44.7 1.110% 2 2.39% 4.76%
06-Apr-2022 44.905 0.460% 3 2.01% 7.14%
06-Jul-2022 44.89 -0.040% 4 2.01% 9.52%
06-Aug-2022 44.907 0.040% 5 1.93% 11.90%
06-Sep-2022 44.661 -0.550% 6 1.85% 14.29%
06-Jun-2022 45.258 1.340% 7 1.76% 16.67%
06-Jun-2022 45.404 0.320% 8 1.65% 19.05%
6/14/2022 45.396 -0.020% 9 1.64% 21.43%
6/15/2022 45.488 0.200% 10 1.63% 23.81%
6/16/2022 45.232 -0.560% 11 1.62% 26.19%
6/17/2022 44.956 -0.610% 12 1.54% 28.57%
6/18/2022 44.71 -0.550% 13 1.46% 30.95%
6/21/2022 44.897 0.420% 14 1.45% 33.33%
6/22/2022 44.978 0.180% 15 1.38% 35.71%
6/23/2022 44.802 -0.390% 16 1.27% 38.10%
6/24/2022 45.087 0.640% 17 1.23% 40.48%
6/25/2022 45.512 0.940% 18 1.23% 42.86%
6/28/2022 45.404 -0.240% 19 1.22% 45.24%
6/29/2022 45.159 -0.540% 20 1.20% 47.62%
6/30/2022 45.315 0.350% 21 1.20% 50.00%
07-Jan-2022 45.19 -0.280% 22 1.20% 52.38%
07-Feb-2022 45.31 0.270% 23 1.18% 54.76%
07-May-2022 45.65 0.750% 24 1.18% 57.14%
07-Jun-2022 45.6 -0.110% 25 1.17% 59.52%
07-Jul-2022 45.74 0.310% 26 1.17% 61.90%
07-Aug-2022 45.41 -0.720% 27 1.16% 64.29%
07-Sep-2022 45.43 0.040% 28 1.15% 66.67%
07-Dec-2022 45.4 -0.070% 29 1.15% 69.05%
7/13/2022 45.59 0.420% 30 1.14% 71.43%
7/14/2022 45.74 0.330% 31 1.12% 73.81%
7/15/2022 45.84 0.220% 32 1.08% 76.19%
7/16/2022 45.82 -0.040% 33 1.08% 78.57%
7/19/2022 45.4 -0.920% 34 1.07% 80.95%
7/20/2022 45.14 -0.570% 35 1.05% 83.33%
7/22/2022 45.88 1.640% 36 1.05% 85.71%
7/23/2022 45.97 0.200% 37 1.04% 88.10%
7/26/2022 45.93 -0.090% 38 1.04% 90.48%
7/27/2022 45.91 -0.040% 39 1.03% 92.86%
7/28/2022 45.76 -0.330% 40 1.03% 95.24%
7/29/2022 46.35 1.290% 41 1.02% 97.62%
7/30/2022 46.64 0.630% 42 1.01% 100.00%
43 0.98% 102.38%
44 0.97% 104.76%
45 0.96% 107.14%
46 0.96% 109.52%
47 0.94% 111.90%
48 0.92% 114.29%
49 0.92% 116.67%
50 0.90% 119.05%
51 0.90% 121.43%
52 0.90% 123.81%
53 0.89% 126.19%
54 0.89% 128.57%
55 0.89% 130.95%
56 0.88% 133.33%
57 0.88% 135.71%
58 0.88% 138.10%
59 0.84% 140.48%
60 0.84% 142.86%
61 0.81% 145.24%
62 0.80% 147.62%
63 0.80% 150.00%
64 0.79% 152.38%
65 0.78% 154.76%
66 0.77% 157.14%
67 0.76% 159.52%
68 0.76% 161.90%
69 0.75% 164.29%
70 0.74% 166.67%
71 0.74% 169.05%
72 0.73% 171.43%
73 0.73% 173.81%
74 0.71% 176.19%
75 0.71% 178.57%
76 0.70% 180.95%
77 0.70% 183.33%
78 0.69% 185.71%
79 0.69% 188.10%
80 0.67% 190.48%
81 0.66% 192.86%
82 0.66% 195.24%
83 0.65% 197.62%
84 0.65% 200.00%
85 0.64% 202.38%
86 0.63% 204.76%
87 0.63% 207.14%
88 0.63% 209.52%
89 0.62% 211.90%
90 0.61% 214.29%
91 0.61% 216.67%
92 0.60% 219.05%
93 0.58% 221.43%
94 0.58% 223.81%
95 0.58% 226.19%
96 0.57% 228.57%
97 0.56% 230.95%
98 0.50% 233.33%
99 0.50% 235.71%
100 0.50% 238.10%
101 0.49% 240.48%
102 0.49% 242.86%
103 0.48% 245.24%
104 0.47% 247.62%
105 0.43% 250.00%
106 0.42% 252.38%
107 0.42% 254.76%
108 0.41% 257.14%
109 0.40% 259.52%
110 0.40% 261.90%
111 0.39% 264.29%
112 0.39% 266.67%
113 0.38% 269.05%
114 0.37% 271.43%
115 0.34% 273.81%
116 0.33% 276.19%
117 0.33% 278.57%
118 0.33% 280.95%
119 0.33% 283.33%
120 0.32% 285.71%
121 0.31% 288.10%
122 0.30% 290.48%
123 0.29% 292.86%
124 0.28% 295.24%
125 0.28% 297.62%
126 0.27% 300.00%
127 0.27% 302.38%
128 0.25% 304.76%
129 0.25% 307.14%
130 0.24% 309.52%
131 0.20% 311.90%
132 0.19% 314.29%
133 0.19% 316.67%
134 0.18% 319.05%
135 0.17% 321.43%
136 0.16% 323.81%
137 0.16% 326.19%
138 0.16% 328.57%
139 0.15% 330.95%
140 0.14% 333.33%
141 0.14% 335.71%
142 0.13% 338.10%
143 0.13% 340.48%
144 0.12% 342.86%
145 0.12% 345.24%
146 0.11% 347.62%
147 0.11% 350.00%
148 0.10% 352.38%
149 0.09% 354.76%
150 0.08% 357.14%
151 0.07% 359.52%
152 0.06% 361.90%
153 0.06% 364.29%
154 0.05% 366.67%
155 0.05% 369.05%
156 0.03% 371.43%
157 0.03% 373.81%
158 0.03% 376.19%
159 0.02% 378.57%
160 0.01% 380.95%
161 0.00% 383.33%
162 0.00% 385.71%
163 -0.01% 388.10%
164 -0.01% 390.48%
165 -0.02% 392.86%
166 -0.03% 395.24%
167 -0.04% 397.62%
168 -0.04% 400.00%
169 -0.09% 402.38%
170 -0.10% 404.76%
171 -0.10% 407.14%
172 -0.11% 409.52%
173 -0.11% 411.90%
174 -0.12% 414.29%
175 -0.13% 416.67%
176 -0.14% 419.05%
177 -0.14% 421.43%
178 -0.15% 423.81%
179 -0.16% 426.19%
180 -0.17% 428.57%
181 -0.20% 430.95%
182 -0.20% 433.33%
183 -0.22% 435.71%
184 -0.22% 438.10%
185 -0.24% 440.48%
186 -0.24% 442.86%
187 -0.24% 445.24%
188 -0.25% 447.62%
189 -0.26% 450.00%
190 -0.29% 452.38%
191 -0.33% 454.76%
192 -0.33% 457.14%
193 -0.35% 459.52%
194 -0.35% 461.90%
195 -0.35% 464.29%
196 -0.38% 466.67%
197 -0.40% 469.05%
198 -0.46% 471.43%
199 -0.46% 473.81%
200 -0.47% 476.19%
201 -0.49% 478.57%
202 -0.52% 480.95%
203 -0.55% 483.33%
204 -0.55% 485.71%
205 -0.57% 488.10%
206 490.48%
-0.57%
207 -0.61% 492.86%
208 -0.62% 495.24%
209 -0.67% 497.62%
210 -0.68% 500.00%
211 -0.72% 502.38%
212 -0.73% 504.76%
213 -0.74% 507.14%
214 -0.76% 509.52%
215 -0.78% 511.90%
216 -0.80% 514.29%
217 -0.83% 516.67%
218 -0.87% 519.05%
219 -0.89% 521.43%
220 -0.92% 523.81%
221 -1.03% 526.19%
222 -1.07% 528.57%
223 -1.08% 530.95%
224 -1.26% 533.33%
225 -1.28% 535.71%
226 -1.30% 538.10%
227 -1.32% 540.48%
228 -1.33% 542.86%
229 -1.43% 545.24%
230 -1.43% 547.62%
231 -1.49% 550.00%
232 -1.50% 552.38%
233 -1.51% 554.76%
234 -1.57% 557.14%
235 -1.57% 559.52%
236 -1.63% 561.90%
237 -1.66% 564.29%
238 -1.69% 566.67%
239 -1.70% 569.05%
240 -1.83% 571.43%
241 -1.84% 573.81%
242 -2.39% 576.19%
243 -2.99% 578.57%
244 -3.11% 580.95%
245 -4.32% 583.33%
246 -5.75% 585.71%
247 -6.78% 588.10%
Cap Equity Fund

