Spreadsheet: john_arnold__15331__storage_comp_06_01
Sheet: Sheet1

 |  |  |  | Comparison of STORAGE-PRC VAR for 5/25/00 and 5/26/00
 | VAR on 5/25/00= | 2661873.423124516 |  | VAR on 5/26/00= | 3771721.143475685
Month | VAR by month | VAR by month | Cumulative | FF vols used | FF vols used | FWD vols | FWD vols | Position | Position
 | (5/25/00) | (5/26/00) | difference | on 5/25/00 | on 5/26/00 | (5/25/00) | (5/26/00) | (5/25/00) | (5/26/00)
2000-06-01 00:00:00 | 1565.206370736983 | 0 | -1565.206370736983 | 0.55 | 0.55 | 0.55 | 0.55 | 7805.166573990029 | 0
2000-07-01 00:00:00 | 933795.2284007543 | 865345.230463739 | -70015.20430775224 | 0.56 | 0.58 | 0.56 | 0.58 | 4582029.224 | 4061310.6503
2000-08-01 00:00:00 | 891776.2680224901 | 948319.0615173145 | -13472.4108129278 | 0.56 | 0.58 | 0.56 | 0.58 | 4375846.8635 | 4450730.3777
2000-09-01 00:00:00 | 832394.999384237 | 927023.3273104317 | 81155.91711326696 | 0.5625 | 0.585 | 0.5625 | 0.585 | 4085642.99 | 4331866.6256
2000-10-01 00:00:00 | 192827.4517475543 | 155315.4344779596 | 43643.89984367228 | 0.564999999999999 | 0.5875 | 0.565 | 0.5875 | 939587.3763 | 720139.9753
2000-11-01 00:00:00 | -7356.709772187904 | -7742.104813433267 | 43258.50480242691 | 0.5675 | 0.59 | 0.5675 | 0.59 | -34919.4592 | -34926.2531
2000-12-01 00:00:00 | 95.33283255740264 | 100.3687131628476 | 43263.54068303236 | 0.5675 | 0.59 | 0.5675 | 0.59 | 442.555 | 442.6435
2001-01-01 00:00:00 | 33151.64983842289 | 34912.0537192105 | 45023.94456381996 | 0.57 | 0.5925 | 0.57 | 0.5925 | 152944.4737 | 152975.969
2001-02-01 00:00:00 | 2116.175794424754 | 2231.959904206911 | 45139.72867360212 | 0.5575 | 0.58 | 0.4450351109744045 | 0.58 | 10504.9417 | 10507.2252
2001-03-01 00:00:00 | 1837.160146475111 | 1946.957980762763 | 45249.52650788977 | 0.505 | 0.5275 | 0.404 | 0.5275 | 10624.783 | 10627.2228
2001-04-01 00:00:00 | -28414.83545137049 | -29890.50763070777 | 43773.85432855249 | 0.4025 | 0.4175 | 0.3220000000000001 | 0.4175 | -219123.3423 | -219176.6278
2001-05-01 00:00:00 | 18750.6028954773 | 19709.13702764201 | 44732.38846071721 | 0.3475 | 0.36 | 0.278 | 0.36 | 173173.3534 | 173217.4519
2001-06-01 00:00:00 | 100274.5900151904 | 106049.865155016 | 50507.6636005428 | 0.324325643894637 | 0.338026580579223 | 0.264 | 0.3425 | 998615.6737 | 998882.9843000001
2001-07-01 00:00:00 | 282992.2291013665 | 299496.4829935515 | 67011.91749272779 | 0.290762106781 | 0.303251811138703 | 0.2510975905897945 | 0.3375 | 3140967.2803 | 3141859.5333
2001-08-01 00:00:00 | 191604.0978489495 | 203216.6862636836 | 78624.5059074619 | 0.2586096916257 | 0.270305256158383 | 0.325 | 0.3375 | 2384415.8761 | 2385150.2634
2001-09-01 00:00:00 | 188501.07970181 | 199120.5307067904 | 89243.95691244236 | 0.224784104944314 | 0.233993033498921 | 0.3275 | 0.34 | 2702540.3394 | 2703443.908
2001-10-01 00:00:00 | 64264.43119265304 | 67743.99835240819 | 92723.5240721975 | 0.191852986667267 | 0.199309252374775 | 0.3325 | 0.345 | 1073552.537 | 1073937.3477
2001-11-01 00:00:00 | -128835.8017026598 | -127388.7083716633 | 94170.61740319392 | 0.142282037103043 | 0.13869450019219 | 0.335 | 0.345 | -2824160.8135 | -2825230.7178
2001-12-01 00:00:00 | -48722.21448221569 | -36525.62818302792 | 106367.2037023817 | 0.0745264731855698 | 0.055097982460639 | 0.3375 | 0.3475 | -1988301.7592 | -1989096.5255
2002-01-01 00:00:00 | -275675.5632554763 | -285322.8473331888 | 96719.91962466919 | 0.272 | 0.28 | 0.34 | 0.35 | -3071989.7148 | -3047310.4774
2002-02-01 00:00:00 | -431661.2023056688 | -441003.3838056566 | 87377.7381246814 | 0.268 | 0.276 | 0.2114828598255663 | 0.345 | -5062971.3458 | -4952933.1639
