No. of Scenario

Scenario

1

Underlying unchanged, volatility up

2

Underlying unchanged, volatility down

3

Underlying up 1/3, volatility up

4

Underlying up 1/3, volatility down

5

Underlying down 1/3, volatility up

6

Underlying down 1/3, volatility down

7

Underlying up 2/3, volatility up

8

Underlying up 2/3, volatility down

9

Underlying down 2/3, volatility up

10

Underlying down 2/3, volatility down

11

Underlying up 3/3, volatility up

12

Underlying up 3/3, volatility down

13

Underlying down 3/3, volatility up

14

Underlying down 3/3, volatility down

15

Underlying up extremely, cover part of loss

16

Underlying down extremely, cover part of loss