TotalNumber of trading Days 42

1% Abnormal Value at Risk using Historical Method

Conditions Date
Portfolio Value (AUM) as on30 June 2022 1728100000.00
Confidence Level 99%
Value at Risk -9935341.49
Probable Value of the Portfolio 1718164658.51
9-Aug-22

Maximum loss that can occur in one day which we can say with
99% confidence level is 17481803.29

10-Aug-22
Date Spot price
20-Aug-22 534.85
18-Aug-22 542.80
17-Aug-22 530.15
16-Aug-22 532.00
13-Aug-22 558.45
11-Aug-22
12-Aug-22 544.00
11-Aug-22 563.75
10-Aug-22 576.45
9-Aug-22 585.90
6-Aug-22 585.80
5-Aug-22 584.60
12-Aug-22
4-Aug-22 587.75
3-Aug-22 591.95
2-Aug-22 591.85
30-Jul-22 586.10

Average 566.43
13-Aug-22

Additional Informatio
Interest Rate (91
Dividend Yield
Time to M
Volatility(Stand
99%
 Option Data of Cadila Healthcare Lower Bou

Option Moneyness of Option

Expiry Date Spot Price Strike Price Option Type Spot Price
Type options Premium
750 ITM 252.05 Call Option 585.90
CE 830 NTM 68 Call Option 585.90
1000 OTM 209.15 Call Option 585.90
30-Sep-22 585.90
1000 ITM 154.25 Put Option 585.90
PE 830 NTM 50.65 Put Option 585.90
750 OTM 42 Put Option 585.90
750 ITM 84.75 Call Option 576.45
CE 830 NTM 67.7 Call Option 576.45
1000 OTM 49.7 Call Option 576.45
30-Sep-22 576.45 1000 ITM 174.5 Put Option 576.45
PE 830 NTM 154.25 Put Option 576.45
750 OTM 50.65 Put Option 576.45
750 ITM 90.85 Call Option 563.75
CE 830 NTM 68.2 Call Option 563.75
1000 OTM 180.65 Call Option 563.75
30-Sep-22 563.75 1000 ITM 185.15 Put Option 563.75
PE 830 NTM 55.95 Put Option 563.75
750 OTM 38.25 Put Option 563.75
750 ITM 87.5 Call Option 544.00
CE 830 NTM 66.3 Call Option 544.00
1000 OTM 50.55 Call Option 544.00
30-Sep-22 544.00 1000 ITM 207.45 Put Option 544.00
PE 830 NTM 185.15 Put Option 544.00
750 OTM 44.05 Put Option 544.00
750 ITM 78 Call Option 558.45
CE 830 NTM 64.6 Call Option 558.45
1000 OTM 48.85 Call Option 558.45
30-Sep-22 558.45 1000 ITM 95.05 Put Option 558.45
PE 830 NTM 67.9 Put Option 558.45
750 OTM 44.25 Put Option 558.45

l Information : Formulas :
est Rate (91Day T-Bill Rate) 3.30% For European Call Option
vidend Yield of Tata Steel 0.54
Lower Boundary
Time to Maturity 3 Months
atility(Standard Deviation) 10.79
For European Put Option
Lower Boundary
 Option Derivative of Cadil
Lower Boundary for European Call and Put Option

Lower Boundary for Lower Boundary for Lower Boundary for Overpriced /
Date
European Call / Put European Call Option European Put Option Underpriced
0.00 Not Executed Overpriced
0.00 Not Executed Overpriced
0 Not Executed Overpriced
3-Aug-22
406 405.883937856765 Underpriced
237 237.280668421115 Underpriced
157.94 157.94 Underpriced
0.00 Not Executed Overpriced
0.00 Not Executed Overpriced
0 Not Executed Overpriced
9-Aug-22
415 415.333937856765 Underpriced
247 246.730668421115 Underpriced
167.39 167.39 Underpriced
0.00 Not Executed Overpriced
0.00 Not Executed Overpriced
0 Not Executed Overpriced
10-Aug-22
428 428.033937856765 Underpriced
259 259.430668421115 Underpriced
180.09 180.09 Underpriced
0.00 Not Executed Overpriced
0.00 Not Executed Overpriced
0 Not Executed Overpriced
13-Aug-22
448 447.783937856765 Underpriced
279 279.180668421115 Underpriced
199.84 199.84 Underpriced
0.00 Not Executed Overpriced
0.00 Not Executed Overpriced
0 Not Executed Overpriced
16-Aug-22
433 433.333937856765 Underpriced
265 264.730668421115 Underpriced
185.39 185.39 Underpriced

Formulas :
Portfolio 1:
S - Ke-rT When S ≥ K Buy Call Option and c
Not Executed When S < K Value of Portfolio 1

Portfolio 2:
Ke-rT - S When S < K Buy Put Optio
Not Executed When S ≥ K Value of Portfolio 1
ative of Cadila Healthcare
Put Call Parity

Value of Value of Observation for Observation for

Stike Price Date Option Type Spot Price
Portfolio 1 Portfolio 2 Portfolio 1 Portfolio 2
750 Overprice, Sell Underprice, Buy Call Option 585.90
995.89 740.15
830 Portfolio1 Portfolio2 Call Option 585.90
1000 Overprice, Sell Underprice, Buy Put Option 585.90
1059.78 636.55 9-Aug-22
1000 Portfolio1 Portfolio2 Put Option 585.90
830 Overprice, Sell Underprice, Buy Put Option 585.90
1032.33 627.90
750 Portfolio1 Portfolio2 Call Option 576.45
750 Overprice, Sell Underprice, Buy Call Option 576.45
828.59 750.95
830 Portfolio1 Portfolio2 Call Option 576.45
1000 Overprice, Sell Underprice, Buy Put Option 576.45
1059.48 730.70 Portfolio1 Portfolio2 11-Aug-22
1000 Put Option 576.45
830 Overprice, Sell Underprice, Buy Put Option 576.45
872.88 627.10
750 Portfolio1 Portfolio2 Call Option 563.75
750 Overprice, Sell Underprice, Buy Call Option 563.75
834.69 748.90 Portfolio1 Portfolio2
830 Call Option 563.75
1000 Overprice, Sell Underprice, Buy Put Option 563.75
1059.98 619.70 13-Aug-22
1000 Portfolio1 Portfolio2 Put Option 563.75
830 Overprice, Sell Underprice, Buy Put Option 563.75
1003.83 602.00
750 Portfolio1 Portfolio2 Call Option 544.00
750 Overprice, Sell Underprice, Buy Call Option 544.00
831.34 751.45 Portfolio1 Portfolio2
830 Call Option 544.00
1000 Overprice, Sell Underprice, Buy Put Option 544.00
1058.08 729.15 16-Aug-22
1000 Portfolio1 Portfolio2 Put Option 544.00
830 Overprice, Sell Underprice, Buy Put Option 544.00
873.73 588.05
750 Portfolio1 Portfolio2 Call Option 558.45
750 Overprice, Sell Underprice, Buy Call Option 558.45
821.84 653.50
830 Portfolio1 Portfolio2 Call Option 558.45
1000 Overprice, Sell Underprice, Buy Put Option 558.45
1056.38 626.35 20-Aug-22
1000 Portfolio1 Portfolio2 Put Option 558.45
830 Overprice, Sell Underprice, Buy Put Option 558.45
872.03 602.70
750 Portfolio1 Portfolio2 Put Option 18338.95

s: Formulas :

