Message-ID: <29625634.1075857633360.JavaMail.evans@thyme> Date: Wed, 2 May 2001 07:35:00 -0700 (PDT) From: john.arnold@enron.com To: jeffrey.shankman@enron.com Subject: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: John Arnold X-To: Jeffrey A Shankman X-cc: X-bcc: X-Folder: \John_Arnold_Jun2001\Notes Folders\Sent X-Origin: Arnold-J X-FileName: Jarnold.nsf Jeff: To explain the P&L of -349,000 : We executed the trade when you gave the order (the delta anyway), first thing in the morning. The market rallied 8 cents from the morning, with the back rallying about 2.5 cents. On 904 PV contracts, curve shift was -226,000. The balance, $123,000, is almost exactly $.01 bid/mid, which I think is pretty fair considering the tenor of the deal and that it included price and vol. Cal 3 straddles, for instance, are $1.39 / $1.45. Looking out for you bubbeh: John