2002-03-01 00:00:00 | 381211.430746941 | 415459.2966120559 | 121625.6039897963 | 0.25 | 0.258 | 0.25 | 0.3225 | 5024268.1262 | 5228747.2517
2002-04-01 00:00:00 | 66052.64869006789 | 68968.24042626502 | 124541.1957259934 | 0.216 | 0.222 | 0.216 | 0.2775 | 1054231.0309 | 1054739.9026
2002-05-01 00:00:00 | 29358.53816914189 | 29587.63349667209 | 124770.2910535236 | 0.151711412687793 | 0.150675704107262 | 0.09327379053088897 | 0.2725 | 680258.4122 | 680600.4014
2002-06-01 00:00:00 | 190234.6949578281 | 191463.64586451 | 125999.2419602055 | 0.167766196164014 | 0.166624680784616 | 0.1930187814695756 | 0.27 | 4022565.961600001 | 4024674.2269
2002-07-01 00:00:00 | 140732.706515449 | 139687.9925514332 | 124954.5279961897 | 0.16037584281588 | 0.158206395884079 | 0.1869324744393019 | 0.2675 | 3122497.5955 | 3101916.1529
2002-08-01 00:00:00 | -126918.7179022807 | -130231.0454073659 | 121642.2004911046 | 0.149969631629069 | 0.14639813654402 | 0.26 | 0.2675 | -3011399.5143 | -3129904.7351
2002-09-01 00:00:00 | -343748.5163467136 | -339008.5332314075 | 126382.1836064107 | 0.13110175907621 | 0.12524797321522 | 0.26 | 0.2675 | -9344238.6864 | -9552329.7651
2002-10-01 00:00:00 | -120616.5121334216 | -108007.4893255143 | 138991.206414318 | 0.0972725657870426 | 0.0862607944406628 | 0.26 | 0.2675 | -4392095.3576 | -4394825.4775
2002-11-01 00:00:00 | -152008.8677987573 | -138475.5439854799 | 152524.5302275954 | 0.127814881119596 | 0.115409040266967 | 0.27 | 0.275 | -4067440.1101 | -4070070.0563
2002-12-01 00:00:00 | 191300.9464371315 | 168069.9659176916 | 129293.5497081555 | 0.118180048961754 | 0.102966695639701 | 0.2725 | 0.2775 | 5359432.3687 | 5363030.784700001
2003-01-01 00:00:00 | 274989.967087268 | 253714.8993296158 | 108018.4819505033 | 0.136660763877426 | 0.12276773928121 | 0.28 | 0.285 | 6624461.139500001 | 6753848.5577
2003-02-01 00:00:00 | -48047.47570162361 | -25395.4227312813 | 130670.5349208456 | 0.0801535341772021 | 0.0487859456519063 | 0.216 | 0.275 | -2047117.6384 | -1764205.2722
2003-03-01 00:00:00 | 70969.3710569965 | 74107.92432618496 | 133809.088190034 | 0.134541649608781 | 0.119590983876952 | 0.21 | 0.2675 | 1884485.8521 | 2196273.7521
2003-04-01 00:00:00 | 76186.02897526257 | 59488.69747266038 | 117111.7566874318 | 0.117887248778896 | 0.0912137524178068 | 0.1828 | 0.23 | 2420448.9188 | 2422348.3803
2003-05-01 00:00:00 | -238132.7099680282 | -192679.1198382193 | 162565.3468172408 | 0.126622010573374 | 0.101512044632543 | 0.1891989693418016 | 0.229 | -7100870.017000001 | -7106643.2217
2003-06-01 00:00:00 | -241798.859338797 | -196324.5410527466 | 208039.6651032912 | 0.130871486162612 | 0.105767138900666 | 0.2275 | 0.229 | -6803604.5041 | -6809339.3951
2003-07-01 00:00:00 | -184000.7316945135 | -154769.9620450828 | 237270.4347527219 | 0.135877412519067 | 0.111018738391194 | 0.2275 | 0.229 | -5002427.9493 | -5130326.6356
2003-08-01 00:00:00 | -142517.3819799169 | -121201.1877901518 | 258586.628942487 | 0.130832097251526 | 0.103448892152942 | 0.2275 | 0.229 | -4024038.1818 | -4318411.592900001
2003-09-01 00:00:00 | -344028.6020786847 | -269317.750676739 | 333297.4803444328 | 0.125584251041239 | 0.0952795166936201 | 0.2275 | 0.229 | -10135821.0128 | -10451736.7471
2003-10-01 00:00:00 | -163876.3098141898 | -118153.3477590957 | 379020.4423995268 | 0.12028789665711 | 0.0866433486368896 | 0.2275 | 0.229 | -5008830.9275 | -5013637.5002
2003-11-01 00:00:00 | -10025.57819675491 | -5176.185764075118 | 383869.8348322066 | 0.0756171865656847 | 0.0390262468757303 | 0.231 | 0.2325 | -470047.43 | -470512.2903
