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To: yard_man who wrote (244554)	6/9/2003 12:45:30 PM
From: Haim R. Branisteanu	Read Replies (1) \| Respond to of 436258

tippet you are correct, my option portfolio equity grew by around $5K since June 5 (even with the dynamic hedging which lost me around $1,300+) ........ but the implied volatility still fell by 1% more or less. As a result GAMMA grew substantially in value. My argument is the real world. For example to hedge "at the money" EUR's for one month cost you now $1,520 per 100,000.00 EUR's (buying 100,000 EUR's and buying a put to hedge for one month) that is a lot of money for a real business. Just try to annualize this amount.