Message-ID: <19499188.1075857636135.JavaMail.evans@thyme> Date: Tue, 20 Mar 2001 13:34:00 -0800 (PST) From: john.arnold@enron.com To: slafontaine@globalp.com Subject: Re: SCS Daily Volatility Report as of 3/19/01 Mime-Version: 1.0 Content-Type: text/plain; charset=ANSI_X3.4-1968 Content-Transfer-Encoding: quoted-printable X-From: John Arnold X-To: slafontaine@globalp.com @ ENRON X-cc: X-bcc: X-Folder: \John_Arnold_Jun2001\Notes Folders\Sent X-Origin: Arnold-J X-FileName: Jarnold.nsf seeing no increase in physical demand from industrials. however, they cant= =20 buy enough paper. energy customer deal flow has a conspicuous habit of=20 buying high and selling low. seeing virtually no producer selling. strip= =20 will continue to be well supported through early spring. last year custome= rs=20 sold all the way up, transferring their price risk to marketers and specs. = =20 market for most part was very orderly move up during the summer. volatilit= y=20 was in the pukes because everybody was long. now, customers are all buying= . =20 move down should be orderly as is met with a lot of short covering from tra= de=20 and volatility should come from short covering moves like today's. =20 market waiting to see those first two injection numbers. if we are beating= =20 last year by 20 bcf, lights out. move down may also scare producers to do= =20 some term selling, putting pressure on whole curve. =20 slafontaine@globalp.com on 03/20/2001 03:21:41 PM To: John.Arnold@enron.com cc: =20 Subject: Re: SCS Daily Volatility Report as of 3/19/01 maybe yur rite but 47% for sep still over valued. ive ve been buying deep= =20 otm (jun and july 4.00 strikeputs as well. collpse in oil curve gives me a litt= le more confidence eventually we follow.but agree its a little early.i say we= =20 draw this week 30 ish, lhand next week a small draw then builds-and if im rite s= hud be substantial from there. i was long twice near 5 bucks but saw no rally s= o i sold for nothing-shit-no patience any indication industrial demand on the rise from the cxustomer side? certainly numbers /withdrawels suggest not.. the weather has been lousy for= =20 the shotrs-cudnt be more construcictve-cold east hot west-terrific. but while t= he ranks are bullis/concerned over californication-those fukkers are outta gas= =20 and power anyway shud be more of an east west issue than anything-they conitue ultimate px/economy destruction-in a way bearish. think mite be worth going long straddles in a week or so regards John.Arnold@enron.com on 03/20/2001 04:06:55 PM To: Steve LaFontaine/GlobalCo@GlobalCo cc: Fax to: Subject: Re: SCS Daily Volatility Report as of 3/19/01 heffner how? was pretty long coming into today just playing the range. sold everything on the way up. will be s scale up seller probably through options. certainly a short squeeze in trade today and i don;t think anything changes tomorrow except maybe trade gets more confident in the short at the higher level and if cash rejects higher prices. will be buying lots of puts on the way up so i guess for me vol is not too high. i was