re : p + spread options jeff ,
a short follow up on the p + options .
attached is a chart showing historical correlations for calendar spreads
between futures contracts . it shows correlation over four different time
horizons up to the roll of the nearest contract in each pair . as you can
see the level is usually higher than 0 . 98 and often near 0 . 99 . if our
current book of " index p + " options were re - marked at a 98 % correlation , it
would result in a reduction in m - t - m value of about $ 78 million according to
my estimate .
re : p + spread options
jeff ,
a short follow up on the p + options .
attached is a chart showing historical correlations for calendar spreads
between futures contracts . it shows correlation over four different time
horizons up to the roll of the nearest contract in each pair . as you can
see the level is usually higher than 0 . 98 and often near 0 . 99 . if our
current book of " index p + " options were re - marked at a 98 % correlation , it
would result in a reduction in m - t - m value of about $ 78 million according to
my estimate .