RE: short crude vol strategy - follow-up analysis (Daniel Sabba, February 05, 2015)

lot day to day, which is what we are trying to capture in the realized vol numbers shown above. The straddles are also marked to market daily using settlement prices; if implied vol has increased, there is a further loss on the mtm. The last column in the table above shows where current implied vol is. From: Daniel Sabba Sent: Thursday, February 05, 2015 1:30 PM To: 'Jeffrey E.' Cc: Paul Morris; Vahe Stepanian; 'Richard Kahn' Subject: RE: short crude vol strategy - follow-up analysis Cl