RE: var

groovy

-----Original Message-----
From: Parks, Joe
Sent: Friday, April 12, 2002 3:11 PM
To: Hayden, Frank
Subject: RE: var

things are well, slowly ramping it up and gegtting back into it

-----Original Message-----
From: Hayden, Frank
Sent: Friday, April 12, 2002 11:07 AM
To: Parks, Joe
Subject: RE: var

For VAR 95 using a Delta gamma approach
1.645 * position * price * daily vol = VAR

Remember daily vol is implied vol divided by sqrt of time or 16 in this case.

How do you like your new digs?

-----Original Message-----
From: Parks, Joe
Sent: Friday, April 12, 2002 7:58 AM
To: Hayden, Frank
Subject: var

hey, how are you? can you send me an example of how you callculate var on contracts.

for example: price is 3.10, 100 contracts, vol. 60%

"SHOW ME THE MATH"

JOE
832-851-2821