Message-ID: <5983618.1075849679834.JavaMail.evans@thyme> Date: Wed, 31 Jan 2001 04:44:00 -0800 (PST) From: jeremy.wong@enron.com To: john.griffith@enron.com Subject: RE: Predictive Greeks Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Jeremy Wong X-To: John Griffith X-cc: X-bcc: X-Folder: \John_Griffith_Nov2001\Notes Folders\Trading X-Origin: GRIFFITH-J X-FileName: jgriffit.nsf Could you send me copies of the Excel reports you want us to modify. Thanks. -----Original Message----- From: Griffith, John Sent: Wednesday, January 31, 2001 12:33 PM To: Wong, Jeremy Cc: Maggi, Mike; McLaughlin, Errol Subject: Predictive Greeks Jeremy, Each day, we receive a report that shows the movement of the position's gamma with a change in the underlying (a gamma slide). We would like to see how difficult it would be to see the same with vega (a vega slide). Also, there is a report that shows totals for all the greeks by month. Could you put a total line at the bottom of this report? Please let me know of the difficulty of these changes. Thanks. John x. 36247