Message-ID: <3695612.1075841362180.JavaMail.evans@thyme>
Date: Fri, 12 Apr 2002 14:44:14 -0700 (PDT)
From: frank.hayden@enron.com
To: joe.parks@enron.com
Subject: RE: var
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groovy

 -----Original Message-----
From: 	Parks, Joe  
Sent:	Friday, April 12, 2002 3:11 PM
To:	Hayden, Frank
Subject:	RE: var

things are well, slowly ramping it up and gegtting back into it

 -----Original Message-----
From: 	Hayden, Frank  
Sent:	Friday, April 12, 2002 11:07 AM
To:	Parks, Joe
Subject:	RE: var

For VAR 95 using a Delta gamma approach
1.645 * position * price * daily vol = VAR 

Remember daily vol is implied vol divided by sqrt of time or 16 in this case.

How do you like your new digs?

 -----Original Message-----
From: 	Parks, Joe  
Sent:	Friday, April 12, 2002 7:58 AM
To:	Hayden, Frank
Subject:	var

hey, how are you? can you send me an example of how you callculate var on contracts.

for example: price is 3.10, 100 contracts, vol. 60%

"SHOW ME THE MATH"

JOE
832-851-2821