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Hi I've attached a couple of files summarizing our progress and current status on modeling the bid-ask spread.
The first summarizes characterization of the EOL Crude data and the second describes a bid-ask spread model based on options theory developed by Zimin (The figure from the paper is included separately).
I am ... | EOL Pricing Algorithm Update |
Andy: It was a pleasure speaking with you earlier this morning.
Like I said, I just wanted to introduce myself and see who you might know that would have an interest in ice fishing.
Please feel free to contact me personally or you may also pass my information along to anyone that may have an interest.
My client holds... | Previous conversation.... |
Andy: Would you please look into this structure.
The intention is to price the structure at the money.
The time when they started - the basis diff was 25 cents.
I propose to price it as shown below and one at NGI SoCal border minus IFERC San Juan minus market price.
I have included the LAX (Los Angeles Airport) wea... | Dual Structure |
Remember, the General Meeting will be this Saturday at the Doubletree Hotel in San Antonio, 37 Northeast Loop 410 (at McCullough) about 2 miles southwest of SAT.
Continental breakfast will be available 9:00 am, the meeting will start at 10:00 am and last until approximately 1:00 pm.
There will be door prize drawings as... | Saturday San Antonio Meeting |
Andy, UBS has given us a list of open due diligence items made by UBS' Market Risk Group.
We would like to have due diligence completed by this evening so that we might sign soon thereafter.
Below are the items for which you were identified as NetCo contact.
Please let me know the status of this information and send it... | Open due diligence items |
Hi Andy.
Here's my suggestion (actually it was yours): Product 1 Fin Power Swap Web Visible Offered Qty: 50 Qty Increment: 5 Min Qty: 5 (or whatever you want to use as a minimum) Product 2 Fin Power Swap Ghost Product - not web visible Offered Qty: 200 Qty Increment: 1 Min Qty: 1 Base Link to Product 1 wi... | solution for hedging options that doesn't decrement swap volume |
Jay, It was good to meet you today.
As per our conversation in the hallway, Andy Zipper and I would like to get the "Vega Limit" for power options decimalized.
Currently we can only take this value down to 1.
We would like to have the ability to set this at .1 (point one).
Thanks.
Rob Stalford 853-6768
| online power option change request |
Hi Andy, I'm not sure if Andy Lewis explained to you what we were working on with Enron.
Basically, our team is responsible for creating a performance simulation to replace Enron's Basic Risk Management course.
Along with the simulation, a Knowledge System (series of html pages) will be delivered to each learner.
This... | Confirmation: Risk Management Simulation Meeting 11/15/01 |
Just a reminder that I will be out of the office on Wednesday 11/21/01.
If you need assistance, Becky can help you and she can reach me if needed.
Ina
| Reminder |
BROADCAST MESSAGE TO ALL PILOTS: Have a safe and wonderful Thanksgiving.
Thank you for all you do for me and Angel Flight.
God Bless you and your families at this special time of year.
| pending missions and Thanksgiving wishes |
ONE LAST REMINDER ....
PLEASE RSVP BY FRIDAY, NOV 30 Angel Flight South Central would like to invite you to a fly-in BBQ at Giddins-Lee County airport (62H), Saturday December 15th.
12:00 noon to 3:00 pm Come on out and meet some of your fellow pilot and volunteers helping to make organization a successful one.City m... | GIDDINGS BBQ FLY IN DEC 15 |
One of our Arkansas pilots died this week He had signed up in August of 2001 but had not flown a mission for us yet.
Details on the memorial forthcoming.
Below is correspondence regarding the crash.
Be careful out there.
Beth, According to news reports this morning Dr. Jim Arnold and his wife were killed yesterday i... | Angel Flight South Central pilot death |
BROADCAST MESSAGE TO ALL PILOTS: PLEASE REMEMBER TO CONTACT YOUR PATIENT AS SOON AS YOU RECEIVE THE PAPERWORK, AND AT LEAST 24 HOURS BEFORE THE FLIGHT TO CONFIRM TIME AND PLACE.
WE HAVE HAD PATIENTS CALLING IN BECAUSE THEY HAVEN'T HEARD FROM THEIR PILOT YET.
ALSO, SOME ARE WORRIED WHEN THEY DON'T HEAR FROM THEIR PILOT... | pending missions SAT THUR |
Joe Gold has kept you informed of our discussions with NYMEX.
Please see First Draft attached of our understanding of this meeting.
Joe Robertson of our New York office 001 212 715 5254 is fully aware of our ideas and has (as far as metals are concerned) good contacts at NYMEX.
We would suggest that you engage him as t... | NYMEX Aluminium Market Maker |
Ladies and gentlemen, A gentle reminder that the pledges you made to Jeff Skilling for the MS150 are now overdue.
Kindly send your check, made payable to "NMSS," to me at EB5008a no later than Friday, June 1.
Community Relations is handling the matching gift for this event, so there is no need to complete a matching g... | MS150 pledges |
I just wanted to let everyone know our time line with respect to NGX: May 31st - Press release to the industry that Enron's information will be included in the NGX Index starting July 1st, 2001 (Rob Milnthorp).
June 15th - Enron systems are in place to transfer data to NGX (Andy Zipper & Jay Web).
