---------------------- Forwarded by John Arnold/HOU/ECT on 04/11/2000 04:57 
PM ---------------------------
   


From:  Rudi Zipter                                                            
 04/08/2000 09:03 AM	
	
	
	                           
	

To: John Arnold/HOU/ECT@ECT
cc: Vladimir Gorny/HOU/ECT@ECT, Minal Dalia/HOU/ECT@ECT, Sunil 
Dalal/Corp/Enron@ENRON 
Subject: Option Analysis on NG Price Book

John,

Several months ago we talked about the development of an option analysis tool 
that could be used to stress test positions under various scenarios as a 
supplement to our V@R analysis.  We have recently completed the project and 
would like to solicit your feedback on the report results.

We have selected your NG price position for April 4, 2000 (POST-ID  753650) 
for the initial analysis.  Attached in the excel file below you will find:

Analysis across the various forward months in your position 

Underlying vs. Greeks, theoretical P&L 
Volatility vs. Greeks, theoretical P&L
Time change vs. Greeks, theoretical P&L


Summary of your Overall Position analysis

Underlying vs. Greeks, theoretical P&L 
Volatility vs. Greeks, theoretical P&L
Time change vs. Greeks, theoretical P&L


Multiple Stress Analysis

The attached Word document demonstrates the multiple stress choices.  I have 
included a tab in the excel file that demonstrates the theoretical P/L 
resulting from shifts in both volatility and underlying price.  


Please note that the percentage changes across the column headers are not in 
absolute terms (for example, if the ATM volatility in a given month is 40% 
and the stress is -10% then the analysis is performed under a volatility 
scenario of 36%)









Thanks,

Rudi