Buy Call Option and cash equivalent of PV of Strike Price

of Portfolio 1 c + Ke-rT

Buy Put Option and buy underlying asset

of Portfolio 1 p+S
 Black n Sholes Model

Theoretical Option Theoretical Call

Strike Price d1 d2 Theoretical Put Premium
Premium Premium
830.00 -55.86 -55.86 0.0000 0.0000
1000.00 -86.4 -86.41 0.0000 0.0000
1000.00 -86.4 -86.41 406.6032 406.6032
830.00 -55.86 -55.86 237.8777 237.8777
750.00 -39.24 -39.25 158.4774 158.4774
750.00 -41.91 -41.91 0.0000 0.0000
830.00 -58.52 -58.53 0.0000 0.0000
1,000.00 -89.07 -89.08 0.0000 0.0000
1,000.00 -89.07 -89.08 416.0532 416.0532
830.00 -58.52 -58.53 247.3277 247.3277
750.00 -41.91 -41.91 167.9274 167.9274
750.00 -45.56 -45.57 0.0000 0.0000
830.00 -62.18 -62.18 0.0000 0.0000
1,000.00 -92.72 -92.73 0.0000 0.0000
1,000.00 -92.72 -92.73 428.7532 428.7532
830.00 -62.18 -62.18 260.0277 260.0277
750.00 -45.56 -45.57 180.6274 180.6274
750.00 -51.41 -51.41 0.0000 0.0000
830.00 -68.02 -68.03 0.0000 0.0000
1,000.00 -98.57 -98.57 0.0000 0.0000
1,000.00 -98.57 -98.57 448.5032 448.5032
830.00 -68.02 -68.03 279.7777 279.7777
750.00 -51.41 -51.41 200.3774 200.3774
750.00 -47.11 -47.12 0.0000 0.0000
830.00 -63.72 -63.73 0.0000 0.0000
1,000.00 -94.27 -94.28 0.0000 0.0000
1,000.00 -94.27 -94.28 434.0532 434.0532
830 -63.72 -63.73 265.3277 265.3277
750.00 -47.11 -47.12 185.9274 185.9274
16,200.00 2.696993 -2.698006770891 18260.8625 18260.8625

Call Option Price, c = S x N(d1) – Ke-(r-q)T x N(d2)

Put Option Price, p = Ke-(r-q)T x N(-d2) – S x N(-d1)
 Overpriced /
Underpriced
Overpriced
Overpriced
Underpriced
Underpriced
Underpriced
Overpriced
Overpriced
Overpriced
Underpriced
Underpriced
Underpriced
Overpriced
Overpriced
Overpriced
Underpriced
Underpriced
Underpriced
Overpriced
Overpriced
Overpriced
Underpriced
Underpriced
Underpriced
Overpriced
Overpriced
Overpriced
Underpriced
Underpriced
Underpriced
Underpriced
 Name Arijit Chaatterjee
Enrollment No. 21BSPHH01C1026
Stock Option Tata Large Cap Fund

Spot price of Tata Large Cap. 4885.1

Date Expiry date Strike price Call price Moneyness of call Put price Moneyness of put

2-Aug 30-Aug 4000 1336.4 ITM 25.95 OTM

4900 612.3 NTM 185.15 NTM
5500 40 OTM 331.4 ITM

3-Aug 30-Aug 4000 1336.4 ITM 21.75 OTM

4900 612.3 NTM 185.15 NTM
5500 37 OTM 331.4 ITM

4-Aug 30- Aug 1336.4 ITM 20.1 OTM

4900 145 NTM 185.15 NTM
5500 43.35 OTM 331.4 ITM

5-Aug 30-Aug 4000 1336.4 ITM 17.05 OTM

4900 175 NTM 185.15 NTM
5500 50 OTM 331.4 ITM

6-Aug 30- Aug 1336.4 ITM 17.15 OTM

4900 175 NTM 185.15 NTM
5500 41 OTM 331.4 ITM

PUT CALL PARITY

T 2 months
 r 3.29%
S 4885.1

Date Expiry date Strike price Call price Put price Portfolio 1

2-Aug 30-Aug 4000 1336.4 25.95 2-Aug 5314.5267

4900 612.3 185.15 5485.5052
5500 40 331.4 5509.9242

3-Aug 30-Aug 4000 1336.4 21.75 3-Aug 5314.5267

4900 612.3 185.15 5485.5052
5500 37 331.4 5506.9242

4-Aug 30-Aug 4000 1336.4 20.1 4-Aug 5314.5267

4900 145 185.15 5018.2052
5500 43.35 331.4 5513.2742

5-Aug 30-Aug 4000 1336.4 17.05 5-Aug 5314.5267

4900 175 185.15 5048.2052
5500 50 331.4 5519.9242

6-Aug 30-Aug 4000 1336.4 17.15 6-Aug 5314.5267

4900 175 185.15 5048.2052
5500 41 331.4 5510.9242
Overpriced, sell portfolio 1

BLACK AND SCHOLES MODEL

r 3.29%
q 0.51%
Vol 6.62%
 t 0.17 2 months
S 4885.1

Date Expiry date Strike price Call price Put price d1 d2

2-Aug 30-Aug 4000 1336.4 25.95 7.5814 7.5543

4900 612.3 185.15 0.0723 0.0452
5500 40 331.4 -4.2019 -4.2289

3-Aug 30-Aug 4000 1336.4 21.75 7.5814 7.5543

4900 612.3 185.15 0.0723 0.0452
5500 37 331.4 -4.2019 -4.2289

4-Aug 30-Aug 4000 1336.4 20.1 7.5814 7.5543

4900 145 185.15 0.0723 0.0452
5500 43.35 331.4 -4.2019 -4.2289

5-Aug 30-Aug 4000 1336.4 17.05 7.5814 7.5543

4900 175 185.15 0.0723 0.0452
5500 50 331.4 -4.2019 -4.2289

6-Aug 30-Aug 4000 1336.4 17.15 7.5814 7.5543

4900 175 185.15 0.0723 0.0452
5500 41 331.4 -4.2019 -4.2289

LOWER BOUNDARY FOR EUROPEAN CALL AND PUT OPTIONS

T 2months
r 3.29%
S 4885.1
Date Expiry date Strike price Call price Put price Lower boundary of European call

2-Aug 30-Aug 4000 1336.4 25.95 2-Aug 906.9733

4900 612.3 185.15 11.8948
5500 40 331.4 0.0000
3-Aug 30-Aug 4000 1336.4 21.75 3-Aug 906.9733
4900 612.3 185.15 11.8948
5500 37 331.4 0.0000
4-Aug 30-Aug 4000 1336.4 20.1 4-Aug 906.9733
4900 145 185.15 11.8948
5500 43.35 331.4 0.0000
5-Aug 30-Aug 4000 1336.4 17.05 5-Aug 906.9733
4900 175 185.15 11.8948
5500 50 331.4 0.0000
6-Aug 30-Aug 4000 1336.4 17.15 6-Aug 906.9733
4900 175 185.15 11.8948
5500 41 331.4 0.0000
 Portfolio 2

