John,

These are the files that we talked about on our very first meeting some weeks 
ago.  I originally made these for Mario de la Ossa, an options trader on the 
Crude Products desk.  

VolSkew.xls takes market data for options with different strikes and premiums 
and calculates the skew.  FetchContract.xls calculates descriptive statistics 
for contracts based on historic pricing data.  

Feel free to give me a call if you have any questions about the files.  I 
would be happy to modify them to fit your setup and pricing models.

ken
 ---------------------- Forwarded by Kenneth Parkhill/NA/Enron on 04/10/2001 
01:46 PM ---------------------------


Kenneth Parkhill
04/10/2001 09:10 AM
To: Paulo Issler/HOU/ECT@ECT
cc:  

Subject: vol skew files