Spreadsheet: harry_arora__12159__Volatility PJM
Sheet: Summer '00

Contract | 2000-07-01 00:00:00 | 2000-08-01 00:00:00 |  | Summer |  | Log | 20 Day | Annualized
 |  |  |  | Package |  | Normal | STD | Volatility (266 Days)
2000-01-03 00:00:00 | 85 | 85
2000-01-04 00:00:00 | 85.5 | 85.25
2000-01-05 00:00:00 | 85.75 | 85.5
2000-01-06 00:00:00 | 91.5 | 82
2000-01-07 00:00:00 | 91.5 | 82
2000-01-10 00:00:00 | 91.75 | 83.25
2000-01-11 00:00:00 | 93.25 | 82.5
2000-01-12 00:00:00 | 94 | 82.5
2000-01-13 00:00:00 | 94 | 82.5
2000-01-14 00:00:00 | 94 | 82
2000-01-17 00:00:00 | 94 | 82
2000-01-18 00:00:00 | 94.25 | 81.625
2000-01-19 00:00:00 | 94 | 81
2000-01-20 00:00:00 | 95.5 | 82
2000-01-21 00:00:00 | 94.5 | 82
2000-01-24 00:00:00 | 95.5 | 82
2000-01-25 00:00:00 | 96.5 | 83
2000-01-26 00:00:00 | 95.5 | 83
2000-01-27 00:00:00 | 98.375 | 81.875
2000-01-28 00:00:00 | 98.25 | 81.875
2000-01-31 00:00:00 | 98.375 | 81.875
2000-02-01 00:00:00 | 100.25 | 82
2000-02-02 00:00:00 | 99.25 | 84
2000-02-03 00:00:00 | 99.5 | 83.5
2000-02-04 00:00:00 | 100 | 83.5
2000-02-07 00:00:00 | 99 | 83
2000-02-08 00:00:00 | 98 | 83
2000-02-09 00:00:00 | 99 | 83
2000-02-10 00:00:00 | 100 | 83.5
2000-02-11 00:00:00 | 101.5 | 85
2000-02-14 00:00:00 | 102.5 | 86.5
2000-02-15 00:00:00 | 102.5 | 87.5
2000-02-16 00:00:00 | 102.5 | 87.5
2000-02-17 00:00:00 | 102.5 | 87
2000-02-18 00:00:00 | 102.5 | 87
2000-02-22 00:00:00 | 103 | 87
2000-02-23 00:00:00 | 103 | 86.5
2000-02-24 00:00:00 | 103.5 | 86.5
2000-02-25 00:00:00 | 104 | 87.5
2000-02-28 00:00:00 | 103.5 | 87
2000-02-29 00:00:00 | 103.5 | 87
2000-03-01 00:00:00 | 103.5 | 87
2000-03-02 00:00:00 | 103.5 | 87
2000-03-03 00:00:00 | 104.5 | 87.5
2000-03-06 00:00:00 | 105 | 88
2000-03-07 00:00:00 | 105 | 88
2000-03-08 00:00:00 | 106.5 | 89.5
2000-03-09 00:00:00 | 106.75 | 89.75
2000-03-10 00:00:00 | 107.25 | 90.25
2000-03-13 00:00:00 | 107.5 | 90.5
2000-03-14 00:00:00 | 108 | 91
2000-03-15 00:00:00 | 108.25 | 91.25
2000-03-16 00:00:00 | 108.5 | 91.5
2000-03-17 00:00:00 | 111 | 93.5
2000-03-20 00:00:00 | 111.5 | 94.5
2000-03-21 00:00:00 | 110.5 | 93.5
2000-03-22 00:00:00 | 110 | 94.5
2000-03-23 00:00:00 | 112.25 | 96.75
2000-03-24 00:00:00 | 112.25 | 96.75
2000-03-27 00:00:00 | 113.25 | 97.75
2000-03-28 00:00:00 | 114 | 98
2000-03-29 00:00:00 | 115 | 99
2000-03-30 00:00:00 | 113.5 | 97.5
2000-03-31 00:00:00 | 113.5 | 97.5
2000-04-03 00:00:00 | 113 | 97
2000-04-04 00:00:00 | 110.5 | 94.5
2000-04-05 00:00:00 | 108 | 92
2000-04-06 00:00:00 | 107 | 91
2000-04-07 00:00:00 | 107 | 91
2000-04-10 00:00:00 | 104 | 88
2000-04-11 00:00:00 | 102 | 86
2000-04-12 00:00:00 | 105.5 | 89.5
2000-04-13 00:00:00 | 105.5 | 89.5
2000-04-14 00:00:00 | 106.5 | 90.5
2000-04-17 00:00:00 | 109 | 93
2000-04-18 00:00:00 | 107 | 91
2000-04-19 00:00:00 | 108.5 | 92.5
2000-04-20 00:00:00 | 108.5 | 92.5
2000-04-24 00:00:00 | 106.5 | 90.5
2000-04-25 00:00:00 | 105.5 | 89.5
2000-04-26 00:00:00 | 106 | 90
2000-04-27 00:00:00 | 105.5 | 89.5
2000-04-28 00:00:00 | 105.5 | 89.5
2000-05-01 00:00:00 | 109 | 93
