ethylene margin collar simulation model set simulation model margin follows mean reverting process seperarted data two category margin 0 04 margin 0 04 estimate mean reverting speed seperately two data sets got higher mean reverting speed estimated using whole data set high mr speed surpresses probability high payout side since mr speed sensitive divide data bob run senarios put overal settlement cap floor montly premium calculation result el 8 summary page ultimate answer deal pricing also calculate undiscounted payout distribution overall collar worth relax overall cap floor direct comparison spread option approach bob lee set look like got reasonable model stinson like check set simulation model lee douglas play model let know think bob need run different price curve senarios using simulation model plus different mr speed zimin