For VAR 95 using a Delta gamma approach
1.645 * position * price * daily vol = VAR 

Remember daily vol is implied vol divided by sqrt of time or 16 in this case.

How do you like your new digs?

 -----Original Message-----
From: 	Parks, Joe  
Sent:	Friday, April 12, 2002 7:58 AM
To:	Hayden, Frank
Subject:	var

hey, how are you? can you send me an example of how you callculate var on contracts.

for example: price is 3.10, 100 contracts, vol. 60%

"SHOW ME THE MATH"

JOE
832-851-2821