2-Aug 4911.0500
5070.2500
5216.5000

3-Aug 4906.8500
5070.2500
5216.5000

4-Aug 4905.2000
5070.2500
5216.5000

5-Aug 4902.1500
5070.2500
5216.5000

6-Aug 4902.2500
5070.2500
5216.5000
Underpriced, buy portfolio 2

AND SCHOLES MODEL

 N(d1) N(d2) N(-d1) N(-d2) Call price Put price

1.0000 1.0000 0.0000 0.0000 903.5905 Underpriced 0.0000 Underpriced

0.5288 0.5180 0.4712 0.4820 56.5931 Underpriced 48.8423 Underpriced
0.0000 0.0000 1.0000 1.0000 0.0004 Underpriced 589.4760 Underpriced
Underpriced Underpriced
1.0000 1.0000 0.0000 0.0000 903.5905 Underpriced 0.0000 Underpriced
0.5288 0.5180 0.4712 0.4820 56.5931 Underpriced 48.8423 Underpriced
0.0000 0.0000 1.0000 1.0000 0.0004 Underpriced 589.4760 Underpriced
Underpriced Underpriced
1.0000 1.0000 0.0000 0.0000 903.5905 Underpriced 0.0000 Underpriced
0.5288 0.5180 0.4712 0.4820 56.5931 Underpriced 48.8423 Underpriced
0.0000 0.0000 1.0000 1.0000 0.0004 Underpriced 589.4760 Underpriced
Underpriced Underpriced
1.0000 1.0000 0.0000 0.0000 903.5905 Underpriced 0.0000 Underpriced
0.5288 0.5180 0.4712 0.4820 56.5931 Underpriced 48.8423 Underpriced
0.0000 0.0000 1.0000 1.0000 0.0004 Underpriced 589.4760 Underpriced
Underpriced Underpriced
1.0000 1.0000 0.0000 0.0000 903.5905 Underpriced 0.0000 Underpriced
0.5288 0.5180 0.4712 0.4820 56.5931 Underpriced 48.8423 Underpriced
0.0000 0.0000 1.0000 1.0000 0.0004 Underpriced 589.4760 Underpriced

TIONS
ary of European call Lower boundary of European put

Underpriced 2-Aug 0.0000 Underpriced

Underpriced 0.0000 Underpriced
Underpriced 584.8242 Underpriced
Underpriced 3-Aug 0.0000 Underpriced
Underpriced 0.0000 Underpriced
Underpriced 584.8242 Underpriced
Underpriced 4-Aug 0.0000 Underpriced
Underpriced 0.0000 Underpriced
Underpriced 584.8242 Underpriced
Underpriced 5-Aug 0.0000 Underpriced
Underpriced 0.0000 Underpriced
Underpriced 584.8242 Underpriced
Underpriced 6-Aug 0.0000 Underpriced
Underpriced 0.0000 Underpriced
Underpriced 584.8242 Underpriced
 INVESCO INDIA SMALLCAP FUND - VaR

Date NAV (Rs.) Return Day Return Cum Probability Historical Method (Actual Data)
01/Sep/2021 11.4
02/Sep/2021 11.68 2.43% 1 -5.14% 0.40% Portfolio Value 11258803000
1%
03/Sep/2021 11.68 0.00% 2 -4.28% 0.81% Confidence Level 99% -4.71%
04/Sep/2021 11.54 -1.21% 3 -3.53% 1.21% Value at Risk -530289621
07/Sep/2021 11.55 0.09% 4 -2.29% 1.62% Probable Value of the 10728513379
08/Sep/2021 11.47 -0.70% 5 -2.07% 2.02% Portfolio Max loss that may occur in a day with 99% C
09/Sep/2021 11.35 -1.05% 6 -2.02% 2.43%
10/Sep/2021 11.48 1.14% 7 -1.86% 2.83%
11/Sep/2021 11.45 -0.26% 8 -1.80% 3.24%
14/Sep/2021 12.04 5.02% 9 -1.73% 3.64%
15/Sep/2021 12.2 1.32% 10 -1.72% 4.05%
16/Sep/2021 12.22 0.16% 11 -1.71% 4.45%
17/Sep/2021 12.14 -0.66% 12 -1.60% 4.86%
18/Sep/2021 12.11 -0.25% 13 -1.57% 5.26%
21/Sep/2021 11.69 -3.53% 14 -1.48% 5.67%
22/Sep/2021 11.45 -2.07% 15 -1.39% 6.07%
23/Sep/2021 11.49 0.35% 16 -1.30% 6.48%
24/Sep/2021 11.26 -2.02% 17 -1.24% 6.88%
25/Sep/2021 11.49 2.02% 18 -1.21% 7.29%
28/Sep/2021 11.73 2.07% 19 -1.21% 7.69%
29/Sep/2021 11.71 -0.17% 20 -1.19% 8.10%
30/Sep/2021 11.71 0.00% 21 -1.19% 8.50%
01/Oct/2021 11.78 0.60% 22 -1.13% 8.91%
05/Oct/2021 11.74 -0.34% 23 -1.13% 9.31%
06/Oct/2021 11.75 0.09% 24 -1.13% 9.72%
07/Oct/2021 11.65 -0.85% 25 -1.12% 10.12%
08/Oct/2021 11.64 -0.09% 26 -1.07% 10.53%
09/Oct/2021 11.62 -0.17% 27 -1.05% 10.93%
12/Oct/2021 11.57 -0.43% 28 -1.05% 11.34%
13/Oct/2021 11.63 0.52% 29 -0.95% 11.74%
14/Oct/2021 11.59 -0.34% 30 -0.85% 12.15%
15/Oct/2021 11.43 -1.39% 31 -0.82% 12.55%
16/Oct/2021 11.51 0.70% 32 -0.80% 12.96%
