Message-ID: <6417562.1075856486445.JavaMail.evans@thyme>
Date: Thu, 24 Aug 2000 09:10:00 -0700 (PDT)
From: vince.kaminski@enron.com
To: grant.masson@enron.com
Subject: Long-Term Volatility Curves
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X-From: Vince J Kaminski
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Grant,

Did you respond to this one?

Vince

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 08/24/2000 
04:15 PM ---------------------------


Dale Surbey
08/21/2000 04:56 AM
To: Grant Masson/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT 
Subject: Long-Term Volatility Curves

Grant,

Can Research in Houston put together a comparison of the long-term volatility 
curves for gas and power in North America and Europe?  Based on where Europe 
is marked (especially for the UK), I think we'll find a significant 
difference out beyond 10 years.  Fundamentally, it seems like the long-term 
vol should be similar for a given commodity regardless of geographic location.

Has Research done any work on this in the past?  If not, we should study this 
since long-term vol feeds into the VAR-based position limits.

Give me a call so we can discuss.

Thanks

Dale