Spreadsheet: harry_arora__12159__Volatility PJM
Sheet: Summer '99

Contract | 1999-07-01 00:00:00 | 1999-08-01 00:00:00 |  | Summer |  | Log | 20 Day | Annualized
 |  |  |  | Package |  | Normal | STD | Volatility (266 Days)
1999-01-04 00:00:00 | 71.5 | 67.5
1999-01-05 00:00:00 | 73 | 69
1999-01-06 00:00:00 | 73 | 69
1999-01-07 00:00:00 | 72 | 68
1999-01-08 00:00:00 | 69.5 | 69.5
1999-01-11 00:00:00 | 66.75 | 66.75
1999-01-12 00:00:00 | 66 | 66
1999-01-13 00:00:00 | 66.5 | 66.5
1999-01-14 00:00:00 | 70 | 70
1999-01-15 00:00:00 | 71 | 71
1999-01-18 00:00:00 | 72.5 | 72.5
1999-01-19 00:00:00 | 71.5 | 71.5
1999-01-20 00:00:00 | 71 | 71
1999-01-21 00:00:00 | 74.5 | 69.5
1999-01-22 00:00:00 | 73.5 | 68.5
1999-01-25 00:00:00 | 71 | 66
1999-01-26 00:00:00 | 69 | 63
1999-01-27 00:00:00 | 67 | 65
1999-01-28 00:00:00 | 66.75 | 64.75
1999-01-29 00:00:00 | 66.5 | 64.5
1999-02-01 00:00:00 | 66.5 | 64.5
1999-02-02 00:00:00 | 66.5 | 64.5
1999-02-03 00:00:00 | 67.25 | 65.25
1999-02-04 00:00:00 | 68.5 | 66.5
1999-02-05 00:00:00 | 68.25 | 66.25
1999-02-08 00:00:00 | 67.5 | 65.5
1999-02-09 00:00:00 | 66.25 | 64.25
1999-02-10 00:00:00 | 65 | 63
1999-02-11 00:00:00 | 64.125 | 62.125
1999-02-12 00:00:00 | 64.025 | 62.025
1999-02-16 00:00:00 | 64.5 | 62.5
1999-02-17 00:00:00 | 65.125 | 63.125
1999-02-18 00:00:00 | 65.375 | 63.375
1999-02-19 00:00:00 | 66.625 | 64.625
1999-02-22 00:00:00 | 69.375 | 67.375
1999-02-23 00:00:00 | 73 | 71
1999-02-24 00:00:00 | 74.5 | 72.5
1999-02-25 00:00:00 | 76.75 | 74.75
1999-02-26 00:00:00 | 75 | 73
1999-03-01 00:00:00 | 76.5 | 74.5
1999-03-02 00:00:00 | 75.25 | 73.25
1999-03-03 00:00:00 | 73.75 | 71.75
1999-03-04 00:00:00 | 77.75 | 75.75
1999-03-05 00:00:00 | 79 | 77
1999-03-08 00:00:00 | 80.75 | 78.75
1999-03-09 00:00:00 | 82 | 80
1999-03-10 00:00:00 | 80.5 | 78.5
1999-03-11 00:00:00 | 77.5 | 75.5
1999-03-12 00:00:00 | 73 | 71
1999-03-15 00:00:00 | 70 | 68
1999-03-16 00:00:00 | 66.875 | 66.875
1999-03-17 00:00:00 | 72 | 70
1999-03-18 00:00:00 | 74 | 72
1999-03-19 00:00:00 | 73 | 71
1999-03-22 00:00:00 | 72 | 70
1999-03-23 00:00:00 | 72.375 | 70.875
1999-03-24 00:00:00 | 70.5 | 68.5
1999-03-25 00:00:00 | 72 | 70
1999-03-26 00:00:00 | 71 | 71
1999-03-29 00:00:00 | 70.75 | 68.75
1999-03-30 00:00:00 | 70 | 68
1999-03-31 00:00:00 | 70.25 | 68.25
1999-04-01 00:00:00 | 70.375 | 68.375
1999-04-05 00:00:00 | 71.25 | 69.25
1999-04-06 00:00:00 | 71.875 | 69.875
1999-04-07 00:00:00 | 73 | 71
1999-04-08 00:00:00 | 73.375 | 71.375
1999-04-09 00:00:00 | 72.625 | 70.625
1999-04-12 00:00:00 | 73.5 | 71.5
1999-04-13 00:00:00 | 72.875 | 70.875
1999-04-14 00:00:00 | 75.125 | 73.125
1999-04-15 00:00:00 | 76.875 | 74.875
1999-04-16 00:00:00 | 77.5 | 75.5
1999-04-19 00:00:00 | 78.875 | 76.875
1999-04-20 00:00:00 | 81.75 | 74.75
1999-04-21 00:00:00 | 82.25 | 75.25
1999-04-22 00:00:00 | 80 | 80
1999-04-23 00:00:00 | 83.625 | 77.625
1999-04-26 00:00:00 | 82.5 | 76.5
1999-04-27 00:00:00 | 84.75 | 78.25
1999-04-28 00:00:00 | 83.5 | 77.5
1999-04-29 00:00:00 | 84 | 78
1999-04-30 00:00:00 | 83 | 77
1999-05-03 00:00:00 | 81.875 | 75.875
