Subject: Re: P+ spread options
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Wed, 31 Jan 2001 22:53:00 -0800 (PST)

Jeff,

A short follow up on the P+ options.

Attached is a chart showing historical correlations for calendar spreads 
between futures contracts.   It shows correlation over four different time 
horizons up to the roll of the nearest contract in each pair.   As you can 
see the level is usually higher than 0.98 and often near 0.99.    If our 
current book of "index P+" options were re-marked at a 98% correlation, it 
would result in a  reduction in M-T-M value of about $78 million according to 
my estimate.