19/Oct/2021 11.49 -0.17% 33 -0.79% 13.36%
20/Oct/2021 11.49 0.00% 34 -0.73% 13.77%
21/Oct/2021 11.5 0.09% 35 -0.70% 14.17%
22/Oct/2021 11.54 0.35% 36 -0.69% 14.57%
23/Oct/2021 11.6 0.52% 37 -0.68% 14.98%
26/Oct/2021 11.47 -1.13% 38 -0.67% 15.38%
27/Oct/2021 11.54 0.61% 39 -0.66% 15.79%
28/Oct/2021 11.48 -0.52% 40 -0.63% 16.19%
29/Oct/2021 11.39 -0.79% 41 -0.57% 16.60%
30/Oct/2021 11.47 0.70% 42 -0.56% 17.00%
02/Nov/2021 11.35 -1.05% 43 -0.52% 17.41%
03/Nov/2021 11.32 -0.26% 44 -0.50% 17.81%
04/Nov/2021 11.39 0.62% 45 -0.49% 18.22%
05/Nov/2021 11.52 1.13% 46 -0.48% 18.62%
06/Nov/2021 11.56 0.35% 47 -0.48% 19.03%
09/Nov/2021 11.62 0.52% 48 -0.48% 19.43%
10/Nov/2021 11.63 0.09% 49 -0.44% 19.84%
11/Nov/2021 11.68 0.43% 50 -0.43% 20.24%
12/Nov/2021 11.75 0.60% 51 -0.42% 20.65%
13/Nov/2021 11.91 1.35% 52 -0.38% 21.05%
17/Nov/2021 12.1 1.58% 53 -0.36% 21.46%
18/Nov/2021 12.23 1.07% 54 -0.36% 21.86%
19/Nov/2021 12.26 0.24% 55 -0.34% 22.27%
20/Nov/2021 12.35 0.73% 56 -0.34% 22.67%
21/Nov/2021 12.49 1.13% 57 -0.32% 23.08%
24/Nov/2021 12.63 1.11% 58 -0.31% 23.48%
25/Nov/2021 12.48 -1.19% 59 -0.29% 23.89%
26/Nov/2021 12.57 0.72% 60 -0.28% 24.29%
27/Nov/2021 12.83 2.05% 61 -0.26% 24.70%
01/Dec/2021 13.04 1.62% 62 -0.26% 25.10%
02/Dec/2021 13.04 0.00% 63 -0.25% 25.51%
03/Dec/2021 13.1 0.46% 64 -0.21% 25.91%
04/Dec/2021 13.12 0.15% 65 -0.21% 26.32%
07/Dec/2021 13.25 0.99% 66 -0.20% 26.72%
08/Dec/2021 13.24 -0.08% 67 -0.19% 27.13%
09/Dec/2021 13.31 0.53% 68 -0.19% 27.53%
10/Dec/2021 13.16 -1.13% 69 -0.18% 27.94%
11/Dec/2021 13.16 0.00% 70 -0.17% 28.34%
14/Dec/2021 13.37 1.58% 71 -0.17% 28.74%
15/Dec/2021 13.45 0.60% 72 -0.17% 29.15%
16/Dec/2021 13.57 0.89% 73 -0.16% 29.55%
17/Dec/2021 13.58 0.07% 74 -0.15% 29.96%
18/Dec/2021 13.6 0.15% 75 -0.14% 30.36%
21/Dec/2021 13.03 -4.28% 76 -0.14% 30.77%
22/Dec/2021 13.15 0.92% 77 -0.14% 31.17%
23/Dec/2021 13.54 2.92% 78 -0.09% 31.58%
24/Dec/2021 13.68 1.03% 79 -0.08% 31.98%
28/Dec/2021 13.84 1.16% 80 -0.07% 32.39%
29/Dec/2021 13.88 0.29% 81 -0.06% 32.79%
30/Dec/2021 13.89 0.07% 82 -0.05% 33.20%
31/Dec/2021 13.94 0.36% 83 0.00% 33.60%
01/Jan/2022 14.06 0.86% 84 0.00% 34.01%
04/Jan/2022 14.18 0.85% 85 0.00% 34.41%
05/Jan/2022 14.3 0.84% 86 0.00% 34.82%
06/Jan/2022 14.26 -0.28% 87 0.00% 35.22%
07/Jan/2022 14.33 0.49% 88 0.00% 35.63%
08/Jan/2022 14.41 0.56% 89 0.00% 36.03%
11/Jan/2022 14.4 -0.07% 90 0.00% 36.44%
12/Jan/2022 14.4 0.00% 91 0.00% 36.84%
13/Jan/2022 14.34 -0.42% 92 0.00% 37.25%
14/Jan/2022 14.41 0.49% 93 0.06% 37.65%
15/Jan/2022 14.33 -0.56% 94 0.06% 38.06%
18/Jan/2022 14.12 -1.48% 95 0.07% 38.46%
19/Jan/2022 14.36 1.69% 96 0.07% 38.87%
20/Jan/2022 14.44 0.56% 97 0.07% 39.27%
21/Jan/2022 14.37 -0.49% 98 0.09% 39.68%
22/Jan/2022 14.28 -0.63% 99 0.09% 40.08%
25/Jan/2022 14.12 -1.13% 100 0.09% 40.49%
27/Jan/2022 14.1 -0.14% 101 0.09% 40.89%
28/Jan/2022 14.07 -0.21% 102 0.10% 41.30%
29/Jan/2022 14.08 0.07% 103 0.12% 41.70%
01/Feb/2022 14.45 2.59% 104 0.12% 42.11%
02/Feb/2022 14.71 1.78% 105 0.15% 42.51%
03/Feb/2022 14.91 1.35% 106 0.15% 42.91%
04/Feb/2022 15.14 1.53% 107 0.16% 43.32%
05/Feb/2022 15.22 0.53% 108 0.18% 43.72%
08/Feb/2022 15.52 1.95% 109 0.19% 44.13%
09/Feb/2022 15.51 -0.06% 110 0.21% 44.53%
10/Feb/2022 15.6 0.58% 111 0.22% 44.94%
11/Feb/2022 15.88 1.78% 112 0.24% 45.34%
12/Feb/2022 15.79 -0.57% 113 0.24% 45.75%
15/Feb/2022 15.9 0.69% 114 0.24% 46.15%
16/Feb/2022 15.94 0.25% 115 0.25% 46.56%
17/Feb/2022 15.88 -0.38% 116 0.25% 46.96%
18/Feb/2022 15.88 0.00% 117 0.25% 47.37%
19/Feb/2022 15.73 -0.95% 118 0.29% 47.77%
22/Feb/2022 15.44 -1.86% 119 0.29% 48.18%