1999-05-04 00:00:00 | 81.375 | 75.375
1999-05-05 00:00:00 | 84 | 78
1999-05-06 00:00:00 | 84.25 | 78.25
1999-05-07 00:00:00 | 82.5 | 76.5
1999-05-10 00:00:00 | 85.5 | 79.5
1999-05-11 00:00:00 | 83 | 77
1999-05-12 00:00:00 | 84.25 | 78.25
1999-05-13 00:00:00 | 84.5 | 76.5
1999-05-14 00:00:00 | 84.5 | 76
1999-05-17 00:00:00 | 83.5 | 75
1999-05-18 00:00:00 | 81.5 | 69.5
1999-05-19 00:00:00 | 77.5 | 69.5
1999-05-20 00:00:00 | 77.5 | 69.5
1999-05-21 00:00:00 | 76.5 | 68.5
1999-05-24 00:00:00 | 78.125 | 72.125
1999-05-25 00:00:00 | 75 | 69
1999-05-26 00:00:00 | 78.25 | 72.25
1999-05-27 00:00:00 | 75 | 69
1999-05-28 00:00:00 | 76.75 | 70.75
1999-05-31 00:00:00 | 76.75 | 70.75
1999-06-01 00:00:00 | 76.66666666666667 | 72
1999-06-02 00:00:00 | 78.75 | 70.75
1999-06-03 00:00:00 | 83.86904761904762 | 74.5
1999-06-04 00:00:00 | 78.19047619047619 | 74
1999-06-07 00:00:00 | 87.73809523809524 | 75.5
1999-06-08 00:00:00 | 84 | 72.5
1999-06-09 00:00:00 | 78.5 | 70
1999-06-10 00:00:00 | 71.5 | 68
1999-06-11 00:00:00 | 70.5 | 68
1999-06-14 00:00:00 | 71.25 | 68.5
1999-06-15 00:00:00 | 73.5 | 70.5
1999-06-16 00:00:00 | 73.25 | 68
1999-06-17 00:00:00 | 74 | 69
1999-06-18 00:00:00 | 77.5 | 71
1999-06-21 00:00:00 | 70.67857142857143 | 69.25
1999-06-22 00:00:00 | 73 | 70.5
1999-06-23 00:00:00 | 74.75 | 72.5
1999-06-24 00:00:00 | 72.5 | 71.75
1999-06-25 00:00:00 | 71.6547619047619 | 69
1999-06-28 00:00:00 | 80.30952380952381 | 72
1999-06-29 00:00:00 | 86 | 73.75
1999-06-30 00:00:00 | #N/A | 74
 | Cash
1999-07-01 00:00:00 | 29.985625 | 72
1999-07-02 00:00:00 | 26.94375 | 70
1999-07-06 00:00:00 | 584.05875 | 71.5
1999-07-07 00:00:00 | 32.185 | 69.25
1999-07-08 00:00:00 | 30.261875 | 70.5
1999-07-09 00:00:00 | 36.50875 | 70
1999-07-12 00:00:00 | 16.353125 | 65.5
1999-07-13 00:00:00 | 21.454375 | 61
1999-07-14 00:00:00 | 21.92125 | 62.97727272727273
1999-07-15 00:00:00 | 36.601875 | 67
1999-07-16 00:00:00 | 44.515 | 67.5
1999-07-19 00:00:00 | 43.876875 | 67.54545454545455
1999-07-20 00:00:00 | 32.84 | 70
1999-07-21 00:00:00 | 38.540625 | 76
1999-07-22 00:00:00 | 49.323125 | 87.5
1999-07-23 00:00:00 | 347.97625 | 88.5
1999-07-26 00:00:00 | 229.901875 | 86
1999-07-27 00:00:00 | 341.189375 | 88
1999-07-28 00:00:00 | 382.2956250000001 | 91
1999-07-29 00:00:00 | 349.100625 | 90.63636363636364
1999-07-30 00:00:00 | 408.116875 | na
 |  | Aug Cash
1999-08-02 00:00:00 |  | 47.064375
1999-08-03 00:00:00 |  | 32.1525
1999-08-04 00:00:00 |  | 37.861875
1999-08-05 00:00:00 |  | 37.153125
1999-08-06 00:00:00 |  | 32.30125
1999-08-09 00:00:00 |  | 19.03125
1999-08-10 00:00:00 |  | 33.6725
1999-08-11 00:00:00 |  | 56.46875
1999-08-12 00:00:00 |  | 77.589375
1999-08-13 00:00:00 |  | 216.2975
1999-08-16 00:00:00 |  | 37.585625
1999-08-17 00:00:00 |  | 70.453125
1999-08-18 00:00:00 |  | 41.004375
1999-08-19 00:00:00 |  | 30.706875
1999-08-20 00:00:00 |  | 26.53
1999-08-23 00:00:00 |  | 22.966875
1999-08-24 00:00:00 |  | 27.02
1999-08-25 00:00:00 |  | 24.84375
1999-08-26 00:00:00 |  | 33.020625
1999-08-27 00:00:00 |  | 33.83625
1999-08-30 00:00:00 |  | 16.31625
1999-08-31 00:00:00 |  | 16.79625