Errol,

Thought you may want to look at what Stacey put together if you haven't done this yet.

 -----Original Message-----
From: 	White, Stacey W.  
Sent:	Friday, October 26, 2001 9:35 AM
To:	Considine, Keith
Subject:	FW: Option Sensitivity

Keith, 

Here are the procedures for the East.  The West is not currently running option sensitivities. 

Approximately every one to two weeks or as requested by the options traders an option sensitivity report is run using PortCalc.  Three parameters are tested:  Price (increments from -5 to +5), monthly Volatility (increments from -25% to +25%), and Time (increments up to 90 days.  (Reminder:  the increments are changeable)  The data is imported from PortCalc into an Excel pivot table.  The pivot table is then used to show how the various Greeks (delta, gamma, theta and Vega) change for each trader's book, generally with a 3 month look ahead.  The data can also be sorted by and grouped by other criteria, if requested, such as by region and delivery date These reports are given to the East option traders only.

Thanks,
Stacey