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From: zimin.lu@enron.com To: andrea.reed@enron.com Subject: HC collar valuation - update Cc: vince.kaminski@enron.com, stinson.gibner@enron.com Bcc: vince.kaminski@enron.com, stinson.gibner@enron.com Date: Tue, 9 Jan 2001 02:17:00 -0800 (PST) Andrea, We computed the HC historical volatility for last 3 years, it is 47.2%. Using this volatility, the costless collar call strike is at 83.32. Zimin