Spreadsheet: harry_arora__12159__Volatility PJM
Sheet: 12 month 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)
1998-01-19 00:00:00 | 32.88099670410156 | 32.87499618530273
1998-01-20 00:00:00 | 33.13099670410156 | 33.12499618530273
1998-01-21 00:00:00 | 33.68099670410156 | 33.67499618530273
1998-01-22 00:00:00 | 33.73099594116211 | 33.72499542236328
1998-01-23 00:00:00 | 34.98099517822266 | 34.97499465942383
1998-01-26 00:00:00 | 36.23099517822266 | 36.22499465942383
1998-01-27 00:00:00 | 35.38099517822265 | 35.37499465942383
1998-01-28 00:00:00 | 34.83099670410157 | 34.82499618530274
1998-01-29 00:00:00 | 35.38099670410156 | 34.72499618530274
1998-01-30 00:00:00 | 34.20099670410156 | 34.20499465942382
1998-02-02 00:00:00 | 34.45099639892578 | 34.45499420166016
1998-02-03 00:00:00 | 34.50099639892578 | 34.50499420166015
1998-02-04 00:00:00 | 35.00099563598633 | 35.0049934387207
1998-02-05 00:00:00 | 35.90099563598633 | 35.9049934387207
1998-02-06 00:00:00 | 36.60099716186524 | 36.60499496459961
1998-02-09 00:00:00 | 36.35099716186524 | 36.35499496459961
1998-02-10 00:00:00 | 36.50099792480469 | 36.50499572753906
1998-02-11 00:00:00 | 37.50099945068359 | 37.50499725341797
1998-02-12 00:00:00 | 39.1009994506836 | 39.10499725341797
1998-02-13 00:00:00 | 39.90099792480468 | 39.90499572753906
1998-02-17 00:00:00 | 40.15099716186523 | 40.15499496459961
1998-02-18 00:00:00 | 40.75099716186524 | 40.75499496459961
1998-02-19 00:00:00 | 40.00099563598633 | 40.0049934387207
1998-02-20 00:00:00 | 37.00099563598633 | 37.0049934387207
1998-02-23 00:00:00 | 35.75099563598633 | 35.7549934387207
1998-02-24 00:00:00 | 36.00099563598633 | 36.0049934387207
1998-02-25 00:00:00 | 36.85099563598633 | 36.8549934387207
1998-02-26 00:00:00 | 37.35099411010742 | 37.3549919128418
1998-02-27 00:00:00 | 38.20099411010742 | 38.2049919128418
1998-03-02 00:00:00 | 39.00099258422851 | 39.00499038696289
1998-03-03 00:00:00 | 40.75099182128906 | 40.75498962402344
1998-03-04 00:00:00 | 42.25099182128906 | 42.25498962402344
1998-03-05 00:00:00 | 40.85099182128906 | 40.85498962402344
1998-03-06 00:00:00 | 41.25099029541015 | 41.25498809814453
1998-03-09 00:00:00 | 41.00099182128906 | 41.00498962402344
1998-03-10 00:00:00 | 41.00099182128906 | 41.00498962402344
1998-03-11 00:00:00 | 40.75099182128906 | 40.75498962402344
1998-03-12 00:00:00 | 39.75099182128906 | 39.75498962402344
1998-03-13 00:00:00 | 40.75 | 40.75
1998-03-16 00:00:00 | 41.5 | 41.5
1998-03-17 00:00:00 | 41.425 | 41.425
1998-03-18 00:00:00 | 41.475 | 41.475
1998-03-19 00:00:00 | 41.55 | 41.55
1998-03-20 00:00:00 | 40.69999923706055 | 40.69999923706055
1998-03-23 00:00:00 | 41 | 41