June 30th - NGX is t... | NGX |
The EnronOnline Audit is scheduled to begin the week of June 4, 2001 and is expected to take approximately two months to complete.
The audit will be executed by Arthur Andersen and led by Jennifer Stevenson and Russ Bouwhuis.
We will schedule an opening meeting with you the week of June 4, 2001 to discuss audit scope ... | Enron OnLine Audit Notification |
Andy, Just finished meeting with Nelson from gas fundies and Martin Lim from power fundies to discuss getting the Exotica libraries migrated ASAP.
The best I can get from them is "hopefully tomorrow" as far as a date for migration.
They are dealing with the validation of calculation routines between the UBS libraries ... | Exotica add-in |
According to the International Coal desk, the three brokers that have expressed interest are: - TFS - GFI - NatSource Apparently the desk is not as enthusiastic about NatSource from their perspective, though they would be happy to see the other two getting access.
Let me know if I can further assist.
Thanks,
| Int'l Coal & Broker Client |
Offline Contact Status - 6/6/01 1.
Commerce One C1 is working on a valuation analysis, including customer discussions.
A meeting in Austin with Mark Hoffman and Matt Graves is being arranged for Thursday or Friday, 6/21 or 6/22.
C1's current position is that the value of an Enron company owning the Offline IPR is $50... | Latest Offline Contact Status |
Savita In our testing we have found the inability to manage our wing-strikes risk.
The way it works for power markets is that most traders would be unwillling to trade more than 250MW of a wing strike without widening out the bid offer.
Similarly the risk at some point can get high enough to suspend wing strikes.
In t... | Option Manager - extra features |
Andy, Mark Tawney told me that you are setting up a cross-commodity desk.
I think it very interesting.
Could you give me more details?
Depending on exactly you have in mind, we may be able to help you using weather products.
Thanks,
| Cross-commodity desk |
Greg Whalley has requested a Trader's Meeting tomorrow morning @ 7:45 a.m. (CST).
The meeting will be held in his office, ECS 06752.
The dial-in number for Portland and Calgary is listed below.
| Trader Meeting - 2/7 @ 7:45 a.m. (CST) - ECS 06752 |
I attach an updated list (to Feb 5) of the terminated contracts to date.
F= or informational purposes, I have added a column that sets out the settleme= nt dates for contracts we have settled, so there may be some additional cou= nterparties added to my previous list where there was no ECC agreed termina= tion date but... | Terminated Counterparty Contracts |
Further to prior e-mails, I have now confirmed with Blakes that the following c/ps originally had the wrong termination dates set.
They have now been corrected to the appropriate dates, all of which were Feb 1, 2002 (John, these are the same ones I identified to you last week).
AEC Marketing, physical, gas - February ... | Termination Dates |
I have updated the list to reflect all changes received.
If you notice any more errors or if any counterparties have been reassigned, please let me know so that I can continue to make changes.
Also, please see Louise's additions at the bottom of the list (from Adams Resources Marketing downward) and let me know if you ... | Updated List |
The name for the Canadian entity which will enter into both Master Agreements and individual commodity transactions is: "UBS Warburg Energy (Canada) Ltd.", as confirmed by Lou Eber: UBS Chief Legal Counsel.
I am working on chasing down the parental guarantee issue.
Dave
| Canadian legal entity |
John, Attached is a spreadsheet that outlines the transactions with the Power Pool today, specifically the $6.95 M that will be withheld as a security deposit for Enron Canada Power Corp.
If you have any questions or concerns, please give me a call.
<<Enron Security Jan 29 2002.xls>>
| Power Pool |
Hi John, As per our conversation last week, I just wanted to double check on a potential raise before the deal closes on Friday.
I know that more than a few non-promotional raises have been offered and accepted for the transfer to UBS, and I'd like to make absolutely sure that I'm not eligible for one.
As Cowan s... | UBS |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales/forward contract registration for contracts that are currently registered with the Power Pool between Chevron Canada Resources and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 4 the Power Poo... | Power Pool |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales/forward contract registration for contracts that are currently registered with the Power Pool between Suncor Energy and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 4 the Power Pool received ... | Power Pool |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales/forward contract registration for contracts that are currently registered with the Power Pool between Lethbridge Ironworks and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 7 the Power Pool re... | Power Pool |
This email is acknowledgement from the Power Pool of Alberta of the change in direct sales registration for contracts that are currently registered with the Power Pool between your organization and Enron Canada Power Corporation for trading after December 29 HE 1 2001.
On January 4 the Power Pool received your acknowle... | Power Pool of Alberta |
John, Further to the voice message that I left you, I have recalculated the amount of security that would be required if all of the modified direct sales contracts are acknowledged by noon January 4.
The calculations are still a bit rough but I thought this spreadsheet would provide you with something to review.
I hav... | Enron Security |
Make sure that all curves are downloaded by the end of simulation, 11:00 CST, tomorrow.
Ideally, the 2/7/02 curves should be marked in the morning prior to simulation.
We have been instructed to kick the calculation off as close to 11:00 CST as possible.
This is to ensure that ALL downstream systems are able to run thr... | Simulation Curves |
John: Do you need Accumap day one?
Carmen said that it had not been renewed so do you have access to it now?
If you do need an account how many and for who?
thanks,
| IHS Accumap |
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