Internal Revenue Bulletin: 2003-34 |
August 25, 2003 |
| Term (months) | 3 | 12 | 24 | 36 | 48 | 60 | 72 | 84 | 96 | 108 | 120 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Volatility | Spread Factor* | |||||||||||
| Low | 200% | 66.8% | 67.3% | 67.9% | 68.4% | 69.0% | 69.5% | 69.9% | 70.3% | 70.7% | 71.0% | 71.2% |
| 180% | 64.5% | 65.0% | 65.7% | 66.4% | 67.1% | 67.7% | 68.3% | 68.8% | 69.3% | 69.6% | 69.9% | |
| 160% | 61.8% | 62.4% | 63.3% | 64.1% | 65.0% | 65.8% | 66.5% | 67.1% | 67.7% | 68.1% | 68.5% | |
| 140% | 58.6% | 59.4% | 60.4% | 61.5% | 62.5% | 63.5% | 64.4% | 65.1% | 65.8% | 66.4% | 66.9% | |
| 120% | 54.9% | 55.8% | 57.1% | 58.4% | 59.7% | 60.9% | 62.0% | 62.9% | 63.7% | 64.5% | 65.1% | |
| 100% | 50.4% | 51.5% | 53.2% | 54.8% | 56.4% | 57.9% | 59.1% | 60.3% | 61.3% | 62.2% | 63.0% | |
| 80% | 44.9% | 46.3% | 48.5% | 50.6% | 52.6% | 54.3% | 55.9% | 57.3% | 58.5% | 59.6% | 60.5% | |
| 60% | 38.0% | 40.0% | 42.9% | 45.6% | 48.0% | 50.1% | 52.0% | 53.7% | 55.2% | 56.5% | 57.6% | |
| 40% | 29.3% | 32.3% | 36.3% | 39.7% | 42.6% | 45.2% | 47.4% | 49.4% | 51.2% | 52.7% | 54.1% | |
| 20% | 18.1% | 23.3% | 28.5% | 32.7% | 36.2% | 39.3% | 41.9% | 44.3% | 46.4% | 48.2% | 49.9% | |
| 0% | 6.4% | 13.6% | 19.9% | 24.7% | 28.8% | 32.3% | 35.4% | 38.1% | 40.5% | 42.7% | 44.7% | |
| -20% | 0.6% | 5.4% | 11.2% | 16.1% | 20.4% | 24.2% | 27.6% | 30.6% | 33.4% | 35.9% | 38.1% | |
| -40% | 0% | 0.9% | 4.1% | 7.9% | 11.6% | 15.2% | 18.5% | 21.7% | 24.6% | 27.3% | 29.9% | |
| -60% | 0% | 0.0% | 0.6% | 2.0% | 4.0% | 6.4% | 9.0% | 11.6% | 14.3% | 16.8% | 19.3% | |
| Medium | 200% | 66.8% | 67.4% | 68.6% | 69.9% | 71.1% | 72.2% | 73.1% | 73.9% | 74.5% | 75.0% | 75.4% |
| 180% | 64.5% | 65.2% | 66.7% | 68.2% | 69.6% | 70.9% | 71.9% | 72.8% | 73.5% | 74.1% | 74.6% | |
| 160% | 61.8% | 62.7% | 64.5% | 66.3% | 68.0% | 69.4% | 70.6% | 71.6% | 72.5% | 73.2% | 73.7% | |
| 140% | 58.6% | 59.8% | 62.0% | 64.2% | 66.1% | 67.7% | 69.1% | 70.3% | 71.2% | 72.0% | 72.7% | |
| 120% | 54.9% | 56.4% | 59.2% | 61.7% | 63.9% | 65.8% | 67.4% | 68.8% | 69.9% | 70.8% | 71.6% | |
| 100% | 50.4% | 52.5% | 55.9% | 58.9% | 61.5% | 63.7% | 65.5% | 67.0% | 68.3% | 69.4% | 70.3% | |
| 80% | 44.9% | 47.9% | 52.2% | 55.7% | 58.7% | 61.2% | 63.2% | 65.0% | 66.5% | 67.7% | 68.8% | |
| 60% | 38.2% | 42.6% | 47.8% | 52.0% | 55.4% | 58.3% | 60.6% | 62.7% | 64.3% | 65.8% | 67.0% | |
| 40% | 30.0% | 36.3% | 42.7% | 47.6% | 51.6% | 54.8% | 57.6% | 59.9% | 61.8% | 63.5% | 64.9% | |
