Spreadsheet: john_griffith__15855__Vol Move
Sheet: Vega

Vega Position
$000's
As of: | 2001-10-26 00:00:00
 | Last 225 days | Volatility | Vega |  |  |  | PNL impact
Month | Relationship | Move | Position | $/1% Increase |  | -  1% increase in volatility across the board
2001-12-01 00:00:00 | 1 | 0.01 | -241.7012481551413
2002-01-01 00:00:00 | 0.9076763196977086 |  | 72.13421729388838 |  |  | -  1% increase in front month volatility, increase
2002-02-01 00:00:00 | 0.8196346693316173 |  | 731.5383140075596 |  |  | in rest of months based on last 225 day relationship
2002-03-01 00:00:00 | 0.7398567156209267 |  | 695.3975646636185 |  |  | to the front month volatility change
2002-04-01 00:00:00 | 0.5843881582728745 |  | 191.1388551668244
2002-05-01 00:00:00 | 0.5187142971037195 |  | -499.0257963438424
2002-06-01 00:00:00 | 0.4764511529683115 |  | -603.5645548737625
2002-07-01 00:00:00 | 0.4691506581106411 |  | -179.2401421227471
2002-08-01 00:00:00 | 0.4568441096362822 |  | -146.0342463247463
2002-09-01 00:00:00 | 0.4439118044598374 |  | -745.3958237629299
2002-10-01 00:00:00 | 0.4137512584662564 |  | -154.5779659562303
2002-11-01 00:00:00 | 0.3852992600311116 |  | -161.5337645938869
2002-12-01 00:00:00 | 0.3630204673429165 |  | -275.0938560837877
2003-01-01 00:00:00 | 0.3527154132682669 |  | -234.2152554748273
2003-02-01 00:00:00 | 0.3370714957161158 |  | -119.9666184764527
2003-03-01 00:00:00 | 0.300524523173393 |  | -317.8245490042798
2003-04-01 00:00:00 | 0.2525804352300096 |  | 537.0287693355366
2003-05-01 00:00:00 | 0.244662897911734 |  | 523.513963855863
2003-06-01 00:00:00 | 0.2335101520913252 |  | 598.6587059243253
2003-07-01 00:00:00 | 0.2335101520913252 |  | 515.5880086476262
2003-08-01 00:00:00 | 0.2320500531197911 |  | 570.2307871622888
2003-09-01 00:00:00 | 0.229947510600782 |  | 589.5084798713317
2003-10-01 00:00:00 | 0.2216207747516903 |  | 1169.363180349468
2003-11-01 00:00:00 | 0.1983435524810558 |  | 231.6398405526418
2003-12-01 00:00:00 | 0.1915000917776494 |  | 440.7468182237807
2004-01-01 00:00:00 | 0.177480360510024 |  | 139.461056666019
2004-02-01 00:00:00 | 0.1680940099787334 |  | 202.7872448993571
2004-03-01 00:00:00 | 0.153364160735111 |  | 252.6448952950557
2004-04-01 00:00:00 | 0.1286222042581119 |  | 105.0745515500812
2004-05-01 00:00:00 | 0.1159828459229397 |  | 108.0680471073457
2004-06-01 00:00:00 | 0.1125212525516965 |  | 109.2908489864265
2004-07-01 00:00:00 | 0.1126056138256074 |  | 113.5558563974582
2004-08-01 00:00:00 | 0.1126056138256074 |  | 116.2500186879361
2004-09-01 00:00:00 | 0.1111455148540732 |  | 116.3777862026178
2004-10-01 00:00:00 | 0.108433902478367 |  | 119.6600032724297
2004-11-01 00:00:00 | 0.1033434875877677 |  | 161.765980344393
2004-12-01 00:00:00 | 0.09474698107155476 |  | 166.5632802680346
2005-01-01 00:00:00 | 0.07964445894757874 |  | 19.87855318796627
2005-02-01 00:00:00 | 0.05895462475919936 |  | 13.33505579799158
2005-03-01 00:00:00 | 0.04501925476548483 |  | 11.65666934455877
