Message-ID: <9288650.1075856588059.JavaMail.evans@thyme>
Date: Mon, 29 Jan 2001 04:48:00 -0800 (PST)
From: stinson.gibner@enron.com
To: vince.kaminski@enron.com
Subject: Re: P+ spread options
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FYI
---------------------- Forwarded by Stinson Gibner/HOU/ECT on 01/29/2001 
12:48 PM ---------------------------
From: Jeffrey A Shankman on 01/29/2001 12:38 PM
To: Stinson Gibner/HOU/ECT@ECT
cc: John L Nowlan/HOU/ECT@ECT, Don Schroeder/HOU/ECT@ECT 
Subject: Re: P+ spread options  

Let's get together on this in the next couple of days.  Thanks.  Jeff



	Stinson Gibner
	01/29/2001 12:10 PM
		 
		 To: Jeffrey A Shankman/HOU/ECT@ECT
		 cc: Vince J Kaminski/HOU/ECT@ECT
		 Subject: P+ spread options

Jeff,

We are reviewing the P+ spread option book.    One item of note is that the 
correlations used to book the spread options have dropped significantly from 
what was being used a year ago (see charts below).   I also remember that 
John Mee was using even higher correlations when he ran this book.  In fact 
he wanted to book options with a correlation of 1.0, but our model would not 
allow it, so he was using 0.999.

We are currently calculating historical correlations for you as well.   If 
you want, Vince and I can review this with you at the end of the day.   Just 
let me know what time would be convenient.

--Stinson
x34748