Message-ID: <8849101.1075860786552.JavaMail.evans@thyme> Date: Thu, 14 Jun 2001 05:24:18 -0700 (PDT) From: kenneth.parkhill@enron.com To: john.griffith@enron.com Subject: RE: Option Trade Cc: paulo.issler@enron.com, bob.lee@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: paulo.issler@enron.com, bob.lee@enron.com X-From: Parkhill, Kenneth X-To: Griffith, John X-cc: Issler, Paulo , Lee, Bob X-bcc: X-Folder: \John_Griffith_Mar2002\Griffith, John\Research X-Origin: Griffith-J X-FileName: jgriffit (Non-Privileged).pst here's the file we spoke about -----Original Message----- From: Griffith, John Sent: Wednesday, June 13, 2001 2:10 PM To: Parkhill, Kenneth Cc: Issler, Paulo; Lee, Bob Subject: Option Trade Kenneth, Here is the trade I was looking at: Dec'01 trading at $4.725 100 4.70 Calls -300 5.50 Calls 200 5.90 Calls -200 3.50 Puts 300 4.00 Puts -100 4.70 Puts Someone called a broker on the floor of the exchange to get a price on this butterfly combination. First of all, can you tell me what this trade does for you. I looked at the payout and I don't understand what they were trying to do. Second, the price that the floor market makers gave him was $.10 bid at $.14. I price the deal at approximately $.07. I know that the $.10 is too high and the delta of the trade is about .07 (really small). How can I use your skew file to see the arbitrage? I have attached the payout chart. Thanks for your help. Call if you have any questions. Thanks. John << File: Payout chart.xls >>