RE: Option Sensitivity

Thanks

-----Original Message-----
From: Mattox, Michael
Sent: Friday, October 26, 2001 9:33 AM
To: White, Stacey W.
Subject: RE: Option Sensitivity

Just the option traders: Harry Arora, Rob Stalford, Steve Wang and Jaime Gualy.

Michael Mattox
x34317

-----Original Message-----
From: White, Stacey W.
Sent: Friday, October 26, 2001 9:31 AM
To: Mattox, Michael
Subject: RE: Option Sensitivity

Michael,

Can you remind me who all gets these reports?

Stacey

-----Original Message-----
From: Mattox, Michael
Sent: Friday, October 19, 2001 2:07 PM
To: White, Stacey W.
Subject: Option Sensitivity

Stacey,

Let me know if this is what you are looking for.

Approximately every one to two weeks or as requested by the options traders an option sensitivity report is run using PortCalc. Three parameters are tested: Price (increments from -5 to +5), monthly Volatility (increments from -25% to +25%), and Time (increments up to 90 days. The data is imported from PortCalc into an Excel pivot table. The pivot table is then used to show how the various Greeks (delta, gamma, theta and Vega) change for each trader's book, generally with a 3 month look ahead. The data can also be sorted by and grouped by other criteria, if requested, such as by region and delivery date.

Michael Mattox
x34317