Spreadsheet: errol_mclaughlin_jr__10266__NYMEXexemptemail
Sheet: Exch. Sells

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 | -49737.68174217 | -44451 | 0 | -5286.68174217 | 0 | -5747.65405494 | 460.97231277 | -1.0111889555 | 6.86593808 | 594.05510069 | 392.62329891 | 194.54055796 | -190.78209668 | -377.59690718 | -559.91797126 | ALL DEALS
2000-09-01 00:00:00 | -31779.00711742 | -30418 | 0 | -1361.00711742 | 0 | -1520.33853247 | 159.33141505 | 3.309474932 | -9.50341712 | 100.69501729 | 66.02490172 | 32.47028098 | -31.41648393 | -61.80907521 | -91.20702694 | ALL DEALS
2000-10-01 00:00:00 | -40533.49002455 | -37076 | 0 | -3457.49002455 | 0 | -3739.40293852 | 281.91291397 | 9.1026233128 | -18.26492615 | 182.94675833 | 119.9491357 | 58.98718401 | -57.07298322 | -112.29180965 | -165.71583717 | ALL DEALS
2000-11-01 00:00:00 | -21964.0383315 | -21880 | 0 | -84.0383315 | 0 | -494.99626893 | 410.95793743 | 5.8622870871 | -8.47233511 | 93.61330329 | 61.34655325 | 30.1545805 | -29.15371947 | -57.34221169 | -84.60017879 | ALL DEALS
2000-12-01 00:00:00 | -34353.8780289 | -33529 | 0 | -824.8780289 | 0 | -1263.16013923 | 438.28211033 | 2.9195244842 | -3.64586096 | 90.31828474 | 59.44336642 | 29.34102338 | -28.59146953 | -56.44559777 | -83.57498448 | ALL DEALS
2001-01-01 00:00:00 | -34006.68399834 | -33061 | 0 | -945.68399834 | 0 | -1426.0002261 | 480.31622776 | 1.3336018338 | -1.69949347 | 103.3906574 | 68.1352547 | 33.67622505 | -32.90723807 | -65.05951781 | -96.47102668 | ALL DEALS
2001-02-01 00:00:00 | -14580.70761788 | -14524 | 0 | -56.70761788 | 0 | -219.80956832 | 163.10195044 | -0.8850761778 | 0.64888977 | 29.87301448 | 19.71474729 | 9.75861574 | -9.56567321 | -18.94292288 | -28.13620644 | ALL DEALS
2001-03-01 00:00:00 | -17391.00954809 | -17274 | 0 | -117.00954809 | 0 | -472.65565277 | 355.64610468 | 0.7298984839 | -0.48318133 | 59.66270135 | 39.25475244 | 19.36956572 | -18.86155095 | -37.22310203 | -55.09302421 | ALL DEALS
2001-04-01 00:00:00 | -9891.43496485 | -9778 | 0 | -113.43496485 | 0 | -408.1465893 | 294.71162445 | -3.9373755952 | 1.64853757 | 58.62258475 | 38.78919412 | 19.24415955 | -18.93216242 | -37.54252874 | -55.8225963 | ALL DEALS
2001-05-01 00:00:00 | -14199 | -14199 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-06-01 00:00:00 | -10097.21055361 | -10038 | 0 | -59.21055361 | 0 | -78.28187195 | 19.07131834 | 0.6773876193 | -0.21432802 | 6.89165741 | 4.49741404 | 2.20115085 | -2.10902841 | -4.1290172 | -6.0631158 | ALL DEALS
2001-07-01 00:00:00 | -7704 | -7704 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-08-01 00:00:00 | -3689 | -3689 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-09-01 00:00:00 | -3674.66742008 | -3626 | 0 | -48.66742008 | 0 | -72.47583439 | 23.80841431 | 0.4406354629 | -0.10955875 | 7.10786452 | 4.65563445 | 2.28692637 | -2.20701491 | -4.33609729 | -6.3893154 | ALL DEALS
2001-10-01 00:00:00 | -3409 | -3409 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-11-01 00:00:00 | -4027 | -4027 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2001-12-01 00:00:00 | -7809.47980251 | -7747 | 0 | -62.47980251 | 0 | -79.49418277 | 17.01438026 | 0.6477011864 | -0.12670188 | 5.17936007 | 3.3914569 | 1.66573651 | -1.60793383 | -3.16022205 | -4.65899203 | ALL DEALS
2002-01-01 00:00:00 | -8553 | -8553 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-02-01 00:00:00 | -2481 | -2481 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-03-01 00:00:00 | -2833 | -2833 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-04-01 00:00:00 | -1213 | -1213 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-05-01 00:00:00 | -564 | -564 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-06-01 00:00:00 | -1582 | -1582 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-07-01 00:00:00 | -595 | -595 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-08-01 00:00:00 | -1253 | -1253 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-09-01 00:00:00 | -599.43885222 | -514 | 0 | -85.43885222 | 0 | -182.21844726 | 96.77959504 | -0.2443890463 | 0.00318879 | 27.1480124 | 17.83214611 | 8.78374412 | -8.52255338 | -16.7879847 | -24.8009037 | ALL DEALS
2002-10-01 00:00:00 | -243 | -243 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-11-01 00:00:00 | -215 | -215 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2002-12-01 00:00:00 | -2148.03443233 | -2091 | 0 | -57.03443233 | 0 | -130.07042871 | 73.03599638 | -0.5543077053 | 0.03322299 | 16.9597294 | 11.15914789 | 5.50663873 | -5.36314234 | -10.58532058 | -15.66921062 | ALL DEALS
2003-01-01 00:00:00 | -5919 | -5919 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-02-01 00:00:00 | -140 | -140 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-03-01 00:00:00 | -43.35957499 | -20 | 0 | -23.35957499 | 0 | -57.51426992 | 34.15469493 | -0.3597546742 | 0.02062965 | 8.38330328 | 5.51194266 | 2.71796471 | -2.64339466 | -5.21373211 | -7.71258932 | ALL DEALS
2003-04-01 00:00:00 | -1800 | -1800 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS
2003-05-01 00:00:00 | -375 | -375 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ALL DEALS