Vlady:  
Can I  add 3 more portfolios:

1.     +1000 July 2003 Chicago Basis 
        - 1000 July 2003 Panhandle Basis

2.     +1000 June Henry Hub Cash

3.      +1000 June Henry Hub Cash
         - 1000 July Futures

Thanks,
John  


To: John Arnold/HOU/ECT@ECT
cc:  
Subject: Re:  

John,

2. Do you assume at-the-money straddles? If not, please give us deltas and 
gammas. See you at 5:30 tomorrow. Vlady.




John Arnold
06/12/2000 08:47 AM
To: Vladimir Gorny/HOU/ECT@ECT
cc:  
Subject: 

Vlady:
In preparation for our discussion tomorrow, can you run VAR numbers for some 
mini-portfolios:

Portfolio 1.   +1000 November Nymex
                -1000 December Nymex

 2.     -1000 July Nymex Straddles

 3.     +1000 July 2002 Nymex

 4.     +1000 July 2002 Nymex
         - 1000 August 2002 Nymex

 5.     +1000 July Socal Basis

 6.     +1000 July Chicago Basis
          -1000 July Michcon Basis

 7.     +1000 July Henry Hub Index

 8.     +1000 July 2003 Chicago Basis

Again, these are separate portfolios.  I'm trying to check that the VAR 
numbers make logical sense.  
Thanks,
John