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Enron Mail |
---------------------- Forwarded by John Arnold/HOU/ECT on 04/11/2000 04:57
PM --------------------------- From: Rudi Zipter 04/08/2000 09:03 AM To: John Arnold/HOU/ECT@ECT cc: Vladimir Gorny/HOU/ECT@ECT, Minal Dalia/HOU/ECT@ECT, Sunil Dalal/Corp/Enron@ENRON Subject: Option Analysis on NG Price Book John, Several months ago we talked about the development of an option analysis tool that could be used to stress test positions under various scenarios as a supplement to our V@R analysis. We have recently completed the project and would like to solicit your feedback on the report results. We have selected your NG price position for April 4, 2000 (POST-ID 753650) for the initial analysis. Attached in the excel file below you will find: Analysis across the various forward months in your position Underlying vs. Greeks, theoretical P&L Volatility vs. Greeks, theoretical P&L Time change vs. Greeks, theoretical P&L Summary of your Overall Position analysis Underlying vs. Greeks, theoretical P&L Volatility vs. Greeks, theoretical P&L Time change vs. Greeks, theoretical P&L Multiple Stress Analysis The attached Word document demonstrates the multiple stress choices. I have included a tab in the excel file that demonstrates the theoretical P/L resulting from shifts in both volatility and underlying price. Please note that the percentage changes across the column headers are not in absolute terms (for example, if the ATM volatility in a given month is 40% and the stress is -10% then the analysis is performed under a volatility scenario of 36%) Thanks, Rudi
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