01/22/2008

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

-0.6%	6.2%	10.4%	49.5%	99.2%

Did the market panic this morning? Or does it indicate further drops ahead?

Jan 2008 Result

Jan 2008 Return: -7.4%

SPX dropped approx 50 pts during Thursday and Friday. This is not a pretty
ending for January tradings.

01/17/2008

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

-2.0%	4.6%	2.4%	30.3%	77.6%

What a market!!

SPX dropped about 150 pts from mid-December.

RUT dropped more than 100 pts.

Treasure bond keeps making new highs...

:-O

01/14/2008

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

1.2%	1.0%	0.1%	3.6%	11.0%

01/07/2008

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

-0.8%	2.7%	0.0%	32.0%	88.5%

01/02/2008

G/L	10d,Theta	10d,65%VAR	10d,95%VAR	10d,99%VAR

-0.1%	2.8%	1.8%	25.5%	76.2%