RE: Spread Data

Here is what we had done for Kim before. In the PGE_Permian.xls file, the option values are in cells starting M30. In Excel, you need to load the exotica.xll addin which is in /Research/Exotica directory on your common drive. Load the addin and say NO to "copy to your local drive?" Also, see the "Results" sheet for volatility and correlation calculations.

Krishna.

-----Original Message-----
From: Y'Barbo, Paul
Sent: Wednesday, October 17, 2001 2:32 PM
To: Krishnarao, Pinnamaneni
Subject: Spread Data

Krishna,

Please see attached data on the pages named "MO IND DATA" and "Basis Forwards". I am interested in understanding the math associated with valuing calls and puts on the spread between the index points. Also, do you have an option pricing model that I could have? My office number is 5-4173.

Thanks,

Paul

P.S. Do you recall the work that you did for Kim Watson in the past?

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