Spreadsheet: harry_arora__12159__Volatility PJM
Sheet: 12 month 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)
1999-01-04 00:00:00 | 64.5 | 64.5
1999-01-05 00:00:00 | 64 | 64
1999-01-06 00:00:00 | 64 | 64
1999-01-07 00:00:00 | 64 | 64
1999-01-08 00:00:00 | 64 | 64
1999-01-11 00:00:00 | 63 | 63
1999-01-12 00:00:00 | 62 | 62
1999-01-13 00:00:00 | 62 | 62
1999-01-14 00:00:00 | 63 | 63
1999-01-15 00:00:00 | 63.75 | 63.75
1999-01-18 00:00:00 | 64 | 64
1999-01-19 00:00:00 | 63.5 | 63.5
1999-01-20 00:00:00 | 64 | 64
1999-01-21 00:00:00 | 66.5 | 61.5
1999-01-22 00:00:00 | 66 | 61
1999-01-25 00:00:00 | 66 | 61.25
1999-01-26 00:00:00 | 62 | 62
1999-01-27 00:00:00 | 62 | 62
1999-01-28 00:00:00 | 61.5 | 61.5
1999-01-29 00:00:00 | 62 | 62
1999-02-01 00:00:00 | 61.875 | 61.875
1999-02-02 00:00:00 | 62.25 | 62.25
1999-02-03 00:00:00 | 62.25 | 62.25
1999-02-04 00:00:00 | 62.75 | 62.75
1999-02-05 00:00:00 | 62.75 | 62.75
1999-02-08 00:00:00 | 62.6 | 62.6
1999-02-09 00:00:00 | 62.5 | 62.5
1999-02-10 00:00:00 | 61.5 | 61.5
1999-02-11 00:00:00 | 60.75 | 60.75
1999-02-12 00:00:00 | 60.75 | 60.75
1999-02-16 00:00:00 | 61.625 | 61.625
1999-02-17 00:00:00 | 62 | 62
1999-02-18 00:00:00 | 62 | 62
1999-02-19 00:00:00 | 62.5 | 62.5
1999-02-22 00:00:00 | 64.625 | 64.625
1999-02-23 00:00:00 | 68 | 68
1999-02-24 00:00:00 | 70 | 70
1999-02-25 00:00:00 | 72 | 72
1999-02-26 00:00:00 | 71.5 | 71.5
1999-03-01 00:00:00 | 72 | 72
1999-03-02 00:00:00 | 71.25 | 71.25
1999-03-03 00:00:00 | 71 | 71
1999-03-04 00:00:00 | 75.95 | 75.95
1999-03-05 00:00:00 | 78 | 78
1999-03-08 00:00:00 | 79.5 | 79.5
1999-03-09 00:00:00 | 81.5 | 81.5
1999-03-10 00:00:00 | 80.5 | 80.5
1999-03-11 00:00:00 | 78 | 78
1999-03-12 00:00:00 | 74 | 74
1999-03-15 00:00:00 | 70.25 | 70.25
1999-03-16 00:00:00 | 69 | 69
1999-03-17 00:00:00 | 74.5 | 72.5
1999-03-18 00:00:00 | 76.25 | 76.25
1999-03-19 00:00:00 | 76 | 74
1999-03-22 00:00:00 | 75 | 73
1999-03-23 00:00:00 | 75.375 | 73.875
1999-03-24 00:00:00 | 72.75 | 72.75
1999-03-25 00:00:00 | 74.5 | 74.5
1999-03-26 00:00:00 | 74.5 | 74.5
1999-03-29 00:00:00 | 72.25 | 72.25
1999-03-30 00:00:00 | 72 | 72
1999-03-31 00:00:00 | 73.25 | 71.25
1999-04-01 00:00:00 | 73.375 | 71.375
1999-04-05 00:00:00 | 74.25 | 72.25
1999-04-06 00:00:00 | 74.875 | 72.875
1999-04-07 00:00:00 | 75.875 | 73.875
1999-04-08 00:00:00 | 76.25 | 74.25
1999-04-09 00:00:00 | 74.25 | 74.25
1999-04-12 00:00:00 | 75.5 | 75.5
1999-04-13 00:00:00 | 74.75 | 74.75
1999-04-14 00:00:00 | 77.25 | 77.25
1999-04-15 00:00:00 | 79.25 | 79.25
1999-04-16 00:00:00 | 79.5 | 79.5
1999-04-19 00:00:00 | 80.625 | 80.625
1999-04-20 00:00:00 | 84 | 78
1999-04-21 00:00:00 | 84.25 | 78.25
1999-04-22 00:00:00 | 84 | 84
1999-04-23 00:00:00 | 87.375 | 81.375
1999-04-26 00:00:00 | 86.75 | 80.75
1999-04-27 00:00:00 | 88 | 82
1999-04-28 00:00:00 | 87.25 | 81.25
1999-04-29 00:00:00 | 86.75 | 80.75
1999-04-30 00:00:00 | 85.75 | 79.75
1999-05-03 00:00:00 | 85.125 | 79.125
1999-05-04 00:00:00 | 84.375 | 78.375
