re : p + spread options fyi
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 01 / 29 / 2001
12 : 48 pm - - - - - - - - - - - - - - - - - - - - - - - - - - -
from : jeffrey a shankman on 01 / 29 / 2001 12 : 38 pm
to : stinson gibner / hou / ect @ ect
cc : john l nowlan / hou / ect @ ect , don schroeder / hou / ect @ ect
subject : re : p + spread options
let ' s get together on this in the next couple of days . thanks . jeff
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
x 34748
re : p + spread options
fyi
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 01 / 29 / 2001
12 : 48 pm - - - - - - - - - - - - - - - - - - - - - - - - - - -
from : jeffrey a shankman on 01 / 29 / 2001 12 : 38 pm
to : stinson gibner / hou / ect @ ect
cc : john l nowlan / hou / ect @ ect , don schroeder / hou / ect @ ect
subject : re : p + spread options
let ' s get together on this in the next couple of days . thanks . jeff
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
x 34748