2005-04-01 00:00:00 | 0.03467433767129501 |  | 4.121651610139795
2005-05-01 00:00:00 | 0.031669778454316 |  | 5.259007055753433
2005-06-01 00:00:00 | 0.03012531820887101 |  | 5.644488834397327
2005-07-01 00:00:00 | 0.03012531820887101 |  | 9.025811747230607
2005-08-01 00:00:00 | 0.03012531820887101 |  | 10.85976463537561
2005-09-01 00:00:00 | 0.03012531820887101 |  | -12.14006836933432
2005-10-01 00:00:00 | 0.03012531820887101 |  | -11.91968928560359
2005-11-01 00:00:00 | 0.02824804810261289 |  | -5.076795688838605
2005-12-01 00:00:00 | 0.02858085796342609 |  | 2.618079475273769
2006-01-01 00:00:00 | 0.03066671363704622 |  | 24.64789422158386
2006-02-01 00:00:00 | 0.01693992921069362 |  | 22.46086155948052
2006-03-01 00:00:00 | 0.0152712446717975 |  | 23.11795025284882
2006-04-01 00:00:00 | 0.01289244215690449 |  | 21.44294145402452
2006-05-01 00:00:00 | 0.01122375761800838 |  | 22.08493665011899
2006-06-01 00:00:00 | 0.01122375761800838 |  | 22.0283194083029
2006-07-01 00:00:00 | 0.01122375761800838 |  | 23.07554171671366
2006-08-01 00:00:00 | 0.01122375761800838 |  | 23.50454033770481
2006-09-01 00:00:00 | 0.01122375761800838 |  | 23.04082746169137
2006-10-01 00:00:00 | 0.01122375761800838 |  | 23.690001636158
2006-11-01 00:00:00 | 0.009262126237839426 |  | 24.37872131312729
2006-12-01 00:00:00 | 0.008174700146658795 |  | 26.15689057805501
2007-01-01 00:00:00 | 0.008174700146658795 |  | 26.67297998810004
2007-02-01 00:00:00 | 0.006550513862133246 |  | 24.37753034855753
2007-03-01 00:00:00 | 0.005884894140506906 |  | 25.24055490908119
2007-04-01 00:00:00 | 0.004216209601610794 |  | 23.58037012499305
2007-05-01 00:00:00 | 0.004216209601610794 |  | 24.26193769502617
2007-06-01 00:00:00 | 0.003719312427806175 |  | 24.07840848993567
2007-07-01 00:00:00 | 0.003719312427806175 |  | 25.07817924444705
2007-08-01 00:00:00 | 0.003719312427806175 |  | 25.43616716048983
2007-09-01 00:00:00 | 0.003719312427806175 |  | 24.88204746077924
2007-10-01 00:00:00 | 0.008228468870689884 |  | 25.52406478148081
2007-11-01 00:00:00 | 0.008228468870689884 |  | 26.03295679747247
2007-12-01 00:00:00 | 0.008228468870689884 |  | 27.68442860357247
2008-01-01 00:00:00 | 0.008228468870689884 |  | 29.57463269964168
2008-02-01 00:00:00 | 0.006142613197069741 |  | 27.82099103336754
2008-03-01 00:00:00 | 0.002884970158358151 |  | 28.21948837212144
2008-04-01 00:00:00 | 0.002884970158358151 |  | 26.54761117310289
2008-05-01 00:00:00 | 0.002884970158358151 |  | 27.21502959395423
2008-06-01 00:00:00 | 0.002884970158358151 |  | 26.93661627415547
2008-07-01 00:00:00 | 0.01077599393340464 |  | 27.88214809095363
2008-08-01 00:00:00 | 0.01077599393340464 |  | 28.1823466069241
2008-09-01 00:00:00 | 0.01077599393340464 |  | 27.54739395853027
2008-10-01 00:00:00 | 0.01077599393340464 |  | 28.17861474726358
2008-11-01 00:00:00 | 0.01077599393340464 |  | 28.55195629925472
2008-12-01 00:00:00 | 0.01190328304412556 |  | 30.10286358667787