Spreadsheet: harry_arora__12173__1203optsheet
Sheet: sheet 1

Close of Business: |  | 2001-12-03 00:00:00 | 02:15:00
 |  | Month | Underlying | Option | Bid | Offer
Cinergy Options
 | Cin | Dec | 22.35 | 25 dc | 0.75 | 0.85
 | Cin | Jan-Dec | 30 | 29 1 x P | 0.35 | 0.45
 |  |  |  | 30 1 x P | 0.5 | 0.85
 |  |  |  | 31 1 x P | 0.3 | 0.55
 |  |  |  | 29 / 31 1 x Srangle | 0.5 | 0.9
 | Cin | Jan-Feb02 | 26 | [NAME] | 3.75 | 4
 | Cin | Jan-Feb02 |  | ATM Daily Straddle | 8 | 10
 | Cin |  |  | 25 dp | 3.25 | 4
 | Cin |  |  | 30 dp | 6.5 | 8.5
 | Cin |  |  | 30 dc | 1.75 | 2.75
 | Cin |  |  | 35 dc | 1 | 2
 |  |  |  | 40 dc | 0.7 | 1
 | Cin |  |  | 26.25 mc | 1.6 | 2.05
 | Cin |  |  | 30 mc | 0.7 | 0.8
 | Cin |  |  | 35 mc | 0.1 | 0.4
 | Cin |  |  | 40 mc | 0.05 | 0.15
 | Cin | MarApr | 25.25 | [NAME] | 3.85 | 4.2
 | Cin |  |  | 20 dp | 0.5 | 1.5
 | Cin |  |  | 25 dp | 3.25 | 4.25
 | Cin |  |  | 30 dp | 6.5 | 7.75
 | Cin | May | 27.25 | ATM Straddle | 4.5 | 5
 | Cin |  |  | 20 dp | 0.5 | 1.5
 | Cin |  |  | 25 dp | 2.75 | 4
 | Cin |  |  | 35 dc | 2.5 | 3.5
 | Cin |  |  | 25 mp | 1.2 | 1.35
 | Cin | June | 36 | [NAME] | 7 | 7.75
 | Cin | June |  | 30 mp | 0.75 | 1.5
 | Cin | Summer | 46 | [NAME] | 10.25 | 11.75
 | Cin |  |  | 50 dp | 14.5 | 16
 | Cin |  |  | 100 dc | 5 | 10
 | Cin |  |  | 40 mp | 2.5 | 3.1
 | Cin |  |  | 60 mc | 2.25 | 2.7
 | Cin |  |  | 70 mc | 1.55 | 1.75
 | Cin |  |  | 100 mc | 0.5 | 1.25
 | Cin | Sep | 25.25 | ATM Straddle | 5 | 6.5
 | Cin | Sep | 25.25 | 20 dp | 0.5 | 1.25
 | Cin | Sep | 25.25 | 25 dp | 3 | 4
 | Cin | Sep | 25.25 | 50 dc | 1.5 | 3
 | Cin | 4Q | 25.5 | ATM Straddle | 5 | 6.5
 | Cin | 4Q | 25.5 | 20 dp | 0.5 | 1.25
 | Cin | 4Q | 25.5 | 25 dp | 3 | 4.5
 | Cin | 4Q | 25.5 | 27.50 mc | 1.25 | 2.25
 | Cin | Cal 03 | 31 | 31 1xCall | 2.5 | 3
 | Cin | JanFeb | 28 | ATM Straddle | 5 | 8
 | Cin | Summer 03 | 45.75 | ATM Straddle | 13 | 17
 | Cin | Summer 03 | 45.75 | ATM Daily Straddle | 20 | 29
 | Cin | Summer 03 | 45.75 | 100 dc | 5 | 9
Entergy Options
 | ENT | June | 32.05 | 45 mp | 12 | 13.75
PJM Options
 | PJM | Dec | 25.25 | 25 dp | 1.6 | 1.8
 | PJM | Dec |  | 27 dc | 0.6 | 1.1
 | PJM | Cal03 | 34.5 | ATM 1 x Straddle | 5.65 | 6.25
 | PJM | Cal03 |  | 30 1 x P | 0.8 | 1.2
 | PJM | Cal03 |  | 32 1 x P | 1.6 | 2.25
 |  |  |  | 40 1 x C | 1.25 | 1.5
 |  | JanFeb | 29 | 25 dp | 1 | 1.75
 |  | JanFeb |  | 30 dp | 3.5 | 4.25
 |  |  |  | 35 dc | 1.85 | 2.75
 |  |  |  | 40 dc | 1 | 2
 |  |  |  | 50 dc | 0.6 | 1.2
 |  |  |  | 27 mp | 0.5 | 0.95
 |  |  |  | 29 mp | 1.9 | 2
 |  |  |  | 35 mc | 0.35 | 0.6
 |  |  |  | 40 mc | 0.1 | 0.35
 |  | March-April | 27.45 | [NAME] | 4 | 4.25
 |  | March-April |  | 35 dc | 2 | 3
 |  | March-April |  | 25 mp | 0.8 | 0.95
 |  | May | 30.25 | [NAME] | 5 | 6
 |  | June | 40.5 | 35 mp | 1.5 | 1.75
 |  | Summer | 52.4 | [NAME] | 13.5 | 14.5
 |  | Summer |  | 45 mp | 2.4 | 3.4
 |  |  |  | 50 mp | 5.25 | 6
 |  |  |  | 70 mc | 4.25 | 5.3
 |  |  |  | 60 mc | 4.5 | 5.5
 |  |  |  | 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
 |  |  |  | 70 mc | 2.75 | 3.75
Cinergy ATM Volatilities (Indications):
 |  | Daliy Volatility (%) |  | Monthly Volatility (%)
 | Cal 02 Bullets |  |  | 23 - 27
 | FG | 90 - 105 |  | 50 - 60
 | HJ | 60 - 75 |  | 40 - 43
 | K | 65 - 75 |  | 34 - 38
 | M | 65 - 85 |  | 39 - 43
 | Summer 02 | 90 - 110 |  | 40 - 45
PJM ATM Volatilities (Indications):
 |  | Daliy Volatility (%) |  | Monthly Volatility (%)
 | Cal 02 Bullets |  |  | 22 - 26
 | FG | 75 - 85 |  | 45 - 55
 | HJ | 55 - 70 |  | 40 - 50
 | K | 60 - 80 |  | 30 - 40
 | M | 60 - 80 |  | 35 - 45
 | Summer 02 | 80 - 110 |  | 37 - 47