Subject: EOL WTI maket maker simulation model
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Fri, 17 Nov 2000 08:37:00 -0800 (PST)

Stinson,

I add the total P/L due to contract rollover.  When the number of trades is 
large
and the spread is not too small, the model prints a lot of money, dominated by
those trade earning the half of BO spread. 

I also wrote an explaination about the model on the front page. I think we 
are 
ready to deliever the model V.1.

The next step is to incorporate the intra-day market movement by using high 
and low
prices into the pricing.  I will call you on Monday.

Happy Thanksgivings !

Zimin