Message-ID: <23284878.1075849654368.JavaMail.evans@thyme> Date: Tue, 19 Dec 2000 02:10:00 -0800 (PST) From: john.griffith@enron.com To: phil.layton@enron.com Subject: Hedge ratio Cc: brad.morse@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: brad.morse@enron.com X-From: John Griffith X-To: Phil Layton X-cc: Brad Morse X-bcc: X-Folder: \John_Griffith_Nov2001\Notes Folders\Discussion threads X-Origin: GRIFFITH-J X-FileName: jgriffit.nsf Phil, Attached is a very crude spreadsheet to calculate the hedge ratio needed to hedge your power short in SERC. The calculations that I am using is written up in an article that is at research's website in their technical corner. Call me and I will direct you to the article. Also call with any questions or concerns. Have you talked to your VAR people? Where do you stand with this? I look forward to hearing from you. Thanks. John