RE: Option Sensitivity ,
 Can you send me an example?

Stacey

 -----Original Message-----
From: 	Postlethwaite, John  
Sent:	Thursday, October 18, 2001 5:59 PM
To:	White, Stacey W.
Subject:	RE: Option Sensitivity

It's not as detailed as you may be thinking. 

We run an unofficial adhoc book for the LT-SW and LT-Options book with option sensitivity checked as on
Run the West_Sens_new macro created by Min and Zhiyun after calc has finished
Spreadsheet is sent to Matt for his use
audience is Matt Motley and Mike Driscoll
Matt only looks at the spreadsheet based on current market conditions and does not do any type of stress testing. As a result we always make sure there are no scenarios in the predictive option sensitivity area..

John

 -----Original Message-----
From: 	White, Stacey W.  
Sent:	Thursday, October 18, 2001 1:39 PM
To:	Postlethwaite, John
Subject:	Option Sensitivity

John,

Are you currently preparing option sensitivity reports for Matt Motley?  If so, please put together a bullet point list of what we do on a daily basis, who the audience is, and anything else you think might be relevant to an audience of users interested in what procedures we perform for stress/ scenario testing.

Thanks,
Stacey
john.postlethwaite@enron.com