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Enron Mail |
Grant,
Did you respond to this one? Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 08/24/2000 04:15 PM --------------------------- Dale Surbey 08/21/2000 04:56 AM To: Grant Masson/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: Long-Term Volatility Curves Grant, Can Research in Houston put together a comparison of the long-term volatility curves for gas and power in North America and Europe? Based on where Europe is marked (especially for the UK), I think we'll find a significant difference out beyond 10 years. Fundamentally, it seems like the long-term vol should be similar for a given commodity regardless of geographic location. Has Research done any work on this in the past? If not, we should study this since long-term vol feeds into the VAR-based position limits. Give me a call so we can discuss. Thanks Dale
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