| Dell risk hedging model using put options |
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| Inputs |
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| Current price of stock |
$94.25 |
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| Price per put[1] |
$5.25 |
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| Exercise price |
$80.00 |
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| Decision variable |
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| Number of puts to purchase |
3 |
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| Model of portfolio return |
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| Amount invested |
$110.00 |
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| Future stock price (trial value) |
$60.00 |
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| Amount received from stock |
$60.00 |
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| Amount received from puts |
$60.00 |
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| Total amount received |
$120.00 |
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| Return |
9.09% |
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| Worst
and best case returns from data table below for each number of puts purchased |
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| Number of puts |
0 |
1 |
2 |
3 |
4 |
5 |
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| Worst return |
-57.56% |
-19.60% |
-23.63% |
-27.27% |
-30.59% |
-33.61% |
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| Best return |
59.15% |
50.75% |
43.20% |
45.45% |
73.54% |
99.17% |
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| Data
table of return as a function of future price (along side) and puts purchased
(along top) |
| 9.09% |
0 |
1 |
2 |
3 |
4 |
5 |
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| $40 |
-57.56% |
-19.60% |
14.56% |
45.45% |
73.54% |
99.17% |
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| $41 |
-56.50% |
-19.60% |
13.60% |
43.64% |
70.93% |
95.85% |
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| $42 |
-55.44% |
-19.60% |
12.65% |
41.82% |
68.33% |
92.53% |
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| $43 |
-54.38% |
-19.60% |
11.69% |
40.00% |
65.73% |
89.21% |
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| $44 |
-53.32% |
-19.60% |
10.74% |
38.18% |
63.12% |
85.89% |
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| $45 |
-52.25% |
-19.60% |
9.79% |
36.36% |
60.52% |
82.57% |
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| $46 |
-51.19% |
-19.60% |
8.83% |
34.55% |
57.92% |
79.25% |
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| $47 |
-50.13% |
-19.60% |
7.88% |
32.73% |
55.31% |
75.93% |
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| $48 |
-49.07% |
-19.60% |
6.92% |
30.91% |
52.71% |
72.61% |
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| $49 |
-48.01% |
-19.60% |
5.97% |
29.09% |
50.11% |
69.29% |
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| $50 |
-46.95% |
-19.60% |
5.01% |
27.27% |
47.51% |
65.98% |
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| $51 |
-45.89% |
-19.60% |
4.06% |
25.45% |
44.90% |
62.66% |
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| $52 |
-44.83% |
-19.60% |
3.10% |
23.64% |
42.30% |
59.34% |
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| $53 |
-43.77% |
-19.60% |
2.15% |
21.82% |
39.70% |
56.02% |
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| $54 |
-42.71% |
-19.60% |
1.19% |
20.00% |
37.09% |
52.70% |
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| $55 |
-41.64% |
-19.60% |
0.24% |
18.18% |
34.49% |
49.38% |
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| $56 |
-40.58% |
-19.60% |
-0.72% |
16.36% |
31.89% |
46.06% |
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| $57 |
-39.52% |
-19.60% |
-1.67% |
14.55% |
29.28% |
42.74% |
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| $58 |
-38.46% |
-19.60% |
-2.63% |
12.73% |
26.68% |
39.42% |
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| $59 |
-37.40% |
-19.60% |
-3.58% |
10.91% |
24.08% |
36.10% |
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| $60 |
-36.34% |
-19.60% |
-4.53% |
9.09% |
21.48% |
32.78% |
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| $61 |
-35.28% |
-19.60% |
-5.49% |
7.27% |
18.87% |
29.46% |
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| $62 |
-34.22% |
-19.60% |
-6.44% |
5.45% |
16.27% |
26.14% |
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| $63 |
-33.16% |
-19.60% |
-7.40% |
3.64% |
13.67% |
22.82% |
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| $64 |
-32.10% |
-19.60% |
-8.35% |
1.82% |
11.06% |
19.50% |
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| $65 |
-31.03% |
-19.60% |
-9.31% |
0.00% |
8.46% |
16.18% |
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| $66 |
-29.97% |
-19.60% |
-10.26% |
-1.82% |
