Spreadsheet: errol_mclaughlin_jr__10266__NYMEXexemptemail
Sheet: Exch. Buy

Hedge Strip |  |  |  |  |  |  |  | Predictive Greeks
Ref | Net |  |  | Opt | OCT | EXG | EXG | Sigma |  | Actual Option Gamma |  |  |  |  |  |  | -0.15 | -0.15 | -0.1 | -0.05 | 0.05 | 0.1 | 0.15
Period | Qty | Futures | Swaps | Delta | Opt | Call | Put | Delta | Charm |  |  |  |  |  |  | ALL DEALS
2000-06-01 00:00:00 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2000-07-01 00:00:00 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2000-08-01 00:00:00 | 35687.03996456 | 30357 | 0 | 5330.03996456 | 0 | 5572.70673654 | -242.66677198 | -13.8282261043 | 88.2841289 | -456.73024139 | -297.55257751 | -145.35200831 | 138.57549149 | 270.80340774 | 396.69120572 | ALL DEALS
2000-09-01 00:00:00 | 25814.01288408 | 24539 | 0 | 1275.01288408 | 0 | 1306.24486694 | -31.23198286 | -3.2399697278 | 9.10147435 | -60.18734983 | -39.32329622 | -19.27560572 | 18.53408691 | 36.35600583 | 53.4732649 | ALL DEALS
2000-10-01 00:00:00 | 38742.31468149 | 37005 | 0 | 1737.31468149 | 0 | 1996.00606945 | -258.69138796 | -6.094425482 | 12.3096579 | -111.55497104 | -73.08839747 | -35.91315572 | 34.68118565 | 68.16120925 | 100.47140735 | ALL DEALS
2000-11-01 00:00:00 | 22166.81110354 | 21566 | 0 | 600.81110354 | 0 | 703.49638575 | -102.68528221 | -2.4514808347 | 3.76608732 | -40.8267209 | -26.78362267 | -13.17773329 | 12.75888402 | 25.1084325 | 37.05832196 | ALL DEALS
2000-12-01 00:00:00 | 29247.1124513 | 28127 | 0 | 1120.1124513 | 0 | 1195.45545634 | -75.34300504 | -1.8147932498 | 2.49977337 | -54.99800314 | -36.20730874 | -17.87694803 | 17.43074377 | 34.4227422 | 50.98367027 | ALL DEALS
2001-01-01 00:00:00 | 29357.75162621 | 28608 | 0 | 749.75162621 | 0 | 1266.97973605 | -517.22810984 | -1.3375417197 | 1.62049644 | -120.60873456 | -79.47947518 | -39.28248761 | 38.38572121 | 75.89240743 | 112.53771845 | ALL DEALS
2001-02-01 00:00:00 | 10417.09280781 | 10359 | 0 | 58.09280781 | 0 | 256.20562676 | -198.11281895 | 1.7891401347 | -1.33434645 | -39.97972487 | -26.40881451 | -13.08357093 | 12.84592726 | 25.45826283 | 37.84107093 | ALL DEALS
2001-03-01 00:00:00 | 11318.46993232 | 10278 | 0 | 1040.46993232 | 0 | 1109.49197017 | -69.02203785 | -1.9346416978 | 1.52137697 | -47.78230834 | -31.41165154 | -15.48727439 | 15.05959335 | 29.70112252 | 43.93435412 | ALL DEALS
2001-04-01 00:00:00 | 14031.27057017 | 14153 | 0 | -121.72942983 | 0 | 117.55816314 | -239.28759297 | -3.5724054046 | 1.50144889 | -44.52042204 | -29.07740996 | -14.24357682 | 13.67224408 | 26.79200412 | 39.37798729 | ALL DEALS
2001-05-01 00:00:00 | 12719 | 12719 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-06-01 00:00:00 | 10181.42110722 | 10063 | 0 | 118.42110722 | 0 | 156.5637439 | -38.14263668 | -1.3547752385 | 0.42865603 | -13.78331482 | -8.99482808 | -4.40230169 | 4.21805681 | 8.2580344 | 12.12623161 | ALL DEALS
2001-07-01 00:00:00 | 8973 | 8973 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-08-01 00:00:00 | 3745 | 3745 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-09-01 00:00:00 | 3915 | 3915 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-10-01 00:00:00 | 3695 | 3695 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-11-01 00:00:00 | 3093 | 3093 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-12-01 00:00:00 | 5018 | 5018 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-01-01 00:00:00 | 6915 | 6915 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-02-01 00:00:00 | 1594 | 1594 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-03-01 00:00:00 | 2712 | 2712 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-04-01 00:00:00 | 915 | 915 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-05-01 00:00:00 | 1041 | 1041 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-06-01 00:00:00 | 4400 | 4400 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-07-01 00:00:00 | 541 | 541 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-08-01 00:00:00 | 1010 | 1010 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-09-01 00:00:00 | 765 | 765 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-10-01 00:00:00 | 2005 | 2005 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-11-01 00:00:00 | 124 | 124 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-12-01 00:00:00 | 575 | 575 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-01-01 00:00:00 | 454 | 454 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-02-01 00:00:00 | 2479 | 2479 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-03-01 00:00:00 | 369 | 369 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-04-01 00:00:00 | 459 | 459 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-05-01 00:00:00 | 3429 | 3429 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-06-01 00:00:00 | 929 | 929 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-07-01 00:00:00 | 150 | 150 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS