costless collar hanover bob good job zimin bob lee enron 01 11 2001 08 10 zimin lu hou ect ect cc subject costless collar hanover fyi looks like converged bob forwarded bob lee na enron 01 11 2001 07 04 chris loehr ect 01 10 2001 04 50 pm ron baker corp enron enron cc anne yaeger hou ect ect ryan siurek corp enron enron wes colwell hou ect ect bob lee na enron enron subject costless collar hanover ryan looked research model made adjustments treasury rate 12 28 00 5 127 research uses 4 6 probably takes account recent fed 50 bp cut maturity 6 30 03 2 5 years research uses 3 years using assumptions 47 2 volatility bloomberg collar function results ceiling 92 103 256 floor 34 7 8 adjusting research model changes ryan got similar range research model comfortable numbers let know questions chris x 33092 ron baker enron 01 10 2001 10 52 wes colwell hou ect ect ryan siurek corp enron enron chris loehr hou ect ect anne yaeger hou ect ect cc subject costless collar attached updated valuation bob lee research using actual 3 year historical vol 47 2 results call strike 97 978 also confirmed presence swap impact value collar let know questions thanks ron forwarded ron baker corp enron 01 10 2001 10 28 bob lee 01 10 2001 08 44 andrea v reed hou ect ect ron baker corp enron enron cc zimin lu hou ect ect subject costless collar calculation using historical volatility strike drops slightly volatility calculation expected future vol atility looking traded options hc expected fall vol long dated options one could justify vol estimate range 40 50 collar presence swap makes difference collar valuation bob