RE: Predictive Greeks

Could you send me copies of the Excel reports you want us to modify. Thanks.

-----Original Message-----
From: Griffith, John
Sent: Wednesday, January 31, 2001 12:33 PM
To: Wong, Jeremy
Cc: Maggi, Mike; McLaughlin, Errol
Subject: Predictive Greeks

Jeremy,

Each day, we receive a report that shows the movement of the position's gamma
with a change in the underlying (a gamma slide). We would like to see how
difficult it would be to see the same with vega (a vega slide). Also, there
is a report that shows totals for all the greeks by month. Could you put a
total line at the bottom of this report? Please let me know of the
difficulty of these changes. Thanks.

John
x. 36247