var for cob 2 nd aug 2000 hi vince ,
i was waiting for a comment about the email below before sending it to the
full mailing list . basically it suggests that the
copper option position may well have increased the var by more than $ 500 , 000 .
however , given that the portfoilo has also
changed from the lst of august it is difficult to asses the actual change due
to the option only .
regards
kirstee
- - - - - - - - - - - - - - - - - - - - - - forwarded by kirstee hewitt / lon / ect on 03 / 08 / 2000
17 : 29 - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron europe
from : kirstee hewitt 03 / 08 / 2000 16 : 29
to : cantekin dincerler / hou / ect @ ect , grant masson / hou / ect @ ect
cc :
subject : var for cob 2 nd aug 2000
hi all ,
the cu option position has entered the mg books for the 2 nd aug . the delta is
35299 $ / mt for dec 2000 . the cu var has gone up
from $ 2 , 245 , 000 to $ 3 , 306 , 000 . i estimated that the portfolio for the lst
would increase to approx $ 3 , 039 , 000 so this seems sensible .
the overall var change is from $ 4 , 780 , 796 to $ 5 , 991 , 569 . again , the estimate
for the lst aug was for an increase in var to ~ $ 5 , 476 , 000 .
all estimates were based on a delta of 32 , 0004 / dmt .
there has also been some increase in the var for aluminium which will effect
the overall total .
a summary is as follows :
regards ,
kirstee
var for cob 2 nd aug 2000
hi vince ,
i was waiting for a comment about the email below before sending it to the
full mailing list . basically it suggests that the
copper option position may well have increased the var by more than $ 500 , 000 .
however , given that the portfoilo has also
changed from the lst of august it is difficult to asses the actual change due
to the option only .
regards
kirstee
- - - - - - - - - - - - - - - - - - - - - - forwarded by kirstee hewitt / lon / ect on 03 / 08 / 2000
17 : 29 - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron europe
from : kirstee hewitt 03 / 08 / 2000 16 : 29
to : cantekin dincerler / hou / ect @ ect , grant masson / hou / ect @ ect
cc :
subject : var for cob 2 nd aug 2000
hi all ,
the cu option position has entered the mg books for the 2 nd aug . the delta is
35299 $ / mt for dec 2000 . the cu var has gone up
from $ 2 , 245 , 000 to $ 3 , 306 , 000 . i estimated that the portfolio for the lst
would increase to approx $ 3 , 039 , 000 so this seems sensible .
the overall var change is from $ 4 , 780 , 796 to $ 5 , 991 , 569 . again , the estimate
for the lst aug was for an increase in var to ~ $ 5 , 476 , 000 .
all estimates were based on a delta of 32 , 0004 / dmt .
there has also been some increase in the var for aluminium which will effect
the overall total .
a summary is as follows :
regards ,
kirstee