2003-12-01 00:00:00 | 229287.8832473217 | 64983.68966920349 | 219565.6412540884 | 0.0691502483677033 | 0.0195956557947767 | 0.2335 | 0.235 | 11366977.5394 | 11378547.3263
2004-01-01 00:00:00 | 141246.30744038 | 965823.5796734713 | 1044142.91348718 | 0.0286040997157385 | 0.192 | 0.2385 | 0.24 | 16504343.804 | 16688205.6766
2004-02-01 00:00:00 | 17142.23061821589 | 6281.213484613226 | 1033281.896353577 | 0.0712639460035719 | 0.0199124797379686 | 0.1868 | 0.235 | 833476.0479000001 | 1084574.0915
2004-03-01 00:00:00 | 38970.71711869612 | 22177.08028242126 | 1016488.259517302 | 0.078384360197027 | 0.0383129103352984 | 0.1828 | 0.23 | 1801667.6131 | 2080736.4893
2004-04-01 00:00:00 | -308525.0271041356 | -315068.9010426076 | 1009944.38557883 | 0.147766333595519 | 0.149454966077564 | 0.1684 | 0.212 | -7929843.8315 | -7939062.6562
2004-05-01 00:00:00 | -263754.6241517601 | -269309.0504743867 | 1004389.959256204 | 0.150071799755874 | 0.151744986683602 | 0.2105 | 0.212 | -6727775.7344 | -6736006.1846
2004-06-01 00:00:00 | -149725.2565840934 | -152207.1152008066 | 1001908.10063949 | 0.147955645214434 | 0.149638060600663 | 0.2105 | 0.212 | -3775496.9831 | -3780359.6609
2004-07-01 00:00:00 | -226695.783237119 | -237419.4888493841 | 991184.3950272254 | 0.139862534971037 | 0.141587081470536 | 0.1526769465243517 | 0.211 | -6066658.4336 | -6252079.5739
2004-08-01 00:00:00 | -184644.9080101806 | -197206.5626181562 | 978622.7404192497 | 0.137460113439809 | 0.139197995557454 | 0.2095 | 0.211 | -5027685.8683 | -5290754.1425
2004-09-01 00:00:00 | -53500.42233256995 | -64274.09801055046 | 967849.0647412692 | 0.135014950598983 | 0.136767182814745 | 0.2095 | 0.211 | -1486014.8352 | -1761252.4313
2004-10-01 00:00:00 | 46.00415552288089 | 46.6899446021485 | 967849.7505303485 | 0.132605741907676 | 0.134372921257272 | 0.2095 | 0.211 | 1293.0852 | 1295.1021
2004-11-01 00:00:00 | 29848.95194376266 | 30352.59652916377 | 968353.3951157496 | 0.119201418372754 | 0.121090079597996 | 0.211 | 0.2125 | 900966.8848000001 | 902438.3211000001
2004-12-01 00:00:00 | 79560.55165047295 | 90604.29672662268 | 979397.1401918993 | 0.10637407894845 | 0.121042263314086 | 0.212 | 0.215 | 2603183.9065 | 2607624.9617
2005-01-01 00:00:00 | 378352.7510346828 | 439344.9982658622 | 1040389.387423079 | 0.108977575775284 | 0.123876370592849 | 0.217 | 0.22 | 11597366.601 | 11759323.1859
2005-02-01 00:00:00 | 128283.1465749805 | 160427.5756091773 | 1072533.816457275 | 0.0984525245494693 | 0.114571546835426 | 0.1696 | 0.215 | 4506734.2865 | 4805878.432800001
2005-03-01 00:00:00 | 216481.7931609735 | 255663.4799852821 | 1111715.503281584 | 0.111881410430866 | 0.126430174567212 | 0.1676 | 0.2125 | 6992165.1377 | 7248833.7169
2005-04-01 00:00:00 | 55184.76113331965 | 60032.17348440329 | 1116562.915632668 | 0.146450704689699 | 0.157659421382564 | 0.1592 | 0.202 | 1425532.4076 | 1428407.572
2005-05-01 00:00:00 | -240171.2214681033 | -251762.5002375106 | 1104971.636863261 | 0.138205512547908 | 0.143349520164899 | 0.1256224502228768 | 0.2 | -6623840.225900001 | -6637738.61
2005-06-01 00:00:00 | -152519.1682738965 | -159149.4754015915 | 1098341.329735565 | 0.138205512547908 | 0.143349520164899 | 0.1647460166438027 | 0.199 | -4098845.3063 | -4107792.8041
2005-07-01 00:00:00 | -110586.5396573936 | -121108.5185761563 | 1087819.350816803 | 0.138205512547908 | 0.143349520164899 | 0.1636360290400613 | 0.199 | -2981466.9679 | -3135908.0552
