ethylene margin collar model dear let us meet early afternoon overview model 1 ethylene margin collars priced using asian spread option forward curve volatility curve provided desk correlation ethylene ethylene cost starts historical spot correlation 50 grows maturity 2 overall 40 mm payout cap modeled sepereately fitted historical spread 10 years data mean reverting model stronger mean reverting strength floor side model produces trajectories statistically simular historical data expected payoff computed simulation meeting discuss assumptions present results zimin