5.86% |
12.86% |
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| $67 |
-28.91% |
-19.60% |
-11.22% |
-3.64% |
3.25% |
9.54% |
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| $68 |
-27.85% |
-19.60% |
-12.17% |
-5.45% |
0.65% |
6.22% |
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| $69 |
-26.79% |
-19.60% |
-13.13% |
-7.27% |
-1.95% |
2.90% |
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| $70 |
-25.73% |
-19.60% |
-14.08% |
-9.09% |
-4.56% |
-0.41% |
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| $71 |
-24.67% |
-19.60% |
-15.04% |
-10.91% |
-7.16% |
-3.73% |
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| $72 |
-23.61% |
-19.60% |
-15.99% |
-12.73% |
-9.76% |
-7.05% |
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| $73 |
-22.55% |
-19.60% |
-16.95% |
-14.55% |
-12.36% |
-10.37% |
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| $74 |
-21.49% |
-19.60% |
-17.90% |
-16.36% |
-14.97% |
-13.69% |
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| $75 |
-20.42% |
-19.60% |
-18.85% |
-18.18% |
-17.57% |
-17.01% |
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| $76 |
-19.36% |
-19.60% |
-19.81% |
-20.00% |
-20.17% |
-20.33% |
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| $77 |
-18.30% |
-19.60% |
-20.76% |
-21.82% |
-22.78% |
-23.65% |
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| $78 |
-17.24% |
-19.60% |
-21.72% |
-23.64% |
-25.38% |
-26.97% |
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| $79 |
-16.18% |
-19.60% |
-22.67% |
-25.45% |
-27.98% |
-30.29% |
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| $80 |
-15.12% |
-19.60% |
-23.63% |
-27.27% |
-30.59% |
-33.61% |
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| $81 |
-14.06% |
-18.59% |
-22.67% |
-26.36% |
-29.72% |
-32.78% |
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| $82 |
-13.00% |
-17.59% |
-21.72% |
-25.45% |
-28.85% |
-31.95% |
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| $83 |
-11.94% |
-16.58% |
-20.76% |
-24.55% |
-27.98% |
-31.12% |
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| $84 |
-10.88% |
-15.58% |
-19.81% |
-23.64% |
-27.11% |
-30.29% |
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| $85 |
-9.81% |
-14.57% |
-18.85% |
-22.73% |
-26.25% |
-29.46% |
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| $86 |
-8.75% |
-13.57% |
-17.90% |
-21.82% |
-25.38% |
-28.63% |
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| $87 |
-7.69% |
-12.56% |
-16.95% |
-20.91% |
-24.51% |
-27.80% |
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| $88 |
-6.63% |
-11.56% |
-15.99% |
-20.00% |
-23.64% |
-26.97% |
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| $89 |
-5.57% |
-10.55% |
-15.04% |
-19.09% |
-22.78% |
-26.14% |
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| $90 |
-4.51% |
-9.55% |
-14.08% |
-18.18% |
-21.91% |
-25.31% |
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| $91 |
-3.45% |
-8.54% |
-13.13% |
-17.27% |
-21.04% |
-24.48% |
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| $92 |
-2.39% |
-7.54% |
-12.17% |
-16.36% |
-20.17% |
-23.65% |
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| $93 |
-1.33% |
-6.53% |
-11.22% |
-15.45% |
-19.31% |
-22.82% |
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| $94 |
-0.27% |
-5.53% |
-10.26% |
-14.55% |
-18.44% |
-21.99% |
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| $95 |
0.80% |
-4.52% |
-9.31% |
-13.64% |
-17.57% |
-21.16% |
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| $96 |
1.86% |
-3.52% |
-8.35% |
-12.73% |
-16.70% |
-20.33% |
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| $97 |
2.92% |
-2.51% |
-7.40% |
-11.82% |
-15.84% |
-19.50% |
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| $98 |
3.98% |
-1.51% |
-6.44% |
-10.91% |
-14.97% |
-18.67% |
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| $99 |
5.04% |
-0.50% |
-5.49% |
-10.00% |
-14.10% |
-17.84% |
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| $100 |
6.10% |
0.50% |
-4.53% |
-9.09% |
-13.23% |
-17.01% |
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| $101 |
7.16% |
1.51% |
-3.58% |
-8.18% |
-12.36% |
-16.18% |
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| $102 |
8.22% |
2.51% |
-2.63% |
-7.27% |
-11.50% |
-15.35% |
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| $103 |
9.28% |
3.52% |
-1.67% |
-6.36% |
-10.63% |
-14.52% |
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| $104 |
10.34% |
4.52% |
-0.72% |
-5.45% |
-9.76% |
-13.69% |
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| $105 |
11.41% |
5.53% |
0.24% |
-4.55% |
-8.89% |
-12.86% |
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| $106 |
12.47% |
6.53% |
1.19% |
-3.64% |
-8.03% |
-12.03% |
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| $107 |
13.53% |
7.54% |
2.15% |
-2.73% |
-7.16% |
-11.20% |
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| $108 |
