Enron Mail

From:kenneth.parkhill@enron.com
To:john.griffith@enron.com
Subject:current vol skew
Cc:
Bcc:
Date:Wed, 2 May 2001 05:31:00 -0700 (PDT)

Hi John,

I've attached workbooks that compare implied volatility from market data to
ENA curves for June, October, December contracts. But I'm not sure that I
have the most current skew table. For the attached workbooks I just took
last months table and rolled the contracts up a month, so what was May-01
became June-01, etc. Have you made any other adjustments to the skew table?

I'd be happy to come up and talk about these files with you if you want?
Thanks.
ken