| 20% | 20.3% | 29.1% | 36.8% | 42.5% | 47.0% | 50.8% | 53.9% | 56.5% | 58.8% | 60.7% | 62.3% | |
| 0% | 10.4% | 21.2% | 30.0% | 36.4% | 41.6% | 45.8% | 49.4% | 52.4% | 55.0% | 57.2% | 59.1% | |
| -20% | 3.0% | 13.0% | 22.2% | 29.2% | 34.9% | 39.7% | 43.7% | 47.2% | 50.2% | 52.8% | 55.0% | |
| -40% | 0.3% | 5.7% | 13.8% | 20.8% | 26.8% | 32.0% | 36.4% | 40.4% | 43.8% | 46.8% | 49.5% | |
| -60% | 0% | 1.2% | 5.9% | 11.4% | 16.9% | 22.1% | 26.7% | 31.0% | 34.8% | 38.3% | 41.4% | |
| High | 200% | 66.8% | 68.1% | 70.7% | 73.1% | 75.0% | 76.6% | 77.8% | 78.8% | 79.5% | 80.0% | 80.4% |
| 180% | 64.5% | 66.1% | 69.1% | 71.7% | 73.9% | 75.6% | 77.0% | 78.1% | 78.9% | 79.5% | 79.9% | |
| 160% | 61.8% | 63.8% | 67.3% | 70.3% | 72.7% | 74.6% | 76.1% | 77.3% | 78.2% | 78.9% | 79.4% | |
| 140% | 58.6% | 61.3% | 65.3% | 68.6% | 71.3% | 73.4% | 75.1% | 76.4% | 77.4% | 78.2% | 78.8% | |
| 120% | 54.9% | 58.3% | 63.0% | 66.8% | 69.7% | 72.1% | 73.9% | 75.4% | 76.6% | 77.4% | 78.1% | |
| 100% | 50.6% | 55.0% | 60.4% | 64.6% | 67.9% | 70.6% | 72.6% | 74.3% | 75.6% | 76.6% | 77.3% | |
| 80% | 45.3% | 51.1% | 57.4% | 62.2% | 65.9% | 68.8% | 71.1% | 73.0% | 74.4% | 75.6% | 76.5% | |
| 60% | 39.1% | 46.6% | 54.0% | 59.4% | 63.5% | 66.8% | 69.4% | 71.4% | 73.1% | 74.4% | 75.4% | |
| 40% | 31.7% | 41.4% | 50.0% | 56.1% | 60.7% | 64.4% | 67.3% | 69.6% | 71.5% | 73.0% | 74.2% | |
| 20% | 23.2% | 35.4% | 45.3% | 52.1% | 57.4% | 61.5% | 64.8% | 67.4% | 69.6% | 71.3% | 72.7% | |
| 0% | 14.3% | 28.5% | 39.6% | 47.4% | 53.3% | 57.9% | 61.6% | 64.7% | 67.1% | 69.1% | 70.8% | |
| -20% | 6.4% | 20.8% | 32.9% | 41.5% | 48.1% | 53.4% | 57.6% | 61.1% | 64.0% | 66.4% | 68.3% | |
| -40% | 1.5% | 12.7% | 24.8% | 34.0% | 41.4% | 47.3% | 52.2% | 56.3% | 59.7% | 62.5% | 64.8% | |
| -60% | 0.1% | 5.2% | 15.2% | 24.3% | 32.1% | 38.8% | 44.4% | 49.1% | 53.2% | 56.6% | 59.5% | |
| [a] | ||||||||||||
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[a] * Spot (market) Price/Exercise Price — 1 or (S/X-1) |
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The principal author of this procedure is Erinn Madden of the Office of Chief Counsel of the Division Counsel/Associate Chief Counsel (Tax Exempt and Government Entities. However, other personnel from the IRS and Treasury Department participated in its development. For further information regarding this revenue procedure, contact Ms. Madden (202) 622-6030 (not a toll-free call).
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