99%
23/Feb/2022 15.65 1.35% 120 0.30% 48.58%
24/Feb/2022 15.79 0.89% 121 0.30% 48.99%
25/Feb/2022 15.94 0.95% 122 0.32% 49.39%
26/Feb/2022 15.81 -0.82% 123 0.32% 49.80%
01/Mar/2022 16.05 1.51% 124 0.34% 50.20%
02/Mar/2022 16.15 0.62% 125 0.35% 50.61% 99%
03/Mar/2022 16.33 1.11% 126 0.35% 51.01%
04/Mar/2022 16.4 0.43% 127 0.35% 51.42%
05/Mar/2022 16.14 -1.60% 128 0.36% 51.82%
08/Mar/2022 16.26 0.74% 129 0.37% 52.23%
09/Mar/2022 16.15 -0.68% 130 0.37% 52.63%
10/Mar/2022 16.27 0.74% 131 0.37% 53.04%
12/Mar/2022 16.34 0.43% 132 0.39% 53.44%
15/Mar/2022 16.29 -0.31% 133 0.43% 53.85%
16/Mar/2022 16.29 0.00% 134 0.43% 54.25%
17/Mar/2022 16.01 -1.73% 135 0.43% 54.66%
18/Mar/2022 15.84 -1.07% 136 0.43% 55.06%
19/Mar/2022 15.95 0.69% 137 0.46% 55.47%
22/Mar/2022 15.98 0.19% 138 0.46% 55.87%
23/Mar/2022 16.04 0.37% 139 0.48% 56.28%
24/Mar/2022 15.79 -1.57% 140 0.48% 56.68%
25/Mar/2022 15.52 -1.72% 141 0.49% 57.09%
26/Mar/2022 15.69 1.09% 142 0.49% 57.49%
30/Mar/2022 15.86 1.08% 143 0.52% 57.89%
31/Mar/2022 16.02 1.00% 144 0.52% 58.30%
01/Apr/2022 16.21 1.18% 145 0.52% 58.70%
05/Apr/2022 16 -1.30% 146 0.53% 59.11%
06/Apr/2022 16.1 0.62% 147 0.53% 59.51%
07/Apr/2022 16.4 1.85% 148 0.53% 59.92%
08/Apr/2022 16.55 0.91% 149 0.54% 60.32%
09/Apr/2022 16.57 0.12% 150 0.56% 60.73%
12/Apr/2022 15.74 -5.14% 151 0.56% 61.13%
13/Apr/2022 15.91 1.07% 152 0.57% 61.54%
15/Apr/2022 15.88 -0.19% 153 0.58% 61.94%
16/Apr/2022 15.92 0.25% 154 0.60% 62.35%
19/Apr/2022 15.65 -1.71% 155 0.60% 62.75%
20/Apr/2022 15.74 0.57% 156 0.60% 63.16%
22/Apr/2022 15.74 0.00% 157 0.61% 63.56%
23/Apr/2022 15.79 0.32% 158 0.62% 63.97%
26/Apr/2022 15.92 0.82% 159 0.62% 64.37%
27/Apr/2022 16.1 1.12% 160 0.62% 64.78%
28/Apr/2022 16.23 0.80% 161 0.65% 65.18%
29/Apr/2022 16.3 0.43% 162 0.65% 65.59%
30/Apr/2022 16.27 -0.18% 163 0.67% 65.99%
03/May/2022 16.39 0.73% 164 0.68% 66.40%
04/May/2022 16.26 -0.80% 165 0.69% 66.80%
05/May/2022 16.37 0.67% 166 0.69% 67.21%
06/May/2022 16.4 0.18% 167 0.70% 67.61%
07/May/2022 16.42 0.12% 168 0.70% 68.02%
10/May/2022 16.47 0.30% 169 0.72% 68.42%
11/May/2022 16.6 0.79% 170 0.72% 68.83%
12/May/2022 16.54 -0.36% 171 0.73% 69.23%
14/May/2022 16.48 -0.36% 172 0.73% 69.64%
17/May/2022 16.75 1.63% 173 0.73% 70.04%
18/May/2022 17.16 2.42% 174 0.74% 70.45%
19/May/2022 17.38 1.27% 175 0.74% 70.85%
20/May/2022 17.39 0.06% 176 0.76% 71.26%
21/May/2022 17.62 1.31% 177 0.77% 71.66%
24/May/2022 17.92 1.69% 178 0.79% 72.06%
25/May/2022 17.93 0.06% 179 0.79% 72.47%
26/May/2022 18.1 0.94% 180 0.79% 72.87%
27/May/2022 18.24 0.77% 181 0.80% 73.28%
28/May/2022 18.02 -1.21% 182 0.82% 73.68%
31/May/2022 18.19 0.94% 183 0.84% 74.09%
01/Jun/2022 18.11 -0.44% 184 0.85% 74.49%
02/Jun/2022 18.3 1.04% 185 0.86% 74.90%
03/Jun/2022 18.42 0.65% 186 0.88% 75.30%
04/Jun/2022 18.46 0.22% 187 0.89% 75.71%
07/Jun/2022 18.6 0.76% 188 0.89% 76.11%
08/Jun/2022 18.79 1.02% 189 0.91% 76.52%
09/Jun/2022 18.66 -0.69% 190 0.91% 76.92%
10/Jun/2022 18.83 0.91% 191 0.92% 77.33%
11/Jun/2022 18.89 0.32% 192 0.92% 77.73%
14/Jun/2022 18.85 -0.21% 193 0.94% 78.14%
15/Jun/2022 18.94 0.48% 194 0.94% 78.54%
16/Jun/2022 18.88 -0.32% 195 0.95% 78.95%
17/Jun/2022 18.85 -0.16% 196 0.99% 79.35%
18/Jun/2022 18.64 -1.12% 197 0.99% 79.76%
21/Jun/2022 18.68 0.21% 198 1.00% 80.16%
22/Jun/2022 18.75 0.37% 199 1.01% 80.57%
23/Jun/2022 18.82 0.37% 200 1.02% 80.97%
24/Jun/2022 18.91 0.48% 201 1.03% 81.38%
25/Jun/2022 19.01 0.53% 202 1.04% 81.78%
28/Jun/2022 19.16 0.79% 203 1.06% 82.19%
29/Jun/2022 19.18 0.10% 204 1.07% 82.59%
30/Jun/2022 19.42 1.24% 205 1.07% 83.00%
01/Jul/2022 19.51 0.46% 206 1.08% 83.40%
02/Jul/2022 19.69 0.92% 207 1.09% 83.81%
05/Jul/2022 19.98 1.46% 208 1.11% 84.21%
06/Jul/2022 19.88 -0.50% 209 1.11% 84.62%
07/Jul/2022 20.01 0.65% 210 1.12% 85.02%
08/Jul/2022 19.98 -0.15% 211 1.13% 85.43%
09/Jul/2022 20.04 0.30% 212 1.13% 85.83%
12/Jul/2022 20.27 1.14% 213 1.14% 86.23%
13/Jul/2022 20.38 0.54% 214 1.14% 86.64%
14/Jul/2022 20.43 0.25% 215 1.16% 87.04%
15/Jul/2022 20.61 0.88% 216 1.18% 87.45%
16/Jul/2022 20.76 0.73% 217 1.19% 87.85%
19/Jul/2022 20.83 0.34% 218 1.24% 88.26%
20/Jul/2022 20.73 -0.48% 219 1.27% 88.66%
22/Jul/2022 21.01 1.34% 220 1.31% 89.07%
23/Jul/2022 20.95 -0.29% 221 1.32% 89.47%
26/Jul/2022 20.94 -0.05% 222 1.34% 89.88%
27/Jul/2022 20.84 -0.48% 223 1.35% 90.28%
28/Jul/2022 20.9 0.29% 224 1.35% 90.69%
29/Jul/2022 21.15 1.19% 225 1.35% 91.09%
30/Jul/2022 21.2 0.24% 226 1.46% 91.50%
02/Aug/2022 21.25 0.24% 227 1.51% 91.90%
03/Aug/2022 21.22 -0.14% 228 1.53% 92.31%
04/Aug/2022 20.97 -1.19% 229 1.58% 92.71%
05/Aug/2022 20.87 -0.48% 230 1.58% 93.12%
06/Aug/2022 20.87 0.00% 231 1.62% 93.52%
09/Aug/2022 20.73 -0.67% 232 1.63% 93.93%
10/Aug/2022 20.36 -1.80% 233 1.69% 94.33%
11/Aug/2022 20.32 -0.20% 234 1.69% 94.74%
12/Aug/2022 20.8 2.33% 235 1.78% 95.14%
13/Aug/2022 20.76 -0.19% 236 1.78% 95.55%
16/Aug/2022 20.61 -0.73% 237 1.85% 95.95%
17/Aug/2022 20.82 1.01% 238 1.95% 96.36%
18/Aug/2022 20.79 -0.14% 239 2.02% 96.76%
20/Aug/2022 20.32 -2.29% 240 2.05% 97.17%
23/Aug/2022 20.07 -1.24% 241 2.07% 97.57%
24/Aug/2022 20.27 0.99% 242 2.33% 97.98%
25/Aug/2022 20.43 0.79% 243 2.42% 98.38%
26/Aug/2022 20.51 0.39% 244 2.43% 98.79%
27/Aug/2022 20.65 0.68% 245 2.59% 99.19%
30/Aug/2022 20.87 1.06% 246 2.92% 99.60%
31/Aug/2022 21.02 0.72% 247 5.02% 100.00%
t may occur in a day with 99% CL
 PGIM INDIA LARGE CAP By Sai Sanidhaya, 21BSPHH01C1
Cumulat
NAV RETURN Portfolio ive
Date (Rs.) S
Day
Returns Probabil
ity
01-Sep-20 262.87
Abnormal
Condition
02-Sep-20 264.985 0.008014 1 -3.47% 0.40% 1% s
03-Sep-20 265.284 0.001128 2 -3.08% 0.81%
