Spreadsheet: fletcher_sturm__10953__1130optsheet
Sheet: sheet 1

Close of Business: |  | 2000-11-30 00:00:00
Date | Region | Month | Underlying | Option | Bid | Offer
Cinergy Options
 | Cin | JanFeb | 43 | [NAME] | 7.5 | 10
 | Cin | JanFeb |  | 40 Daily Straddle | 19 | 25
 | Cin | JanFeb |  | 20 dp | 0.3 | 0.9
 | Cin |  |  | 25 dp | 1.5 | 2
 | Cin |  |  | 30 dp | 3.5 | 4.5
 | Cin |  |  | 40 dc | 9.75 | 14
 | Cin |  |  | 50 dc | 8.5 | 10.5
 | Cin |  |  | 75 dc | 4 | 6.5
 | Cin |  |  | 100 dc | 2 | 4.5
 | Cin |  |  | 30 mp | 0.15 | 0.75
 | Cin |  |  | 35 mp | 1.1 | 1.9
 | Cin |  |  | 38 mp | 1.5 | 3
 | Cin |  |  | 40 mc | 4.5 | 5.5
 | Cin |  |  | 45 mc | 2.5 | 4.5
 | Cin | MarApr | 39.5 | ATM Straddle | 7.5 | 11
 | Cin | MarApr |  | 20 dp | 0.25 | 1.25
 | Cin |  |  | 25 dp | 2 | 2.75
 | Cin |  |  | 30 dp | 4.25 | 5.5
 | Cin |  |  | 40 dc | 8.5 | 9.5
 | Cin |  |  | 28mp | 0.25 | 0.95
 | Cin |  |  | 35mp | 2 | 3
 | Cin | May | 50 | [NAME] | 11 | 15
 | Cin |  |  | 30 dp | 2.5 | 5.5
 | Cin |  |  | 50 dc | 9.5 | 11
 | Cin |  |  | 75 dc | 5.5 | 9.5
 | Cin |  |  | 100 dc | 3.75 | 6.5
 | Cin |  |  | 45mp | 3.25 | 5
 | Cin | June | 82 | [NAME] | 24 | 29
 | Cin | June |  | 100 MC | 9 | 14
 | Cin | June |  | 30 dp | 1.5 | 4.5
 | Cin | June |  | 40 dp | 6.5 | 8.5
 | Cin | June |  | 50 dp | 14.5 | 15.5
 | Cin | June |  | 100 dc | 34 | 44
 | Cin | Summer | 140 | [NAME] | 51 | 68
 | Cin | Summer |  | 30 dp | 0.5 | 2.5
 | Cin | Summer |  | 40 dp | 2.5 | 5
 | Cin | Summer |  | 50 dp | 10 | 10.5
 | Cin | Summer |  | 75 dp | 24.5 | 26.5
 | Cin | Summer |  | 100 dc | 83 | 87
 | Cin | Summer |  | 100 dp | 43 | 46
 | Cin | Summer |  | 200 dc | 59 | 65
 | Cin | Summer |  | 100/200 dc spread | 14.5 | 20
 | Cin | Summer |  | [NAME] | 20 | 40
 | Cin |  |  | 150 mc | 25 | 45
 | Cin |  |  | 200mc | 13 | 30
 | Cin | Sep | 41 | [NAME] | 9 | 16
 | Cin | Sep |  | 25dp | 1 | 3
 | Cin | Sep |  | 30 dp | 3.5 | 6
 | Cin | Sep |  | 50 dc | 8 | 11
 | Cin | Sep |  | 75dc | 5 | 7
 | Cin | Sep |  | 50mc | 3 | 6
 | Cin | 4Q | 34.25 | [NAME] | 6.5 | 7.5
 | Cin |  |  | 25 dp | 2.5 | 3.25
 | Cin |  |  | 30 dp | 5 | 7.5
Entergy Options
 | Ent | JanFeb | 52 | 30dp | 0.25 | 1.25
 | Ent |  |  | 35 dp | 0.5 | 2.5
 | Ent |  |  | 50 dc | 10 | 15
 | Ent |  |  | 45mp | 0.75 | 2.5
PJM Options:
 | PJM | JanFeb | 49 | 25 dp | 0.1 | 0.5
 | PJM |  |  | 30 dp | 0.75 | 1.75
 | PJM |  |  | 35 dp | 1.5 | 3.75
 | PJM |  |  | 40 dp | 3.5 | 5.5
 | PJM |  |  | 50 dc | 10 | 12
 | PJM |  |  | 75 dc | 4.5 | 7
 | PJM |  |  | 100 dc | 3.5 | 5
 | PJM |  |  | [NAME] | 8 | 9.5
 | PJM |  |  | 40 mp | 0.5 | 1.1
 | PJM |  |  | 50 mc | 3.5 | 5
 | PJM |  |  | 55 mc | 2.25 | 3.25
 | PJM | MarApr | 40 | 25 dp | 0.25 | 0.75
 | PJM |  |  | 30 dp | 1.5 | 3
 | PJM | MarApr |  | 50dc | 2.5 | 4.5
 | PJM |  |  | [NAME] | 6.25 | 8
 | PJM | May | 52 | 30 dp | 0.75 | 2.5
 | PJM |  |  | 35dp | 1.5 | 3.75
 | PJM |  |  | 50dc | 6.5 | 13
 | PJM |  |  | 75dc | 3.5 | 8
 | PJM |  |  | 100dc | 2 | 6
 | PJM |  |  | [NAME] | 10 | 12
 | PJM |  |  | 60MC | 3.25 | 4
 | PJM | June | 80 | [NAME] | 23 | 30
 | PJM |  |  | 70mp | 7 | 9
 | PJM |  |  | 85mc | 10 | 12
 | PJM |  |  | 100 mc | 5.75 | 9
 | PJM | Summer | 119 | [NAME] | 35 | 45
 | PJM |  |  | 100mp | 6.5 | 10
 | PJM |  |  | 125 mc | 18 | 23
 | PJM |  |  | 150 mc | 11 | 16
 | PJM |  |  | 50 dp | 6 | 11
 | PJM |  |  | 75 dp | 18 | 25
 | PJM |  |  | 100 dp | 30 | 43
 | PJM |  |  | 150 dc | 40 | 55
 | PJM | 4Q | 36 | [NAME] | 7 | 9
 | PJM | 4Q |  | ATM 1x Straddle | 5 | 6.5
Cinergy ATM Volatilities (Indications):
 |  | Daliy Volatility (%) |  | Monthly Volatility (%)
 | JanFeb | 155-195 |  | 64-86
 | MarApr | 115-130 |  | 46-58
 | May | 95-125 |  | 40-51
 | June | 170-200 |  | 55-65
 | Summer | 180-210 |  | 59-77
 | Sep | 70-95 |  | 33-45
 | 4Q | 42-62 |  | 25-29
PJM ATM Volatilities (Indications):
 |  | Daliy Volatility (%) |  | Monthly Volatility (%)
 | JanFeb | 140-160 |  | 62-68
 | MarApr | 75-90 |  | 34-39
 | May | 70-100 |  | 45-55
 | June | 135-175 |  | 60-70
 | Summer | 135-180 |  | 50-60
 | Sep | 65-95 |  | 38-50
 | 4Q 3x | 65-80 |  | 26-29
 | 4Q 1x |  |  | 20-24