1999-05-05 00:00:00 | 86.875 | 80.875
1999-05-06 00:00:00 | 85 | 85
1999-05-07 00:00:00 | 83.5 | 83.5
1999-05-10 00:00:00 | 85.375 | 85.375
1999-05-11 00:00:00 | 83.375 | 83.375
1999-05-12 00:00:00 | 84.25 | 84.25
1999-05-13 00:00:00 | 87 | 79
1999-05-14 00:00:00 | 86.75 | 78.25
1999-05-17 00:00:00 | 85.75 | 77.25
1999-05-18 00:00:00 | 78.75 | 78.75
1999-05-19 00:00:00 | 77.25 | 77.25
1999-05-20 00:00:00 | 77.25 | 77.25
1999-05-21 00:00:00 | 77 | 77
1999-05-24 00:00:00 | 82.125 | 76.125
1999-05-25 00:00:00 | 75.875 | 75.875
1999-05-26 00:00:00 | 79.125 | 79.125
1999-05-27 00:00:00 | 77.75 | 77.75
1999-05-28 00:00:00 | 78.625 | 78.625
1999-05-31 00:00:00 | 78.625 | 78.625
1999-06-01 00:00:00 | 78.5 | 78.5
1999-06-02 00:00:00 | 79 | 79
1999-06-03 00:00:00 | 81.5 | 81.5
1999-06-04 00:00:00 | 80 | 80
1999-06-07 00:00:00 | 83 | 83
1999-06-08 00:00:00 | 80 | 80
1999-06-09 00:00:00 | 76.25 | 76.25
1999-06-10 00:00:00 | 74.5 | 74.5
1999-06-11 00:00:00 | 73.5 | 73.5
1999-06-14 00:00:00 | 73.75 | 73.75
1999-06-15 00:00:00 | 76.25 | 76.25
1999-06-16 00:00:00 | 76.5 | 76.5
1999-06-17 00:00:00 | 76.5 | 76.5
1999-06-18 00:00:00 | 78 | 78
1999-06-21 00:00:00 | 74.75 | 74.75
1999-06-22 00:00:00 | 76.5 | 76.5
1999-06-23 00:00:00 | 77.75 | 77.75
1999-06-24 00:00:00 | 76.75 | 76.75
1999-06-25 00:00:00 | 75.25 | 75.25
1999-06-28 00:00:00 | 77.5 | 77.5
1999-06-29 00:00:00 | 78.875 | 78.875
1999-06-30 00:00:00 | 79.5 | 79.5
1999-07-01 00:00:00 | 78.75 | 78.75
1999-07-02 00:00:00 | 78 | 78
1999-07-06 00:00:00 | 80 | 80
1999-07-07 00:00:00 | 78.75 | 78.75
1999-07-08 00:00:00 | 78.75 | 78.75
1999-07-09 00:00:00 | 79 | 79
1999-07-12 00:00:00 | 74.5 | 74.5
1999-07-13 00:00:00 | 71.5 | 71.5
1999-07-14 00:00:00 | 72.25 | 72.25
1999-07-15 00:00:00 | 74 | 74
1999-07-16 00:00:00 | 74.5 | 74.5
1999-07-19 00:00:00 | 74.5 | 74.5
1999-07-20 00:00:00 | 74.75 | 74.75
1999-07-21 00:00:00 | 75.875 | 75.875
1999-07-22 00:00:00 | 78.25 | 78.25
1999-07-23 00:00:00 | 80.75 | 80.75
1999-07-26 00:00:00 | 81 | 81
1999-07-27 00:00:00 | 82.75 | 82.75
1999-07-28 00:00:00 | 81.5 | 81.5
1999-07-29 00:00:00 | 81 | 81
1999-07-30 00:00:00 | 81.5 | 81.5
1999-08-02 00:00:00 | 82 | 82
1999-08-03 00:00:00 | 81.5 | 81.5
1999-08-04 00:00:00 | 88 | 75.75
1999-08-05 00:00:00 | 90 | 77.25
1999-08-06 00:00:00 | 85 | 85
1999-08-09 00:00:00 | 84.75 | 84.75
1999-08-10 00:00:00 | 84.75 | 84.75
1999-08-11 00:00:00 | 87.5 | 87.5
1999-08-12 00:00:00 | 87 | 87
1999-08-13 00:00:00 | 86.625 | 86.625
1999-08-16 00:00:00 | 84.5 | 84.5
1999-08-17 00:00:00 | 85 | 85
1999-08-18 00:00:00 | 85.5 | 85.5
1999-08-19 00:00:00 | 86 | 86
1999-08-20 00:00:00 | 85.5 | 85.5
1999-08-23 00:00:00 | 86 | 86
1999-08-24 00:00:00 | 85.625 | 85.625
1999-08-25 00:00:00 | 85.75 | 85.75
1999-08-26 00:00:00 | 85.25 | 85.25
1999-08-27 00:00:00 | 85.375 | 85.375
1999-08-30 00:00:00 | 84.875 | 84.875
1999-08-31 00:00:00 | 84.75 | 84.75
1999-09-01 00:00:00 | 85 | 85
1999-09-02 00:00:00 | 84.5 | 84.5
1999-09-03 00:00:00 | 84.5 | 84.5