short vol and covered it all this morn. think we could be in for some turbulence here slafontaine@globalp.com on 03/20/2001 10:48:43 AM To: jarnold@enron.com cc: Subject: SCS Daily Volatility Report as of 3/19/01 vol seems rich here for ngas no/ what do we do here with flat price? how was cabo? ---------------------- Forwarded by Steve LaFontaine/GlobalCo on 03/20/2001 11:48 AM --------------------------- Scsotc@aol.com on 03/20/2001 08:18:54 AM To: Scsotc@aol.com cc: (bcc: Steve LaFontaine/GlobalCo) Fax to: Subject: SCS Daily Volatility Report as of 3/19/01 The attached report will be downloaded into microsoft word. Have a nice day. Regards, SCS S.C.S. Straddle Report for CL as of 3/19/2001 Option Future Month Strike Set Vol Set OTMP 2200 1 159.2 STD APR01 2650 40 50.0 2674 OTMC 2700 10 55.5 OTMP 2500 45 39.5 STD MAY01 2700 228 37.2 2692 OTMC 2900 43 37.4 OTMP 2450 66 38.9 STD JUN01 2700 315 36.4 2699 OTMC 3000 57 36.2 OTMP 2450 87 36.9 STD JUL01 2700 370 35.3 2698 OTMC 3100 63 36.1 OTMP 2400 99 36.6 STD AUG01 2700 423 34.9 2683 OTMC 3150 72 35.6 OTMP 2350 108 36.7 STD SEP01 2650 458 34.4 2664 OTMC 3200 75 35.0 OTMP 2300 116 36.7 STD OCT01 2600 488 33.8 2642 OTMC 3200 83 34.2 OTMP 2300 131 36.0 STD NOV01 2600 512 33.7 2620 OTMC 3200 90 34.2 OTMP 2250 131 35.3 STD DEC01 2600 527 32.6 2597 OTMC 3200 94 33.3 OTMP 2200 130 34.9 STD JAN02 2600 570 33.5 2574 OTMC 3000 139 32.9 OTMP 2200 140 33.7 STD FEB02 2550 535 30.3 2551 OTMP 2100 148 31.5 STD JUN02 2450 560 28.6 2456 OTMC 3300 84 30.4 OTMP 2000 163 28.7 STD DEC02 2350 612 27.9 2328 OTMC 3000 115 27.4 OTMP 1900 174 25.1 STD DEC03 2250 628 24.9 2198 S.C.S. Straddle Report for HO as of 3/19/2001 Option Future Month Strike Set Vol Set STD APR01 7000 368 41.8 7038 OTMC 7400 80 47.4 STD MAY01 7000 645 35.9 6885 OTMC 7500 128 38.4 STD JUN01 7000 816 34.2 6870 OTMC 7700 134 34.2 OTMP 6800 425 33.9 STD JUL01 6900 988 34.1 6910 OTMC 8000 188 37.4 OTMP 6800 462 33.6 STD AUG01 7000 1105 33.9 6965 OTMC 8200 209 36.4 OTMP 6600 409 33.9 STD SEP01 7000 1236 33.9 7040 OTMC 8900 184 37.8 OTMP 6600 431 33.9 STD OCT01 7100 1348 33.9 7110 OTMC 8800 251 37.3 S.C.S. Straddle Report for HU as of 3/19/2001 Option Future Month Strike Set Vol Set OTMP 8400 97 42.6 STD APR01 8700 467 42.7 8743 OTMC 9200 84 44.3 S.C.S. Straddle Report for NG as of 3/19/2001 Option Future Month Strike Set Vol Set OTMP 4750 46 47.8 STD APR01 5000 305 48.4 5035 OTMC 5250 76 50.1 OTMP 4600 122 48.1 STD MAY01 5050 612 47.0 5062 OTMC 5750 95 47.9 OTMP 4550 178 47.5 STD JUN01 5100 802 46.3 5092 OTMC 5950 147 48.0 OTMP 4500 219 47.2 STD JUL01 5150 990 47.4 5132 OTMC 6200 192 49.3 OTMP 4450 241 46.1 STD AUG01 5150 1118 46.7 5152 OTMC 6500 195 48.6 OTMP 4400 291 47.1 STD SEP01 5150 1267 47.7 5132 OTMC 6500 256 49.4 OTMP 4250 281 47.5 STD OCT01 5150 1393 48.7 5137 OTMC 6000 434 50.7 OTMP 4500 379 47.1 STD NOV01 5250 1470 48.2 5257 OTMC 7500 284 54.4 OTMP 4500 388 47.0 STD DEC01 5450 1661 48.4 5377 OTMC 6750 451 50.8 STD SEP02 2700 2003 42.2 4519 STD DEC02 2950 2131 44.4 4730 OTMP 2700 141 37.6 STD MAR03 2750 1928 37.6 4459 OTMC 4750 410 48.2 =0F: