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----- Forwarded by Jeffrey A Shankman/HOU/ECT on 01/29/2001 12:36 PM ----- Stinson Gibner 01/29/2001 12:10 PM To: Jeffrey A Shankman/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: P+ spread options Jeff, We are reviewing the P+ spread option book. One item of note is that the correlations used to book the spread options have dropped significantly from what was being used a year ago (see charts below). I also remember that John Mee was using even higher correlations when he ran this book. In fact he wanted to book options with a correlation of 1.0, but our model would not allow it, so he was using 0.999. We are currently calculating historical correlations for you as well. If you want, Vince and I can review this with you at the end of the day. Just let me know what time would be convenient. --Stinson x34748
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