Appendices

Appendix 1 – Equities used in the sample (data taken from Bloomberg)

Ticker Name Index Weight(%) Shares PriceUKX IndexHSBA LN Equity HSBC Holdings PLC 6.702323 19070 600.2BP/ LN Equity BP PLC 4.619305

18237.35 432.55

RDSA LN Equity Royal Dutch Shell PLC 4.196888 3895.21 1840GSK LN Equity GlaxoSmithKline PLC 3.860381

4861.741 1356

BATS LN Equity

British American Tobacco PLC 3.739508

1864.011 3426

VOD LN Equity Vodafone Group PLC 3.609877

26566.37 232.05

AZN LN Equity AstraZeneca PLC 3.094021

1261.948 4187

DGE LN Equity Diageo PLC 2.762457

2518.716 1873

LLOY LN Equity Lloyds Banking Group PLC 2.727278

54049.88 86.17

RDSB LN Equity Royal Dutch Shell PLC 2.682745

2452.584 1868

BARC LN Equity Barclays PLC 2.541212

16394.88 264.7

PRU LN Equity Prudential PLC 2.360066

2551.677 1579.5

BT/A LN Equity BT Group PLC 2.220045

8369.218 453

BG/ LN Equity BG Group PLC 2.155308

3403.331 1081.5

RB/ LN Equity

Reckitt Benckiser Group PLC 2.129825

645.1195 5638

RIO LN Equity Rio Tinto PLC 2.053285

1247.633 2810.5

ULVR LN Equity Unilever PLC 1.962551

1206.452 2778

NG/ LN Equity National Grid PLC 1.874154

3772.026 848.5

SAB LN Equity SABMiller PLC 1.841745

945.3619 3327

IMT LN Equity

Imperial Tobacco Group PLC 1.818817 963.419 3224

A1

Volatility Surfaces

VOD (Appendix 2)

A2

GSK (Appendix 3)

A3

A4

BARC (Appendix 4)

A5

Initial Charts (Appendix 5)

AZN

0 10 20 30 40 50 600

2000000

4000000

6000000

8000000

10000000

12000000

14000000

16000000

18000000

Volume

VolumeLinear (Volume)

A6

15 20 25 30 35 40 45 50 55 600

2000000

4000000

6000000

8000000

10000000

12000000

14000000

16000000

18000000

Volume

VolumeLinear (Volume)

BATS

10 15 20 25 30 35 400

1000000

2000000

3000000

4000000

5000000

6000000

7000000

8000000

9000000

Volume

VolumeLinear (Volume)

A7

15 20 25 30 35 40 45 500

1000000

2000000

3000000

4000000

5000000

6000000

7000000

8000000

9000000

Volume

VolumeLinear (Volume)

LLOY

5 10 15 20 25 30 35 400

5000000

10000000

15000000

20000000

25000000

30000000

Volume

VolumeLinear (Volume)

A8

10 15 20 25 30 35 40 45 50 55 600

5000000

10000000

15000000

20000000

25000000

30000000

Volume

VolumeLinear (Volume)

Percentage Change (Appendix 6)

AZN

A9

BP

Early Regressions

Trading Volume and DITM (Appendix 7)

BP

A10

BT

GSK

A11

DGE

IMT

A12

LLOY

RB

A13

Trading Volume ATM (Appendix 8)

BATS

PRU

A14

RDSB

RDSA

A15

Trading Volume DOTM (Appendix 9)

NG

AZN

A16

BARC

DGE

A17

RIO

ULVR

A18

Bid-ask Spread

DITM (Appendix 10)

SAB

RDSA

A19

ATM (Appendix 11)

DGE

GSK

A20

DOTM (Appendix 12)

BT

IMT

A21

ARIMA Regressions

Volume (DITM) (Appendix 13)

AZN

BT

ULVR

ATM (Appendix 14)

IMT

A22

PRU

RB

DOTM (Appendix 15)

GSK

IMT

A23

NG

Spread (DITM) (Appendix 16)

DGE

GSK

A24

RDSA

ATM (Appendix 17)

AZN

NG

DOTM (Appendix 18)

DGE

A25

RDSB

Symmetry

Volume (Appendix 19)

BARC

RIO

A26

ULVR

A27

BP

NG

A28

LLOY

Spread (Appendix 20)

BP

A29

DGE

RDSA

A30

RDSB

IMT

A31

Symmetry ARIMA

Volume (Appendix 21)

BG

NG

PRU

A32

Spread (Appendix 22)

DGE

RDSB

A33