Date March April Spread Winter Summer Spread

31-Aug-06 $2.447 $2.477

08-Sep-06 2.298 2.312
11-Sep-06 2.222 2.185
12-Sep-06 2.176 2.106
13-Sep-06 2.117 2.050
14-Sep-06 1.982 1.859
15-Sep-06 1.601 1.398
18-Sep-06 1.209 1.088
19-Sep-06 1.152 1.096

Spread decline Sept 14 from Sept 13 -0.135 -0.191

Spread decline Sept 1-15 -0.846 -1.079
Spread decline on Sept 19 from Sept 15 -0.449 -0.302

Contract size 10000 10000

Loss per contract Sept 14 -1350 -1910
Loss per contract Sept 1-15 -8460 -10790
Loss per contract Sept 18-19 from Sept 15 -4490 -3020
Sept 14 Loss ($ bill) 560,000,000 560,000,000
Implied no. of contracts -414814.814814815 -293193.717277487
Weighted avg OI 129,256 389,226
Number of contract on and above OI -3.21 -0.75
Implied loss Sept 1-15 ($ bill) 3.509 3.164
Implied Loss Sept 18-19 ($ bill) 1.8625 0.8854
Loss mentioned by the fund Sept 1-15 ($ bill) 2.8 2.8
Loss mentioned by the fund Sept 18-19 ($ bill) 1.11 1.11

Weight March-April spread Weight Winter-Summer spread

20% 30%
0.112 0.168
-82962.963 -87958.115
Implied loss Sept 1-15 0.702 0.949

Implied loss Sept 15-19 0.373 0.266

Implied loss Sept 14 0.112 0.168

Implied loss Sept 1-15 0.702 0.949
Implied loss Sept 15-19 0.373 0.266
Cost to sell contracts
Total

Total implied no of contracts -82963 -87958

Long Winter contracts
$10.655
10.316
10.310
9.858
9.650
9.139
8.971
8.793
8.758

-0.511 1 bill 1,000,000,000

-1.684
-0.213

10000
-5110
-16840
-2130
560,000,000
-109589.04109589
484,364
-0.23
1.845
0.2334
2.8
1.11

Weights Long winter spread Total

50% 100%
0.280 0.560
-54794.521
0.923 2.574

0.117 0.755

0.28 0.560
0.923 2.574
0.117 0.755
2.400
6.289

-54795