2005-08-01 00:00:00 | -87186.01019567606 | -102285.1973907215 | 1072720.163621757 | 0.138205512547908 | 0.143349520164899 | 0.197 | 0.199 | -2350577.2969 | -2652746.3911
2005-09-01 00:00:00 | -267441.1312863211 | -287372.882991999 | 1052788.411916079 | 0.138205512547908 | 0.143349520164899 | 0.197 | 0.199 | -7226567.002300001 | -7481688.643300001
2005-10-01 00:00:00 | -165466.9903866804 | -172036.2162009985 | 1046219.186101761 | 0.138205512547908 | 0.143349520164899 | 0.161307935328677 | 0.199 | -4445387.7533 | -4456021.579200001
2005-11-01 00:00:00 | 32601.45798774007 | 33876.67152693847 | 1047494.39964096 | 0.138205512547908 | 0.143349520164899 | 0.1601866099272955 | 0.2 | 846900.4312000001 | 848972.6198000001
2005-12-01 00:00:00 | 446269.0790270268 | 463620.0002716829 | 1064845.320885616 | 0.138205512547908 | 0.143349520164899 | 0.197 | 0.202 | 11225202.78 | 11253269.2549
2006-01-01 00:00:00 | 506174.4120153644 | 530271.9407597202 | 1088942.849629971 | 0.138205512547908 | 0.143349520164899 | 0.197 | 0.205 | 12174660.2661 | 12205781.4231
2006-02-01 00:00:00 | 251758.5656592039 | 263825.2176319358 | 1101009.501602703 | 0.138205512547908 | 0.143349520164899 | 0.1276 | 0.1595 | 6261399.2867 | 6277758.834500001
2006-03-01 00:00:00 | 257262.3914597586 | 269696.3060331359 | 1113443.416176081 | 0.138205512547908 | 0.143349520164899 | 0.05639370532249337 | 0.1585 | 6676812.778200001 | 6694602.2463
2006-04-01 00:00:00 | -87350.89921621508 | -91611.17478955588 | 1109183.14060274 | 0.138205512547908 | 0.143349520164899 | 0.05182904591057028 | 0.1575 | -2370226.2893 | -2376678.2603
2006-05-01 00:00:00 | -293264.8009437989 | -307603.5297321713 | 1094844.411814367 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | -8014518.818100001 | -8036787.5425
2006-06-01 00:00:00 | -205334.4466292779 | -214393.1538122231 | 1085785.704631422 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | -5467528.7371 | -5483042.8541
2006-07-01 00:00:00 | -292123.3050940384 | -305032.0655695734 | 1072876.944155887 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | -7803210.215700001 | -7825801.6491
2006-08-01 00:00:00 | -290210.1450573169 | -302572.8829604332 | 1060514.206252771 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | -7752105.803000001 | -7775015.8091
2006-09-01 00:00:00 | -282166.9817281969 | -293738.9978769497 | 1048942.190104018 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | -7556465.799099999 | -7579257.0947
2006-10-01 00:00:00 | 70471.20926893096 | 73318.9529898637 | 1051789.933824951 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | 1877061.8088 | 1882834.8423
2006-11-01 00:00:00 | 30383.76940922726 | 31594.1267037758 | 1053000.291119499 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | 783960.923 | 786420.6807000001
2006-12-01 00:00:00 | 632372.5084195684 | 657419.8229768579 | 1078047.605676789 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | 15816424.5123 | 15867009.0607
2007-01-01 00:00:00 | 666923.5967965173 | 699118.5922352605 | 1110242.601115532 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | 15895510.0561 | 15947353.1177
2007-02-01 00:00:00 | 54019.80434902943 | 56644.62234179462 | 1112867.419108297 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | 1329348.9259 | 1333769.5127
2007-03-01 00:00:00 | 47226.77434603732 | 49540.14312278982 | 1115180.78788505 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | 1211108.8524 | 1215206.7823
2007-04-01 00:00:00 | -107923.8283413694 | -113256.8958752514 | 1109847.720351168 | 0.138205512547908 | 0.143349520164899 | 0.1575 | 0.1575 | -2889292.6882 | -2899256.9727