2000-05-02 00:00:00 | 116 | 100
2000-05-03 00:00:00 | 117 | 101
2000-05-04 00:00:00 | 116 | 100
2000-05-05 00:00:00 | 116 | 100
2000-05-08 00:00:00 | 127 | 111
2000-05-09 00:00:00 | 127 | 111
2000-05-10 00:00:00 | 124 | 108
2000-05-11 00:00:00 | 125 | 109
2000-05-12 00:00:00 | 134.5 | 94.5
2000-05-15 00:00:00 | 136 | 96
2000-05-16 00:00:00 | 138 | 98
2000-05-17 00:00:00 | 144 | 106
2000-05-18 00:00:00 | 157 | 119
2000-05-19 00:00:00 | 161 | 123
2000-05-22 00:00:00 | 158 | 120
2000-05-23 00:00:00 | 159 | 121
2000-05-24 00:00:00 | 159 | 122
2000-05-25 00:00:00 | 159 | 122
2000-05-26 00:00:00 | 157 | 120
2000-05-30 00:00:00 | 150 | 113
2000-05-31 00:00:00 | 90.22727272727273 | 118
2000-06-01 00:00:00 | 140 | 110
2000-06-02 00:00:00 | 142 | 113
2000-06-05 00:00:00 | 142.7 | 119.5
2000-06-06 00:00:00 | 139.375 | 115
2000-06-07 00:00:00 | 140 | 110
2000-06-08 00:00:00 | 140 | 110
2000-06-09 00:00:00 | 140 | 110
2000-06-12 00:00:00 | 140 | 110
2000-06-13 00:00:00 | 132 | 102
2000-06-14 00:00:00 | 135 | 105
2000-06-15 00:00:00 | 138.5 | 110
2000-06-16 00:00:00 | 140 | 106
2000-06-19 00:00:00 | 134 | 100
2000-06-20 00:00:00 | 119 | 98
2000-06-21 00:00:00 | 120 | 100
2000-06-22 00:00:00 | 116 | 99
2000-06-23 00:00:00 | 116 | 99
2000-06-26 00:00:00 | 121 | 99
2000-06-27 00:00:00 | 145 | 108
2000-06-28 00:00:00 | 134.55 | 101
2000-06-29 00:00:00 | 119.875 | 102
2000-06-30 00:00:00 | #N/A | 105
 | Cash
2000-07-03 00:00:00 | 24.19375 | 105
2000-07-05 00:00:00 | 42.434375 | 90.34782608695652
2000-07-06 00:00:00 | 27.454375 | 88
2000-07-07 00:00:00 | 22.78375 | 94
2000-07-10 00:00:00 | 53.001875 | 84
2000-07-11 00:00:00 | 32.55875 | 83.84782608695652
2000-07-12 00:00:00 | 31.139375 | 85
2000-07-13 00:00:00 | 33.34125 | 82
2000-07-14 00:00:00 | 45.61625 | 82
2000-07-17 00:00:00 | 43.185 | 70
2000-07-18 00:00:00 | 48.910625 | 67.6086956521739
2000-07-19 00:00:00 | 16.326875 | 66.5
2000-07-20 00:00:00 | 20.150625 | 68.5
2000-07-21 00:00:00 | 43.23 | 67.5
2000-07-24 00:00:00 | 20.26125 | 63.5
2000-07-25 00:00:00 | 15.88 | 55.39130434782609
2000-07-26 00:00:00 | 27.163125 | 59.91304347826087
2000-07-27 00:00:00 | 44.6225 | 65.23913043478261
2000-07-28 00:00:00 | 42.934375 | 64
2000-07-31 00:00:00 | 44.37875 | na
 |  | Aug Cash
2000-08-01 00:00:00 |  | 31.8275
2000-08-02 00:00:00 |  | 34.105625
2000-08-03 00:00:00 |  | 34.04125
2000-08-04 00:00:00 |  | 29.33125
2000-08-07 00:00:00 |  | 71.4575
2000-08-08 00:00:00 |  | 55.741875
2000-08-09 00:00:00 |  | 60.240625
2000-08-10 00:00:00 |  | 61.1675
2000-08-11 00:00:00 |  | 48.43375
2000-08-14 00:00:00 |  | 20.91625
2000-08-15 00:00:00 |  | 47.37875
2000-08-16 00:00:00 |  | 41.1375
2000-08-17 00:00:00 |  | 20.789375
2000-08-18 00:00:00 |  | 18.076875
2000-08-21 00:00:00 |  | 20.81
2000-08-22 00:00:00 |  | 28.9225
2000-08-23 00:00:00 |  | 34.718125
2000-08-24 00:00:00 |  | 53.600625
2000-08-25 00:00:00 |  | 45.769375
2000-08-28 00:00:00 |  | 40.835
2000-08-29 00:00:00 |  | 33.326875
2000-08-30 00:00:00 |  | 49.1275
2000-08-31 00:00:00 |  | 55.90875