Message-ID: <14346367.1075857578859.JavaMail.evans@thyme> Date: Tue, 13 Jun 2000 00:52:00 -0700 (PDT) From: john.arnold@enron.com To: vladimir.gorny@enron.com Subject: Re: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: John Arnold X-To: Vladimir Gorny X-cc: X-bcc: X-Folder: \John_Arnold_Dec2000\Notes Folders\All documents X-Origin: Arnold-J X-FileName: Jarnold.nsf yes To: John Arnold/HOU/ECT@ECT cc: Subject: Re: John, 2. Do you assume at-the-money straddles? If not, please give us deltas and gammas. See you at 5:30 tomorrow. Vlady. John Arnold 06/12/2000 08:47 AM To: Vladimir Gorny/HOU/ECT@ECT cc: Subject: Vlady: In preparation for our discussion tomorrow, can you run VAR numbers for some mini-portfolios: Portfolio 1. +1000 November Nymex -1000 December Nymex 2. -1000 July Nymex Straddles 3. +1000 July 2002 Nymex 4. +1000 July 2002 Nymex - 1000 August 2002 Nymex 5. +1000 July Socal Basis 6. +1000 July Chicago Basis -1000 July Michcon Basis 7. +1000 July Henry Hub Index 8. +1000 July 2003 Chicago Basis Again, these are separate portfolios. I'm trying to check that the VAR numbers make logical sense. Thanks, John