99% Normal
Condition
04-Sep-20 260.945 -0.016491 3 -2.76% 1.21% s
07-Sep-20 260.761 -0.000705 4 -2.71% 1.62%
08-Sep-20 259.942 -0.003146 5 -2.38% 2.02%
09-Sep-20 258.918 -0.003947 6 -2.25% 2.43%
10-Sep-20 262.579 0.014041 7 -1.98% 2.83%
11-Sep-20 263.862 0.004874 8 -1.74% 3.24%
14-Sep-20 265.512 0.006234 9 -1.74% 3.64%
15-Sep-20 267.531 0.007575 10 -1.65% 4.05%
16-Sep-20 269.345 0.006758 11 -1.61% 4.45%
17-Sep-20 267.555 -0.006668 12 -1.58% 4.86%
18-Sep-20 266.953 -0.002253 13 -1.58% 5.26%
21-Sep-20 261.023 -0.022464 14 -1.54% 5.67%
22-Sep-20 258.873 -0.008271 15 -1.50% 6.07%
23-Sep-20 258.995 0.000471 16 -1.34% 6.48%
24-Sep-20 252.061 -0.027138 17 -1.16% 6.88%
25-Sep-20 257.618 0.021807 18 -1.15% 7.29%
28-Sep-20 261.799 0.016099 19 -1.12% 7.69%
29-Sep-20 262.487 0.002625 20 -1.11% 8.10%
30-Sep-20 262.668 0.000689 21 -1.10% 8.50%
01-Oct-202265.742 0.011635 22 -1.10% 8.91%
05-Oct-202267.496 0.006579 23 -1.05% 9.31%
06-Oct-202269.869 0.008832 24 -1.05% 9.72%
07-Oct-202271.801 0.007134 25 -1.02% 10.12%
08-Oct-202274.208 0.008817 26 -0.95% 10.53%
09-Oct-202276 0.006514 27 -0.94% 10.93%
12-Oct-202275.747 -0.000917 28 -0.90% 11.34%
13-Oct-202275.696 -0.000185 29 -0.90% 11.74%
14-Oct-202277.14 0.005224 30 -0.89% 12.15%
15-Oct-202270.627 -0.023781 31 -0.85% 12.55%
16-Oct-202272.589 0.007224 32 -0.84% 12.96%
19-Oct-202274.367 0.006501 33 -0.83% 13.36%
20-Oct-202275.2 0.003031 34 -0.79% 13.77%
21-Oct-202275.739 0.001957 35 -0.75% 14.17%
22-Oct-202275.017 -0.002622 36 -0.71% 14.57%
23-Oct-202275.642 0.00227 37 -0.69% 14.98%
26-Oct-202272.48 -0.011538 38 -0.67% 15.38%
27-Oct-202275.165 0.009806 39 -0.66% 15.79%
28-Oct-202272.116 -0.011142 40 -0.66% 16.19%
29-Oct-202271.406 -0.002613 41 -0.64% 16.60%
30-Oct-202270.199 -0.004457 42 -0.60% 17.00%
02-Nov-20 270.389 0.000703 43 -0.57% 17.41%
03-Nov-20 273.466 0.011316 44 -0.51% 17.81%
04-Nov-20 275.585 0.007719 45 -0.51% 18.22%
05-Nov-20 279.647 0.014632 46 -0.46% 18.62%
06-Nov-20 282.086 0.008684 47 -0.45% 19.03%
09-Nov-20 286.632 0.015987 48 -0.40% 19.43%
10-Nov-20 289.228 0.009016 49 -0.40% 19.84%
11-Nov-20 291.147 0.006613 50 -0.39% 20.24%
12-Nov-20 290.675 -0.001622 51 -0.39% 20.65%
13-Nov-20 291.171 0.001705 52 -0.33% 21.05%
17-Nov-20 294.52 0.011436 53 -0.31% 21.46%
18-Nov-20 295.523 0.0034 54 -0.30% 21.86%
19-Nov-20 292.218 -0.011247 55 -0.29% 22.27%
20-Nov-20 294.742 0.0086 56 -0.29% 22.67%
23-Nov-20 296.995 0.007615 57 -0.29% 23.08%
24-Nov-20 299.676 0.008987 58 -0.28% 23.48%
25-Nov-20 295.212 -0.015008 59 -0.26% 23.89%
26-Nov-20 297.468 0.007613 60 -0.26% 24.29%
27-Nov-20 298.27 0.002692 61 -0.26% 24.70%
01-Dec-20 301.169 0.009672 62 -0.26% 25.10%
02-Dec-20 300.768 -0.001332 63 -0.23% 25.51%
03-Dec-20 301.186 0.001389 64 -0.22% 25.91%
04-Dec-20 304.01 0.009333 65 -0.20% 26.32%
07-Dec-20 306.045 0.006672 66 -0.17% 26.72%
08-Dec-20 307.225 0.003848 67 -0.16% 27.13%
09-Dec-20 309.464 0.007261 68 -0.16% 27.53%
10-Dec-20 308.238 -0.00397 69 -0.16% 27.94%
11-Dec-20 309.088 0.002754 70 -0.15% 28.34%
14-Dec-20 310.109 0.003298 71 -0.15% 28.74%
15-Dec-20 309.653 -0.001472 72 -0.15% 29.15%
16-Dec-20 311.825 0.00699 73 -0.13% 29.55%
17-Dec-20 312.987 0.00372 74 -0.13% 29.96%
18-Dec-20 313.378 0.001248 75 -0.13% 30.36%
21-Dec-20 304.857 -0.027567 76 -0.12% 30.77%
22-Dec-20 307.992 0.010231 77 -0.11% 31.17%
23-Dec-20 311.785 0.01224 78 -0.09% 31.58%
24-Dec-20 314.55 0.008829 79 -0.09% 31.98%
28-Dec-20 317.692 0.009939 80 -0.07% 32.39%
29-Dec-20 318.772 0.003394 81 -0.06% 32.79%
30-Dec-20 320.194 0.004451 82 -0.06% 33.20%
31-Dec-20 320.036 -0.000494 83 -0.05% 33.60%
01-Jan-20 320.865 0.002587 84 -0.04% 34.01%
04-Jan-20 324.255 0.01051 85 -0.04% 34.41%
05-Jan-20 326.645 0.007344 86 -0.02% 34.82%
06-Jan-20 326.099 -0.001673 87 0.00% 35.22%
07-Jan-20 325.685 -0.00127 88 0.02% 35.63%
08-Jan-20 330.508 0.0147 89 0.03% 36.03%
11-Jan-20 333.225 0.008187 90 0.03% 36.44%
12-Jan-20 334.629 0.004205 91 0.04% 36.84%
13-Jan-20 334.257 -0.001112 92 0.05% 37.25%
14-Jan-20 335.146 0.002656 93 0.05% 37.65%
15-Jan-20 331.491 -0.010966 94 0.05% 38.06%
18-Jan-20 328.029 -0.010499 95 0.06% 38.46%
19-Jan-20 332.724 0.014211 96 0.07% 38.87%
20-Jan-20 335.286 0.007671 97 0.07% 39.27%
21-Jan-20 333.592 -0.005065 98 0.07% 39.68%
22-Jan-20 330.445 -0.009478 99 0.10% 40.08%
25-Jan-20 327.5 -0.008952 100 0.10% 40.49%
27-Jan-20 321.854 -0.01739 101 0.11% 40.89%
28-Jan-20 318.991 -0.008935 102 0.11% 41.30%
29-Jan-20 315.494 -0.011023 103 0.12% 41.70%
01-Feb-20 328.448 0.040239 104 0.12% 42.11%
02-Feb-20 335.402 0.020951 105 0.13% 42.51%
03-Feb-20 337.831 0.007216 106 0.14% 42.91%
04-Feb-20 340.52 0.007928 107 0.15% 43.32%
05-Feb-20 339.757 -0.002243 108 0.15% 43.72%
08-Feb-20 345.322 0.016247 109 0.16% 44.13%
09-Feb-20 346.176 0.00247 110 0.17% 44.53%
10-Feb-20 347.088 0.002631 111 0.17% 44.94%
11-Feb-20 348.366 0.003675 112 0.18% 45.34%
12-Feb-20 349.381 0.002909 113 0.18% 45.75%
15-Feb-20 352.396 0.008593 114 0.19% 46.15%
16-Feb-20 351.483 -0.002594 115 0.19% 46.56%
17-Feb-20 350.569 -0.002604 116 0.19% 46.96%
18-Feb-20 348.969 -0.004574 117 0.20% 47.37%
19-Feb-20 345.417 -0.010231 118 0.23% 47.77%
22-Feb-20 338.629 -0.019847 119 0.23% 48.18%
23-Feb-20 339.822 0.003517 120 0.24% 48.58%
24-Feb-20 345.318 0.016044 121 0.25% 48.99%
25-Feb-20 347.655 0.006745 122 0.25% 49.39%
26-Feb-20 337.113 -0.030792 123 0.26% 49.80%
01-Mar-20 341.992 0.014369 124 0.26% 50.20%
02-Mar-20 345.924 0.011432 125 0.26% 50.61%
03-Mar-20 352.192 0.017957 126 0.27% 51.01%
04-Mar-20 351.184 -0.002866 127 0.27% 51.42%
05-Mar-20 347.887 -0.009433 128 0.27% 51.82%
