Spreadsheet: mike_carson__27557__1029optsheet
Sheet: sheet 1

Close of Business: |  | 2001-10-29 00:00:00 | 4:00 PM
 |  | Month | Underlying | Option | Bid | Offer
Cinergy Options
 | Cin | Nov | 25.25 | ATM d strad | 5 | 7
 | Cin | Nov |  | 20 dp | 0.5 | 0.75
 |  |  |  | 25 dp | 2.5 | 2.85
 |  |  |  | 25 dc | 2.5 | 3
 |  |  |  | 30 dc | 0.75 | 1.75
 |  |  |  | 21 mp | 0.4 | 0.8
 |  |  |  | 22 mp | 0.3 | 0.6
 |  |  |  | 23 mp | 0.7 | 0.9
 |  |  |  | 25 mc | 0.5 | 1
 |  |  |  | 26 mc | 0.15 | 0.5
 |  |  |  | 30 dc | 0.5 | 1.5
 |  | Dec | 28 | [NAME] | 3.4 | 3.6
 |  | Dec |  | 20 dp | 0.25 | 1
 |  | Dec |  | 25 dp | 2.8 | 3
 |  | Dec |  | 25 dc | 4.4 | 5
 |  |  |  | 30 dp | 5.75 | 7
 |  |  |  | 30 dc | 3 | 3.5
 |  | Dec |  | 35 dc | 0.75 | 1.75
 |  | Dec |  | 25 mp | 1.25 | 1.4
 |  |  |  | 25 mp | 0.5 | 0.6
 |  |  |  | 27 mp | 2.15 | 2.5
 |  |  |  | 28 mc | 1.65 | 1.85
 |  |  |  | 29 mc | 1.25 | 1.5
 |  |  |  | 30 mc | 0.75 | 1.25
 |  | Nov-Dec 02 | 26.4 | ATM d Strad | 4 | 6
 |  |  |  | 25/35 dcspd | 2.5 | 3.5
 |  |  |  | 40 dc | 0.3 | 0.95
 | Cin | Jan-Dec 02 | 33.65 | 50 dc | 2.75 | 5
 |  |  |  | 31 1 x P | 0.6 | 1
 |  |  |  | 32 1 x C | 1.8 | 2.2
 |  |  |  | 35 1 x C | 0.8 | 1.25
 |  |  |  | 38 1 x C | 0.35 | 0.65
 |  |  |  | 41 1 x C | 0.15 | 0.4
 |  |  |  | 43 1 x C | 0.07 | 0.2
 |  | Jan-Feb02 | 30.3 | [NAME] | 5.5 | 7
 | Cin |  |  | 20 dp | 0.5 | 1
 | Cin |  |  | 25 dp | 2.5 | 2.7
 | Cin |  |  | 30 dp | 5.25 | 5.5
 | Cin |  |  | 35 dc | 2
 |  |  |  | 40 dc | 2 | 4
 | Cin |  |  | 50 dc | 1.25 | 2
 |  |  |  | 100 dc | 0.4 | 1
 |  |  |  | ATMm strad | 4.75 | 5.5
 | Cin |  |  | 25 mp | 0.6 | 1.25
 | Cin |  |  | 27 mp | 1.4 | 1.8
 | Cin |  |  | 30 mc | 2.05 | 2.35
 | Cin |  |  | 30 mc | 2.75 | 3.5
 | Cin |  |  | 32 mc | 1.4 | 2
 | Cin |  |  | 35 mc | 1 | 2
 | Cin |  |  | 40 mc | 0.5 | 1.15
 | Cin |  |  | 50 mc | 2 | 3.25
 | Cin |  |  | 30 / 40 mcspr | 2.4 | 2.75
 | Cin | MarApr | 28.25 | [NAME] | 5 | 5.35
 | Cin |  |  | 20 dp | 0.5 | 1.25
 | Cin |  |  | 25 dp | 2.5 | 3.5
 | Cin |  |  | 30 dp | 5 | 6.75
 | Cin |  |  | 40 dc | 1 | 2.25
 | Cin |  |  | 30 mc | 1.25 | 2.25
 | Cin | May | 30.25 | ATM Straddle | 6 | 6.5
 | Cin |  |  | 20 dp | 0.5 | 1.5
 | Cin |  |  | 25 dp | 2.5 | 3.75
 | Cin |  |  | 30 dp | 5 | 7
 | Cin |  |  | 40 dc | 1.75 | 3.75
 | Cin |  |  | 50 dc | 0.75 | 1.75
 | Cin |  |  | ATM Straddle | 6 | 7
 | Cin |  |  | 35 mc | 1.5 | 2
 | Cin | June | 40.3 | [NAME] | 9 | 10
 | Cin | June |  | 20 dp | 0.25 | 1
 | Cin | June |  | 25 dp | 1 | 2
 | Cin | June |  | 30 dp | 2 | 5
 | Cin | June |  | 35 dp | 5.5 | 8
 | Cin | June |  | 40 dp | 4 | 7