1998-03-24 00:00:00 | 40.8 | 40.8
1998-03-25 00:00:00 | 40.875 | 40.875
1998-03-26 00:00:00 | 39.825 | 39.825
1998-03-27 00:00:00 | 40 | 40
1998-03-30 00:00:00 | 39.875 | 39.875
1998-03-31 00:00:00 | 37.625 | 37.625
1998-04-01 00:00:00 | 33.495 | 33.495
1998-04-02 00:00:00 | 35.5 | 35.5
1998-04-03 00:00:00 | 35.5 | 35.5
1998-04-06 00:00:00 | 39 | 39
1998-04-07 00:00:00 | 40.125 | 40.125
1998-04-08 00:00:00 | 40.275 | 40.275
1998-04-09 00:00:00 | 40.27500152587891 | 40.27500152587891
1998-04-13 00:00:00 | 39.5750015258789 | 39.5750015258789
1998-04-14 00:00:00 | 39.17500076293945 | 39.17500076293945
1998-04-15 00:00:00 | 38.57499923706055 | 38.57499923706055
1998-04-16 00:00:00 | 38.77500076293946 | 38.77500076293946
1998-04-17 00:00:00 | 38.77500152587891 | 38.77500152587891
1998-04-20 00:00:00 | 38.98500152587891 | 38.98500152587891
1998-04-21 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-22 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-23 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-24 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-27 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-28 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-29 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-04-30 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-05-01 00:00:00 | 38.98500061035156 | 38.98500061035156
1998-05-04 00:00:00 | 37.99500061035156 | 37.99500061035156
1998-05-05 00:00:00 | 37.85499893188477 | 37.85499893188477
1998-05-06 00:00:00 | 37.00499954223633 | 37.00499954223633
1998-05-07 00:00:00 | 36.95500106811524 | 36.95500106811524
1998-05-08 00:00:00 | 36.95500183105469 | 36.95500183105469
1998-05-11 00:00:00 | 37.74500183105469 | 37.74500183105469
1998-05-12 00:00:00 | 38.94500274658203 | 38.94500274658203
1998-05-13 00:00:00 | 40.99500350952148 | 40.99500350952148
1998-05-14 00:00:00 | 41.99500274658203 | 41.99500274658203
1998-05-15 00:00:00 | 40.99500274658203 | 40.99500274658203
1998-05-18 00:00:00 | 42.24500274658203 | 42.24500274658203
1998-05-19 00:00:00 | 42.49500274658203 | 42.49500274658203
1998-05-20 00:00:00 | 43.99500274658203 | 43.99500274658203
1998-05-21 00:00:00 | 43.99500274658203 | 43.99500274658203
1998-05-22 00:00:00 | 43.99500274658203 | 43.99500274658203
1998-05-26 00:00:00 | 45.25 | 45.25
1998-05-27 00:00:00 | 45.45 | 45.45
1998-05-28 00:00:00 | 45.575 | 45.575
1998-06-01 00:00:00 | 42.625 | 42.625
1998-06-02 00:00:00 | 40.3 | 40.3
1998-06-03 00:00:00 | 39.125 | 39.125
1998-06-04 00:00:00 | 38.675 | 38.675
1998-06-05 00:00:00 | 38.925 | 38.925
1998-06-08 00:00:00 | 38.15 | 38.15
1998-06-09 00:00:00 | 37.75 | 37.75
1998-06-10 00:00:00 | 38.575 | 38.575