1999-09-07 00:00:00 | 86.125 | 86.125
1999-09-08 00:00:00 | 86.375 | 86.375
1999-09-09 00:00:00 | 87.375 | 87.375
1999-09-10 00:00:00 | 87.875 | 87.875
1999-09-13 00:00:00 | 88 | 88
1999-09-14 00:00:00 | 88.25 | 88.25
1999-09-15 00:00:00 | 88.375 | 88.375
1999-09-16 00:00:00 | 89.25 | 89.25
1999-09-17 00:00:00 | 89 | 89
1999-09-20 00:00:00 | 90 | 90
1999-09-21 00:00:00 | 89 | 89
1999-09-22 00:00:00 | 89 | 89
1999-09-23 00:00:00 | 88.25 | 88.25
1999-09-24 00:00:00 | 90 | 90
1999-09-27 00:00:00 | 89.75 | 89.75
1999-09-28 00:00:00 | 89.375 | 89.375
1999-09-29 00:00:00 | 89.75 | 89.75
1999-09-30 00:00:00 | 89.625 | 89.625
1999-10-01 00:00:00 | 91.5 | 91.5
1999-10-04 00:00:00 | 93.375 | 93.375
1999-10-05 00:00:00 | 92.5 | 92.5
1999-10-06 00:00:00 | 92 | 92
1999-10-07 00:00:00 | 92.75 | 92.75
1999-10-08 00:00:00 | 92 | 92
1999-10-11 00:00:00 | 92.075 | 92.075
1999-10-12 00:00:00 | 92.25 | 92.25
1999-10-13 00:00:00 | 92.375 | 92.375
1999-10-14 00:00:00 | 92.5 | 92.5
1999-10-15 00:00:00 | 91.75 | 91.75
1999-10-18 00:00:00 | 90.75 | 90.75
1999-10-19 00:00:00 | 90.75 | 90.75
1999-10-20 00:00:00 | 90.25 | 90.25
1999-10-21 00:00:00 | 89.875 | 89.875
1999-10-22 00:00:00 | 90 | 90
1999-10-25 00:00:00 | 90.25 | 90.25
1999-10-26 00:00:00 | 89.5 | 89.5
1999-10-27 00:00:00 | 88.875 | 88.875
1999-10-28 00:00:00 | 87.875 | 87.875
1999-10-29 00:00:00 | 87 | 87
1999-11-01 00:00:00 | 84.5 | 84.5
1999-11-02 00:00:00 | 84.25 | 84.25
1999-11-02 00:00:00 | 84.5 | 84.5
1999-11-03 00:00:00 | 86.875 | 86.875
1999-11-04 00:00:00 | 87.125 | 87.125
1999-11-05 00:00:00 | 86.75 | 86.75
1999-11-08 00:00:00 | 86 | 86
1999-11-09 00:00:00 | 84.5 | 84.5
1999-11-10 00:00:00 | 85 | 85
1999-11-11 00:00:00 | 86.25 | 86.25
1999-11-12 00:00:00 | 86.375 | 86.375
1999-11-15 00:00:00 | 87.5 | 87.5
1999-11-16 00:00:00 | 87.375 | 87.375
1999-11-17 00:00:00 | 88.125 | 88.125
1999-11-18 00:00:00 | 88.625 | 88.625
1999-11-19 00:00:00 | 87.5 | 87.5
1999-11-22 00:00:00 | 85.75 | 85.75
1999-11-23 00:00:00 | 86 | 86
1999-11-24 00:00:00 | 86 | 86
1999-11-29 00:00:00 | 86.125 | 86.125
1999-11-30 00:00:00 | 86.375 | 86.375
1999-12-01 00:00:00 | 86.5 | 86.5
1999-12-02 00:00:00 | 85.25 | 85.25
1999-12-03 00:00:00 | 85.25 | 85.25
1999-12-03 00:00:00 | 85.25 | 85.25
1999-12-06 00:00:00 | 83.875 | 83.875
1999-12-07 00:00:00 | 84 | 84
1999-12-08 00:00:00 | 84.75 | 84.75
1999-12-09 00:00:00 | 85.25 | 85.25
1999-12-10 00:00:00 | 86.25 | 86.25
1999-12-13 00:00:00 | 86.675 | 86.675
1999-12-14 00:00:00 | 87.375 | 87.375
1999-12-15 00:00:00 | 86.5 | 86.5
1999-12-16 00:00:00 | 87.25 | 87.25
1999-12-17 00:00:00 | 87.125 | 87.1
1999-12-20 00:00:00 | 87 | 87
1999-12-21 00:00:00 | 86.55 | 86.55
1999-12-22 00:00:00 | 86.25 | 86.25
1999-12-23 00:00:00 | 86.375 | 86.375
1999-12-27 00:00:00 | 85.875 | 85.875
1999-12-28 00:00:00 | 85.875 | 85.875
1999-12-29 00:00:00 | 85.5 | 85.5
1999-12-30 00:00:00 | 85.25 | 85.25
1999-12-31 00:00:00 | 85.25 | 85.25
 | 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