Message-ID: <11010144.1075841520268.JavaMail.evans@thyme> Date: Thu, 16 Aug 2001 14:39:08 -0700 (PDT) From: heather.dunton@enron.com To: holden.salisbury@enron.com Subject: FW: Index Option Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Dunton, Heather X-To: Salisbury, Holden X-cc: X-bcc: X-Folder: \ExMerge - Salisbury, Holden\Inbox X-Origin: SALISBURY-H X-FileName: holden salisbury 6-26-02.PST This is the proposal of how we want to value the new UAMPS deal. Just want to keep you in the loop. -----Original Message----- From: Dunton, Heather Sent: Thursday, August 16, 2001 10:41 AM To: Motley, Matt Cc: Yang, Zhiyun; Lee, Norman; Luu, Duong; Gupta, Sanjay; Crooks, William; Kroumov, Kroum; Postlethwaite, John Subject: Index Option Matt I need written confirmation regarding the analysis of the new Deal Type "Index Option" for IT to implement. Index Option will be a physical option with a strike @ an Index. For a BDay option expiry the analysis will work as follows: The forward position will be valued taking the deal strip hours, these hours will be valued against the scalars - the hours in the money compared to the forward underlying price will be estimated as exercised. Only the hours in the money will be evaluated. For the day of exercise the hours evaluated will be the hours exercised in scheduling. Buy Call: Estimated Exercised hour will have a price above the mid Buy Put: Estimated Exercised hour will have a price below the mid Daily the Option Exercise function in Enpower will create an Index Forward Leg from the Index Option (expiry will be daily but the price will be hourly) @ a strike of the specified Index. Liquidation: Liquidation for the next day will be calculated using the actual exercised strip against the curve as the mid price. The True-up will be index vs curve when the index is published.