This document contains 32 appendices related to analyzing equities in the FTSE 100 index. It includes appendices on the equities used in the sample, volatility surfaces for individual equities, initial charts of trading volume for various equities, regressions analyzing the relationship between trading volume and whether options are in, at, or out of the money, and ARIMA regressions analyzing how trading volume and bid-ask spreads change over time for different equities.

1. A1
Appendices
Appendix1 – Equitiesusedin the sample (data taken from Bloomberg)
Ticker Name IndexWeight(%) Shares Price
UKX Index
HSBA LN
Equity HSBC HoldingsPLC 6.702323 19070 600.2
BP/ LN
Equity BP PLC 4.619305 18237.35 432.55
RDSA LN
Equity Royal Dutch Shell PLC 4.196888 3895.21 1840
GSK LN
Equity GlaxoSmithKline PLC 3.860381 4861.741 1356
BATS LN
Equity
BritishAmericanTobacco
PLC 3.739508 1864.011 3426
VODLN
Equity Vodafone GroupPLC 3.609877 26566.37 232.05
AZN LN
Equity AstraZenecaPLC 3.094021 1261.948 4187
DGE LN
Equity DiageoPLC 2.762457 2518.716 1873
LLOY LN
Equity LloydsBankingGroupPLC 2.727278 54049.88 86.17
RDSB LN
Equity Royal Dutch Shell PLC 2.682745 2452.584 1868
BARC LN
Equity BarclaysPLC 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 GroupPLC 2.155308 3403.331 1081.5
RB/ LN
Equity
ReckittBenckiserGroup
PLC 2.129825 645.1195 5638
RIO LN
Equity RioTinto PLC 2.053285 1247.633 2810.5
ULVR LN
Equity UnileverPLC 1.962551 1206.452 2778
NG/ LN
Equity National GridPLC 1.874154 3772.026 848.5
SAB LN
Equity SABMillerPLC 1.841745 945.3619 3327
IMT LN
Equity
Imperial TobaccoGroup
PLC 1.818817 963.419 3224

2. A2
VolatilitySurfaces
VOD (Appendix2)

3. A3
GSK (Appendix3)

4. A4

5. A5
BARC (Appendix4)

6. A6
Initial Charts (Appendix5)
AZN
0
2000000
4000000
6000000
8000000
10000000
12000000
14000000
16000000
18000000
0 10 20 30 40 50 60
Volume
Volume
Linear (Volume)

7. A7
BATS
0
2000000
4000000
6000000
8000000
10000000
12000000
14000000
16000000
18000000
0 10 20 30 40 50 60
Volume
Volume
Linear (Volume)
0
1000000
2000000
3000000
4000000
5000000
6000000
7000000
8000000
9000000
0 10 20 30 40
Volume
Volume
Linear (Volume)

8. A8
LLOY
0
1000000
2000000
3000000
4000000
5000000
6000000
7000000
8000000
9000000
0 10 20 30 40 50 60
Volume
Volume
Linear (Volume)
0
5000000
10000000
15000000
20000000
25000000
30000000
0 5 10 15 20 25 30 35 40
Volume
Volume
Linear (Volume)

9. A9
Percentage Change (Appendix6)
AZN
0
5000000
10000000
15000000
20000000
25000000
30000000
0 10 20 30 40 50 60
Volume
Volume
Linear (Volume)

10. A10
BP
Early Regressions
Trading Volume and DITM (Appendix7)
BP

11. A11
BT
GSK

12. A12
DGE
IMT

13. A13
LLOY
RB

14. A14
Trading Volume ATM (Appendix8)
BATS
PRU

15. A15
RDSB
RDSA

16. A16
Trading Volume DOTM (Appendix9)
NG
AZN

17. A17
BARC
DGE

18. A18
RIO
ULVR

19. A19
Bid-ask Spread
DITM (Appendix10)
SAB
RDSA

20. A20
ATM (Appendix11)
DGE
GSK

21. A21
DOTM (Appendix12)
BT
IMT

22. A22
ARIMA Regressions
Volume (DITM) (Appendix13)
AZN
BT
ULVR
ATM (Appendix14)
IMT

23. A23
PRU
RB
DOTM (Appendix15)
GSK
IMT

24. A24
NG
Spread (DITM) (Appendix16)
DGE
GSK

25. A25
RDSA
ATM (Appendix17)
AZN
NG
DOTM (Appendix18)
DGE

26. A26
RDSB
Symmetry
Volume (Appendix19)
BARC
RIO

27. A27
ULVR

28. A28
BP
NG

29. A29
LLOY
Spread (Appendix20)
BP

30. A30
DGE
RDSA

31. A31
RDSB
IMT

32. A32
Symmetry ARIMA
Volume (Appendix21)
BG
NG
PRU

33. A33
Spread (Appendix22)
DGE
RDSB