14.59% |
8.54% |
3.10% |
-1.82% |
-6.29% |
-10.37% |
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| $109 |
15.65% |
9.55% |
4.06% |
-0.91% |
-5.42% |
-9.54% |
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| $110 |
16.71% |
10.55% |
5.01% |
0.00% |
-4.56% |
-8.71% |
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| $111 |
17.77% |
11.56% |
5.97% |
0.91% |
-3.69% |
-7.88% |
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| $112 |
18.83% |
12.56% |
6.92% |
1.82% |
-2.82% |
-7.05% |
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| $113 |
19.89% |
13.57% |
7.88% |
2.73% |
-1.95% |
-6.22% |
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| $114 |
20.95% |
14.57% |
8.83% |
3.64% |
-1.08% |
-5.39% |
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| $115 |
22.02% |
15.58% |
9.79% |
4.55% |
-0.22% |
-4.56% |
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| $116 |
23.08% |
16.58% |
10.74% |
5.45% |
0.65% |
-3.73% |
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| $117 |
24.14% |
17.59% |
11.69% |
6.36% |
1.52% |
-2.90% |
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| $118 |
25.20% |
18.59% |
12.65% |
7.27% |
2.39% |
-2.07% |
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| $119 |
26.26% |
19.60% |
13.60% |
8.18% |
3.25% |
-1.24% |
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| $120 |
27.32% |
20.60% |
14.56% |
9.09% |
4.12% |
-0.41% |
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| $121 |
28.38% |
21.61% |
15.51% |
10.00% |
4.99% |
0.41% |
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| $122 |
29.44% |
22.61% |
16.47% |
10.91% |
5.86% |
1.24% |
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| $123 |
30.50% |
23.62% |
17.42% |
11.82% |
6.72% |
2.07% |
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| $124 |
31.56% |
24.62% |
18.38% |
12.73% |
7.59% |
2.90% |
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| $125 |
32.63% |
25.63% |
19.33% |
13.64% |
8.46% |
3.73% |
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| $126 |
33.69% |
26.63% |
20.29% |
14.55% |
9.33% |
4.56% |
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| $127 |
34.75% |
27.64% |
21.24% |
15.45% |
10.20% |
5.39% |
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| $128 |
35.81% |
28.64% |
22.20% |
16.36% |
11.06% |
6.22% |
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| $129 |
36.87% |
29.65% |
23.15% |
17.27% |
11.93% |
7.05% |
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| $130 |
37.93% |
30.65% |
24.11% |
18.18% |
12.80% |
7.88% |
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| $131 |
38.99% |
31.66% |
25.06% |
19.09% |
13.67% |
8.71% |
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| $132 |
40.05% |
32.66% |
26.01% |
20.00% |
14.53% |
9.54% |
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| $133 |
41.11% |
33.67% |
26.97% |
20.91% |
15.40% |
10.37% |
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| $134 |
42.18% |
34.67% |
27.92% |
21.82% |
16.27% |
11.20% |
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| $135 |
43.24% |
35.68% |
28.88% |
22.73% |
17.14% |
12.03% |
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| $136 |
44.30% |
36.68% |
29.83% |
23.64% |
18.00% |
12.86% |
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| $137 |
45.36% |
37.69% |
30.79% |
24.55% |
18.87% |
13.69% |
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| $138 |
46.42% |
38.69% |
31.74% |
25.45% |
19.74% |
14.52% |
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| $139 |
47.48% |
39.70% |
32.70% |
26.36% |
20.61% |
15.35% |
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| $140 |
48.54% |
40.70% |
33.65% |
27.27% |
21.48% |
16.18% |
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| $141 |
49.60% |
41.71% |
34.61% |
28.18% |
22.34% |
17.01% |
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| $142 |
50.66% |
42.71% |
35.56% |
29.09% |
23.21% |
17.84% |
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| $143 |
51.72% |
43.72% |
36.52% |
30.00% |
24.08% |
18.67% |
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| $144 |
52.79% |
44.72% |
37.47% |
30.91% |
24.95% |
19.50% |
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| $145 |
53.85% |
45.73% |
38.42% |
31.82% |
25.81% |
20.33% |
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| $146 |
54.91% |
46.73% |
39.38% |
32.73% |
26.68% |
21.16% |
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| $147 |
55.97% |
47.74% |
40.33% |
33.64% |
27.55% |
21.99% |
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| $148 |
57.03% |
48.74% |
41.29% |
34.55% |
28.42% |
22.82% |
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| $149 |
58.09% |
49.75% |
42.24% |
35.45% |
29.28% |
23.65% |
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| $150 |
59.15% |
50.75% |
43.20% |
36.36% |
30.15% |
24.48% |
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