Spreadsheet: john_griffith__15998__VolSkew061301_dec
Sheet: VolSkew

 | Volatility Skew Calculator
 |  |  |  |  |  |  |  |  | ATM calc. |  |  |  |  |  |  |  |  |  |  |  |  | Second
 | Date | 2001-06-13 00:00:00 |  | Polynomial Order |  |  |  |  | ENA ATM | 0.595 |  |  |  |  |  |  |  |  |  |  |  | Third
 | Expiration |  |  |  |  |  |  |  | Commodity | NG |  |  |  |  |  |  |  |  |  |  |  | Fourth
 | Underlying | 4.725 |  |  |  |  |  |  | Contract | 2001-12-01 00:00:00 |  |  |  |  |  |  |  |  |  |  |  | Fifth
 | Int Rate | 0.0393 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 | 1 | 1
 | Yield
 | Skew Fit |  |  |  |  |  |  | Premium | Strike | Put/Call (0/1) | Underlying | Money-ness | Implied Vol
 | -0.3 | -0.2 | -0.1 | 0.1 | 0.2 | 0.3 |  | 0.75 | 4.7 | 1 |  |  |  |  |  | 0.006 | 2.2 |  |  |  |  | Vol Fit | 2 | 3 | 4 | 5 |  | pdf Fit | 2 | 3 | 4 | 5
 |  |  |  |  |  |  |  | 0.5 | 5.5 | 1 |  |  |  |  |  | 0.054 | 3 |  |  |  |  | A |  |  |  |  |  | A
 |  |  |  |  |  |  |  | 0.41 | 5.9 | 1 |  |  |  |  |  | 0.261 | 4 |  |  |  |  | B |  |  |  |  |  | B
 |  |  |  |  |  |  |  | 0.195 | 3.5 | 0 |  |  |  |  |  | 0.446 | 4.5 |  |  |  |  | C |  |  |  |  |  | C
 |  |  |  |  |  |  |  | 0.38 | 4 | 0 |  |  |  |  |  | 0.694 | 5 |  |  |  |  | D |  |  |  |  |  | D
 |  |  |  |  |  |  |  | 0.72 | 4.7 | 0 |  |  |  |  |  | 0.965 | 5.45 |  |  |  |  | E
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.307 | 5.95 |  |  |  |  | F
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | y | = | 0.097353 | 2 | + | 0.085325 | + | 0.59457
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | y | = | 0.56756 | 3 | + | 0.11065 | 2 | + | 0.05499 | + | 0.59424
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | y | = | -7.2467 | 4 | + | 0.43751 | 3 | + | 0.59263 | 2 | + | 0.057608 | + | 0.59141
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | y | = | -7.2467 | 4 | + | 0.43751 | 3 | + | 0.59263 | 2 | + | 0.057608 | + | 0.59141 | 0.092387 | + | 0.52172
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | [NAME] |  |  |  |  |  | ENA Vol Fit | 2 | 3 | 4 | 5
 |  | Bid |  |  |  |  |  |  | Dec'01 | trading at $4.725 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ from ATM |  | 37012 |  | ENA vol | slope |  |  | A
 |  | 0.1640211640211642 | 0.6134735136741797 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6 |  |  | Curve |  |  |  |  |  | -5 |  |  |  |  |  |  |  | B
 |  | -0.2592592592592592 | 0.5759352379950184 |  |  |  |  | 0.75 |  | 100  4.70 Calls |  | 0.852 |  |  |  |  |  |  |  |  |  | Fit | Diff |  | Money. | ImpVol |  |  |  |  | -4 |  |  |  |  |  |  |  | C
 |  | -0.005291005291005124 | 0.5889928018392153 |  |  |  |  | 0.5 |  | -300  5.50 Calls |  | 0.557 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -3 |  |  |  |  |  |  |  | D
 |  |  |  |  |  |  |  | 0.41 |  | 200  5.90 Calls |  | 0.324 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2.5 |  |  |  |  |  |  |  | E
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2 |  |  |  |  |  |  |  | F
 |  |  |  |  |  |  |  |  | 0.195 | -200  3.50 Puts |  | 0.185 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -1.5
 |  |  |  |  |  |  |  |  | 0.38 | 300  4.00 Puts |  | 0.346 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -0.5 |  |  |  |  |  |  |  | y | = | 0.14289 | 2 | + | 0.023084 | + | 0.49276
 |  |  |  |  |  |  |  |  | 0.72 | -100  4.70 Puts |  | 0.671 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 |  |  |  |  |  |  |  | y | = | -0.10293 | 3 | + | 0.15935 | 2 | + | 0.038129 | + | 0.49163
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.5 |  |  |  |  |  |  |  | y | = | 0.41872 | 4 | - | 0.20403 | 3 | + | 0.083157 | 2 | + | 0.049613 | + | 0.49295
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1 |  |  |  |  |  |  |  | y | = | 0.80901 | 5 | + | 0.21973 | 4 | - | 0.39491 | 3 | + | 0.11314 | 2 | + | 0.05858 | + | 0.49245
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2.5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 3
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 40