1998-06-11 00:00:00 | 40.45 | 40.45
1998-06-12 00:00:00 | 40.525 | 40.525
1998-06-15 00:00:00 | 43.425 | 43.425
1998-06-16 00:00:00 | 46.25 | 46.25
1998-06-17 00:00:00 | 45.75 | 45.75
1998-06-18 00:00:00 | 44.55 | 44.55
1998-06-19 00:00:00 | 44.875 | 44.875
1998-06-22 00:00:00 | 48.5 | 48.5
1998-06-23 00:00:00 | 57.5 | 57.5
1998-06-24 00:00:00 | 58.5 | 58.5
1998-06-25 00:00:00 | 59 | 59
1998-06-26 00:00:00 | 60 | 60
1998-06-29 00:00:00 | 59 | 59
1998-06-30 00:00:00 | 62.5 | 62.5
1998-07-01 00:00:00 | 57.25 | 57.25
1998-07-02 00:00:00 | 59 | 59
1998-07-06 00:00:00 | 56.25 | 56.25
1998-07-07 00:00:00 | 49.6 | 49.6
1998-07-08 00:00:00 | 58.25 | 58.25
1998-07-09 00:00:00 | 62 | 62
1998-07-10 00:00:00 | 64 | 64
1998-07-13 00:00:00 | 65.5 | 65.5
1998-07-14 00:00:00 | 59.375 | 59.375
1998-07-15 00:00:00 | 55.5 | 55.5
1998-07-16 00:00:00 | 57.75 | 57.75
1998-07-17 00:00:00 | 66.5 | 66.5
1998-07-20 00:00:00 | 71.5 | 71.5
1998-07-21 00:00:00 | 68 | 68
1998-07-22 00:00:00 | 66 | 66
1998-07-23 00:00:00 | 63 | 63
1998-07-24 00:00:00 | 62.75 | 62.75
1998-07-27 00:00:00 | 60.5 | 60.5
1998-07-28 00:00:00 | 59.5 | 59.5
1998-07-29 00:00:00 | 59 | 59
1998-07-30 00:00:00 | 57 | 57
1998-07-31 00:00:00 | 55.5 | 55.5
1998-08-03 00:00:00 | 54 | 54
1998-08-04 00:00:00 | 54.5 | 54.5
1998-08-05 00:00:00 | 54.5 | 54.5
1998-08-06 00:00:00 | 54 | 54
1998-08-07 00:00:00 | 54 | 54
1998-08-10 00:00:00 | 54 | 54
1998-08-11 00:00:00 | 54 | 54
1998-08-12 00:00:00 | 54 | 54
1998-08-13 00:00:00 | 54 | 54
1998-08-14 00:00:00 | 53.75 | 53.75
1998-08-17 00:00:00 | 54.375 | 54.375
1998-08-18 00:00:00 | 51.5 | 51.5
1998-08-19 00:00:00 | 50 | 50
1998-08-20 00:00:00 | 49 | 49
1998-08-21 00:00:00 | 49 | 49
1998-08-24 00:00:00 | 49.5 | 49.5
1998-08-25 00:00:00 | 50 | 50
1998-08-26 00:00:00 | 50.625 | 50.625
1998-08-27 00:00:00 | 51.5 | 51.5
1998-08-28 00:00:00 | 52 | 52
1998-08-31 00:00:00 | 53.625 | 53.625
1998-09-01 00:00:00 | 54.5 | 54.5
1998-09-02 00:00:00 | 55 | 55
1998-09-03 00:00:00 | 55.75 | 55.75
1998-09-04 00:00:00 | 55.75 | 55.75
1998-09-08 00:00:00 | 53 | 53
1998-09-09 00:00:00 | 52.5 | 52.5
1998-09-10 00:00:00 | 53 | 53
1998-09-11 00:00:00 | 53 | 53
1998-09-14 00:00:00 | 53.25 | 53.25
1998-09-15 00:00:00 | 57.5 | 57.5
1998-09-16 00:00:00 | 58 | 58
1998-09-17 00:00:00 | 57.25 | 57.25
1998-09-18 00:00:00 | 57.25 | 57.25
1998-09-21 00:00:00 | 57.25 | 57.25
1998-09-22 00:00:00 | 57.375 | 57.375
1998-09-23 00:00:00 | 58.375 | 58.375
1998-09-24 00:00:00 | 61.5 | 61.5
1998-09-25 00:00:00 | 71.25 | 71.25
1998-09-28 00:00:00 | 80.5 | 80.5
1998-09-29 00:00:00 | 74.5 | 74.5
1998-09-30 00:00:00 | 74 | 74
1998-10-01 00:00:00 | 74 | 74
1998-10-02 00:00:00 | 75 | 75
1998-10-05 00:00:00 | 72 | 72