08-Mar-20 348.051 0.000471 129 0.28% 52.23%
09-Mar-20 350.218 0.006207 130 0.29% 52.63%
10-Mar-20 351.869 0.004703 131 0.29% 53.04%
12-Mar-20 348.927 -0.008396 132 0.30% 53.44%
15-Mar-20 346.511 -0.006948 133 0.30% 53.85%
16-Mar-20 347.326 0.002349 134 0.31% 54.25%
17-Mar-20 341.871 -0.01583 135 0.32% 54.66%
18-Mar-20 337.924 -0.011612 136 0.33% 55.06%
19-Mar-20 342.403 0.013167 137 0.33% 55.47%
22-Mar-20 342.52 0.000342 138 0.33% 55.87%
23-Mar-20 345.136 0.007608 139 0.34% 56.28%
24-Mar-20 339.181 -0.017405 140 0.34% 56.68%
25-Mar-20 333.762 -0.016106 141 0.35% 57.09%
26-Mar-20 338.028 0.012701 142 0.35% 57.49%
30-Mar-20 345.304 0.021296 143 0.36% 57.89%
31-Mar-20 343.047 -0.006558 144 0.37% 58.30%
01-Apr-202346.439 0.009839 145 0.37% 58.70%
05-Apr-202341.151 -0.015382 146 0.38% 59.11%
06-Apr-202341.531 0.001113 147 0.38% 59.51%
07-Apr-202344.746 0.009369 148 0.41% 59.92%
08-Apr-202346.502 0.005081 149 0.42% 60.32%
09-Apr-202346.196 -0.000884 150 0.42% 60.73%
12-Apr-202334.373 -0.034748 151 0.43% 61.13%
13-Apr-202337.354 0.008876 152 0.45% 61.54%
15-Apr-202338.452 0.003249 153 0.47% 61.94%
16-Apr-202339.557 0.00326 154 0.49% 62.35%
19-Apr-202334.222 -0.015836 155 0.50% 62.75%
20-Apr-202333.79 -0.001293 156 0.50% 63.16%
22-Apr-202335.208 0.004239 157 0.51% 63.56%
23-Apr-202333.868 -0.004006 158 0.52% 63.97%
26-Apr-202337.604 0.011128 159 0.52% 64.37%
27-Apr-202340.975 0.009936 160 0.52% 64.78%
28-Apr-202345.754 0.013918 161 0.54% 65.18%
29-Apr-202346.004 0.000723 162 0.59% 65.59%
30-Apr-202341.395 -0.01341 163 0.59% 65.99%
03-May-20341.184 -0.000618 164 0.61% 66.40%
04-May-20338.12 -0.009021 165 0.62% 66.80%
05-May-20341.088 0.00874 166 0.62% 67.21%
06-May-20342.783 0.004957 167 0.64% 67.61%
07-May-20343.426 0.001874 168 0.64% 68.02%
10-May-20345.855 0.007048 169 0.64% 68.42%
11-May-20344.904 -0.002753 170 0.65% 68.83%
12-May-20342.628 -0.006621 171 0.65% 69.23%
14-May-20341.286 -0.003924 172 0.66% 69.64%
17-May-20346.342 0.014706 173 0.66% 70.04%
18-May-20350.921 0.013134 174 0.66% 70.45%
19-May-20351.032 0.000316 175 0.67% 70.85%
20-May-20348.793 -0.006399 176 0.67% 71.26%
21-May-20354.065 0.015002 177 0.68% 71.66%
24-May-20354.905 0.00237 178 0.70% 72.06%
25-May-20355.565 0.001858 179 0.70% 72.47%
26-May-20357.506 0.005444 180 0.71% 72.87%
27-May-20358.609 0.003081 181 0.72% 73.28%
28-May-20359.918 0.003644 182 0.72% 73.68%
31-May-20363.815 0.010769 183 0.73% 74.09%
01-Jun-20 362.612 -0.003312 184 0.73% 74.49%
02-Jun-20 363.89 0.003518 185 0.76% 74.90%
03-Jun-20 366.787 0.00793 186 0.76% 75.30%
04-Jun-20 366.649 -0.000376 187 0.76% 75.71%
07-Jun-20 368.997 0.006384 188 0.76% 76.11%
08-Jun-20 369.666 0.001811 189 0.76% 76.52%
09-Jun-20 367.037 -0.007137 190 0.77% 76.92%
10-Jun-20 370.05 0.008175 191 0.77% 77.33%
11-Jun-20 370.757 0.001909 192 0.79% 77.73%
14-Jun-20 371.115 0.000965 193 0.79% 78.14%
15-Jun-20 373.296 0.00586 194 0.80% 78.54%
16-Jun-20 371.399 -0.005095 195 0.82% 78.95%
17-Jun-20 370.293 -0.002982 196 0.82% 79.35%
18-Jun-20 369.859 -0.001173 197 0.86% 79.76%
21-Jun-20 371.447 0.004284 198 0.86% 80.16%
22-Jun-20 372.537 0.00293 199 0.87% 80.57%
23-Jun-20 370.416 -0.00571 200 0.87% 80.97%
24-Jun-20 372.609 0.005903 201 0.88% 81.38%
25-Jun-20 374.479 0.005006 202 0.88% 81.78%
28-Jun-20 374.331 -0.000395 203 0.88% 82.19%
29-Jun-20 373.748 -0.001559 204 0.89% 82.59%
30-Jun-20 373.839 0.000243 205 0.90% 83.00%
01-Jul-202373.108 -0.001957 206 0.90% 83.40%
02-Jul-202374.237 0.003021 207 0.93% 83.81%
05-Jul-202376.723 0.006621 208 0.94% 84.21%
06-Jul-202377.177 0.001204 209 0.96% 84.62%
07-Jul-202377.74 0.001492 210 0.97% 85.02%
08-Jul-202374.909 -0.007523 211 0.98% 85.43%
09-Jul-202374.349 -0.001495 212 0.98% 85.83%
12-Jul-202375.019 0.001788 213 0.99% 86.23%
13-Jul-202377.31 0.00609 214 0.99% 86.64%
14-Jul-202377.958 0.001716 215 1.02% 87.04%
15-Jul-202379.205 0.003294 216 1.05% 87.45%
16-Jul-202380.155 0.002502 217 1.08% 87.85%
19-Jul-202376.175 -0.010525 218 1.11% 88.26%
20-Jul-202373.207 -0.007921 219 1.11% 88.66%
22-Jul-202378.102 0.013031 220 1.13% 89.07%
23-Jul-202380.515 0.006362 221 1.14% 89.47%
26-Jul-202381.117 0.001581 222 1.14% 89.88%
27-Jul-202378.849 -0.005969 223 1.16% 90.28%
28-Jul-202378.25 -0.001582 224 1.18% 90.69%
29-Jul-202379.272 0.002698 225 1.22% 91.09%
30-Jul-202379.03 -0.000638 226 1.27% 91.50%
02-Aug-20 382.704 0.009646 227 1.30% 91.90%
03-Aug-20 387.241 0.011785 228 1.31% 92.31%
04-Aug-20 388.726 0.003827 229 1.32% 92.71%
05-Aug-20 388.912 0.000478 230 1.39% 93.12%
06-Aug-20 387.8 -0.002863 231 1.40% 93.52%
09-Aug-20 387.954 0.000397 232 1.42% 93.93%
10-Aug-20 388.473 0.001337 233 1.44% 94.33%
11-Aug-20 387.352 -0.00289 234 1.45% 94.74%
12-Aug-20 389.829 0.006374 235 1.46% 95.14%
13-Aug-20 392.788 0.007562 236 1.47% 95.55%
16-Aug-20 392.188 -0.001529 237 1.47% 95.95%
17-Aug-20 393.781 0.004054 238 1.50% 96.36%
18-Aug-20 393.771 -2.54E-05 239 1.60% 96.76%
20-Aug-20 390.446 -0.00848 240 1.60% 97.17%
23-Aug-20 390.829 0.00098 241 1.61% 97.57%
24-Aug-20 392.878 0.005229 242 1.62% 97.98%
25-Aug-20 393.475 0.001518 243 1.80% 98.38%
26-Aug-20 393.724 0.000633 244 2.10% 98.79%
27-Aug-20 395.787 0.005226 245 2.13% 99.19%
30-Aug-20 401.575 0.014518 246 2.18% 99.60%
31-Aug-20 406.06 0.011107 247 4.02% 100.00%
21BSPHH01C1026

TotalNumber of trading Days

247

Value at Risk using Historical Method

Portfolio Value (AUM) as

on31st Aug 20222 5755148000
Confidence Level 99%
Value at Risk -177214951.655
Probable Value of the Portfolio 5577933048.345

Maximum loss that can occur in one day which we can say with 99% confidence level is 177258558.4.