Message-ID: <25759202.1075857450825.JavaMail.evans@thyme>
Date: Wed, 24 Jan 2001 10:08:00 -0800 (PST)
From: fletcher.sturm@enron.com
To: jenny.latham@enron.com
Subject: Re: option sensitivities
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Jenny,

Thanks for the response.  I was under the impression that what you and I had 
worked out was more of a temporary fix and that there was another group 
working on a perrmanent solution for all of us.  I'm still obviously trading 
options, but would like you or JP or someone else in risk run a standard 
report for me each morning which shows my net delta positions by month and 
the subsequent gamma positions for certain $ moves in the underlying.  I 
could have Peter do it at night if it needs to be done before calc.  Just let 
me know.  Thanks,

Fletch

p.s.  sorry if it seems like this is being blown out of proportion