1998-10-06 00:00:00 | 75.5 | 75.5
1998-10-07 00:00:00 | 81 | 81
1998-10-08 00:00:00 | 84.5 | 84.5
1998-10-09 00:00:00 | 85 | 85
1998-10-12 00:00:00 | 85 | 85
1998-10-13 00:00:00 | 83.5 | 83.5
1998-10-14 00:00:00 | 80.75 | 80.75
1998-10-15 00:00:00 | 81 | 81
1998-10-16 00:00:00 | 80.75 | 80.75
1998-10-19 00:00:00 | 81 | 81
1998-10-20 00:00:00 | 87.5 | 87.5
1998-10-21 00:00:00 | 87.5 | 87.5
1998-10-22 00:00:00 | 86.5 | 86.5
1998-10-23 00:00:00 | 85 | 85
1998-10-26 00:00:00 | 83.75 | 83.75
1998-10-27 00:00:00 | 83.75 | 83.75
1998-10-28 00:00:00 | 84 | 84
1998-10-29 00:00:00 | 83.75 | 83.75
1998-10-30 00:00:00 | 85 | 85
1998-11-02 00:00:00 | 85 | 85
1998-11-03 00:00:00 | 85 | 85
1998-11-04 00:00:00 | 85 | 85
1998-11-05 00:00:00 | 85 | 85
1998-11-06 00:00:00 | 87 | 87
1998-11-09 00:00:00 | 87 | 87
1998-11-10 00:00:00 | 89 | 89
1998-11-11 00:00:00 | 92.25 | 92.25
1998-11-12 00:00:00 | 92 | 92
1998-11-13 00:00:00 | 91 | 91
1998-11-16 00:00:00 | 89.75 | 89.75
1998-11-17 00:00:00 | 86.25 | 86.25
1998-11-18 00:00:00 | 79 | 79
1998-11-19 00:00:00 | 79 | 79
1998-11-20 00:00:00 | 78 | 78
1998-11-23 00:00:00 | 76.5 | 76.5
1998-11-24 00:00:00 | 78.5 | 78.5
1998-11-25 00:00:00 | 78.5 | 78.5
1998-11-30 00:00:00 | 73.5 | 73.5
1998-12-01 00:00:00 | 69.5 | 69.5
1998-12-02 00:00:00 | 71 | 71
1998-12-03 00:00:00 | 74.25 | 74.25
1998-12-04 00:00:00 | 74 | 74
1998-12-07 00:00:00 | 74 | 74
1998-12-08 00:00:00 | 71.5 | 71.5
1998-12-09 00:00:00 | 70.875 | 70.875
1998-12-10 00:00:00 | 66.5 | 66.5
1998-12-11 00:00:00 | 69 | 65
1998-12-14 00:00:00 | 70.5 | 66.5
1998-12-15 00:00:00 | 73 | 69
1998-12-16 00:00:00 | 70.5 | 66.5
1998-12-17 00:00:00 | 70 | 66
1998-12-18 00:00:00 | 70 | 66
1998-12-21 00:00:00 | 70 | 66
1998-12-22 00:00:00 | 70 | 66
1998-12-23 00:00:00 | 70 | 66
1998-12-24 00:00:00 | 71 | 67
1998-12-28 00:00:00 | 71 | 67
1998-12-29 00:00:00 | 71 | 67
1998-12-30 00:00:00 | 71.5 | 67.5
1998-12-31 00:00:00 | 71.5 | 67.5
 | Cash
1999-07-01 00:00:00 | 29.985625
1999-07-02 00:00:00 | 26.94375
1999-07-06 00:00:00 | 584.05875
1999-07-07 00:00:00 | 32.185
1999-07-08 00:00:00 | 30.261875
1999-07-09 00:00:00 | 36.50875
1999-07-12 00:00:00 | 16.353125
1999-07-13 00:00:00 | 21.454375
1999-07-14 00:00:00 | 21.92125
1999-07-15 00:00:00 | 36.601875
1999-07-16 00:00:00 | 44.515
1999-07-19 00:00:00 | 43.876875
1999-07-20 00:00:00 | 32.84
1999-07-21 00:00:00 | 38.540625
1999-07-22 00:00:00 | 49.323125
1999-07-23 00:00:00 | 347.97625
1999-07-26 00:00:00 | 229.901875
1999-07-27 00:00:00 | 341.189375
1999-07-28 00:00:00 | 382.2956250000001
1999-07-29 00:00:00 | 349.100625
1999-07-30 00:00:00 | 408.116875
 |  | 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