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To: pater tenebrarum who wrote (110123)	6/25/2001 2:55:25 PM
From: Haim R. Branisteanu	Read Replies (2) \| Respond to of 436258

Heinz, as of today the September futures had a difficult time to go above 0.860. As I write the cash is at 0.860 and Sept. futures 0.8587. Time decay of the covered option I wrote ( July 0.875 ) is around $12.5 from a IV value of $175 (1 pt =$12.5, and the options contracts were written at $435 on June 18) cme.com I am not sure if a 0.5% drop in FED funds is already priced in, on the other hand Euroland is expecting lower rates due to the taming inflation in June. So will see who will give. What is your take short term? e.g. by mid July? Haim