Re:

yes

To: John Arnold/HOU/ECT@ECT
cc:
Subject: Re:

John,

2. Do you assume at-the-money straddles? If not, please give us deltas and
gammas. See you at 5:30 tomorrow. Vlady.

John Arnold
06/12/2000 08:47 AM
To: Vladimir Gorny/HOU/ECT@ECT
cc:
Subject:

Vlady:
In preparation for our discussion tomorrow, can you run VAR numbers for some
mini-portfolios:

Portfolio 1. +1000 November Nymex
-1000 December Nymex

2. -1000 July Nymex Straddles

3. +1000 July 2002 Nymex

4. +1000 July 2002 Nymex
- 1000 August 2002 Nymex

5. +1000 July Socal Basis

6. +1000 July Chicago Basis
-1000 July Michcon Basis

7. +1000 July Henry Hub Index

8. +1000 July 2003 Chicago Basis

Again, these are separate portfolios. I'm trying to check that the VAR
numbers make logical sense.
Thanks,
John