 | Cin | June |  | ATM Straddle | 9.15 | 9.5
 | Cin | June |  | 100 dc | 2 | 5
 | Cin | June |  | 50 mc | 1.8 | 2
 | Cin | June |  | 50 / 100 dcspr | 2 | 6
 | Cin | June |  | 50 mc | 2 | 2.5
 | Cin | June |  | 50 dc | 6 | 7
 | Cin | Summer 02 | 51.6 | [NAME] | 13 | 16
 | Cin | Summer 02 |  | 25 dp | 1 | 1.6
 | Cin | Summer 02 |  | 30 dp | 2 | 4
 | Cin | Summer 02 |  | 35 dp | 4 | 6.5
 | Cin | Summer 02 |  | 30 dp | 2.5 | 3.75
 | Cin | Summer 02 |  | 35 dp | 4 | 5
 | Cin | Summer 02 |  | 40 dp | 5 | 7
 | Cin | Summer 02 |  | 50 dp | 13 | 15
 | Cin | Summer 02 |  | 100 dc | 6 | 7.5
 | Cin | Summer 02 |  | 200 dc | 1 | 4
 | Cin | Summer 02 |  | 50/100 dc spd | 4.5 | 7.5
 | Cin | Summer 02 |  | 50 mp | 6.75 | 7.25
 | Cin | Summer 02 |  | 60 mc | 4.5 | 5.5
 | Cin | Summer 02 |  | 60 mc | 4.75 | 5.5
 | Cin | Summer 02 |  | 70 mc | 2.65 | 4
 | Cin | Summer 02 |  | 100 mc | 1.2 | 1.6
 | Cin | Summer 02 |  | 75 mc | 2.25 | 3.25
 | Cin | September | 27.8 | [NAME] | 13 | 15.5
 | Cin | September |  | 20 dp | 0.5 | 1.5
 | Cin | September |  | 25 dp | 2.75 | 3.5
 | Cin |  |  | 30 dp | 2 | 4
 | Cin |  |  | 35 dp | 4 | 6.5
 | Cin |  |  | 40 dp | 4.75 | 8
 | Cin |  |  | 50 dc | 1.75 | 3
 | Cin |  |  | 100 dc | 6 | 7.5
 | Cin |  |  | 200 dc | 1 | 4
 | Cin | Oct/Nov/Dec_02 | 28.5 | 25 dp | 2.5 | 4
 | Cin |  |  | 30 mc | 2.5 | 3
 | Cin |  |  | 30 dp | 2 | 4
 | Cin |  |  | 35 dp | 4 | 6.5
 | Cin |  |  | 40 dp | 4.75 | 8
 | Cin |  |  | 50 dp | 13.5 | 15
Entergy Options
 |  | Nov | 25.3 | 25 dp | 1.75 | 2
 |  |  |  | 30 dc | 0.6 | 0.85
 |  |  |  | 30 dc | 0.6 | 0.85
 | Ent | Q4 | 20.5 | [NAME]
 | Ent |  |  | 20 dp | 1.5 | 3
 | Ent |  |  | 25 dp | 5 | 7
 |  |  |  | 20 mp | 0.4 | 0.65
 | Ent | JanFeb | 27.15 | [NAME] | 4.25 | 5
 | Ent |  |  | 20 dp | 1 | 2
 | Ent |  |  | 25 dp | 4 | 6
 | Ent |  |  | 27 mc | 0.75 | 1.25
 | Ent | May | 27.3 | [NAME] | 4 | 6
 | Ent | May |  | 30 dc | 3 | 5
 | Ent | May |  | 50 dc | 1 | 3
 | Ent | May |  | 24 mp | 1.2 | 1.9
 | Ent | May |  | 25 mp | 1.65 | 2.4
 | Ent | May |  | 26 mc | 2.25 | 3
 | Ent | June | 36.3 | [NAME] | 7.5 | 8.25
 | Ent | June |  | 25 dp | 1 | 2
 | Ent | June |  | 35 dc | 5 | 7
 | Ent | June |  | 35 mc | 4.25 | 5
 | Ent | June |  | 45 mc | 1 | 1.75
 |  | Summer 02 | 46.05 | [NAME] | 12 | 13.25
 |  |  |  | 50 Mth Strad | 13 | 15.5
 |  |  |  | 25 dp | 0.5 | 1.5
 |  |  |  | 30 dp | 1.5 | 3.25
 |  |  |  | 35 dp | 3 | 6.5
 |  |  |  | 40 dp | 6.5 | 9.5
 |  |  |  | 50 dc | 9.25 | 10.25
 |  |  |  | 100 dc | 4 | 8
 |  |  |  | 200 dc | 1 | 4
 |  | Summer 02 |  | 25 dp | 0.75 | 1.25
 |  | Summer 02 |  | 30 dp | 1.5 | 3
 |  | Summer 02 |  | 35 dp | 3 | 5.5
 |  | Summer 02 |  | 40 dp | 6.25 | 8
 |  | Summer 02 |  | 50 dp | 12.75 | 15.75
 |  | Summer 02 |  | 50 dc | 8 | 10
 |  |  |  | 40 mp | 3 | 4
 |  |  |  | 45 mc | 6 | 6.75
 |  |  |  | 50 mc | 4 | 5
 |  |  |  | 70 mc | 1.3 | 2
 |  |  |  | 50/100 dcspr | 4 | 8
PJM Options: | PJM | Nov | 28.4 | 25 dp | 0.4 | 0.9
 | PJM | Nov |  | 30 dp | 3 | 5
 | PJM | Nov |  | 30 dc | 1.3 | 1.5
 | PJM | Nov |  | 28 mc | 0.65 | 0.75
 | PJM | Nov |  | 30 mc | 0.35 | 0.7
 |  | Oct/Nov/Dec | 26.75
 |  | Oct/Nov/Dec |  | ATM 3 x Straddle | 2 | 3.5
 |  |  |  | 20 dp | 0.25 | 1
 |  |  |  | 25 dp | 1.1 | 1.5
 |  |  |  | 30 dp | 4.25 | 5.25
 |  |  |  | 40 dc | 0.75 | 1.5
 |  |  |  | 50 dc | 0.25 | 0.75
 |  | Cal 2002 | 38.2 | ATM 1 x Straddle | 5 | 5.75
 |  | Cal 2002 |  | 50 dc | 3.75
 |  | Cal 2002 |  | 36 1 x P | 1 | 1.25
 |  | Cal 2002 |  | 40 1 x C | 1 | 1.65
 |  | Cal 2002 |  | 44 1 x C | 0.2 | 0.6
 |  | Cal 2003 Offpeak | 37.65
 |  |  | 37.65 | 23 1 x C | 20
 |  |  | 37.65 | 24 1 x C | 15
 |  | Cal 2003 | 39 | ATM 1 x Strad | 7.5 | 9.5
 |  | Cal 2003 |  | 35 1 x P | 2 | 3.25
 |  | JanFeb | 35.55 | [NAME] | 6 | 7.5
 |  | JanFeb |  | 35 D Straddle | 10.75 | 11.25
 |  |  |  | 25 dp | 0.75 | 0.85
 |  |  |  | 30 dp | 2.25 | 2.5
 |  |  |  | 35 dp | 4.95 | 5.4
 |  |  |  | 40 dc | 4.25 | 5.25
 |  |  |  | 45 dc | 2.4 | 3.15
 |  |  |  | 50 dc | 2.65 | 3.5
 |  |  |  | 100 dc | 0.5 | 1.25
 |  |  |  | 27 mc |  | 1.4
 |  |  |  | 30 mp | 0.9 | 1.5
 |  |  |  | 35 mc | 2.55 | 3.1
 |  |  |  | 40 mc | 1.7 | 2.5
 |  |  |  | 45 mc | 0.85 | 1.5
 |  |  |  | 50 mc | 0.5 | 1.25
 |  | Summer | 58.3 | [NAME] | 16.5 | 19
 |  |  |  | 40 dp | 4 | 6
 |  |  |  | 50 dp | 9 | 13
 |  |  |  | 100 dc | 9.5 | 12
 |  |  |  | 45 mp | 1.75 | 2.75
 |  |  |  | 50 mp | 4 | 4.8
 |  |  |  | 55 mp | 7.1 | 7.6
 |  |  |  | 60 mc | 6.5 | 7.75
 |  |  |  | 70 mc | 5.25 | 6.5
 |  |  |  | 80 mc | 3.15 | 4.35
 |  |  |  | 100 mc | 1.75 | 2.5
 |  |  |  | 50/70 Mth Fence | -0.5 | 0.25
Cinergy ATM Volatilities (Indications):
 |  | Daliy Volatility (%) |  | Monthly Volatility (%)
 | Nov | 125 - 150
 | Cal 02 Bullets |  |  | 30 - 37
 | FG | 80 - 95 |  | 48 - 58
 | HJ | 55 - 75 |  | 35 - 42
 | K | 60 - 80 |  | 35 - 42
 | M | 65 - 85 |  | 38 - 48
 | Summer 02 | 95 - 115 |  | 42 - 52
PJM ATM Volatilities (Indications):
 |  | Daliy Volatility (%) |  | Monthly Volatility (%)
 | Nov | 100 - 140
 | Cal 02 Bullets |  |  | 30 - 36
 | FG | 80 - 100 |  | 45 - 55
 | HJ | 55 - 75 |  | 35 - 45
 | K | 60 - 80 |  | 30 - 40
 | M | 60 - 80 |  | 35 - 50
 | Summer 02 | 80 - 110 |  | 42 - 47