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He asked me to give both of you an invite in appreciation of the work you've done for him. | dev34 |
If you have interest, ccmail me with whether you need one or two invites each. | dev34 |
John | dev34 |
I'm free from 4:00-5:00 today | dev34 |
I'll send 2 invites up. | dev34 |
What's your location? | dev34 |
Greg's always on vacation. | dev34 |
You need to teach him some work habits. | dev34 |
Next Tuesday will work. | dev34 |
John | dev34 |
8 pm to 2 am | dev34 |
I spoke to Vlady this afternoon regarding the alternative VAR methodologies. | dev34 |
I think changing to a Riskmetrics historical VAR system is more defendable and objective, will provide more consistent results, and will create more realistic results. | dev34 |
I understand Vince has a similar opinion. | dev34 |
John. | dev34 |
Per: Can you give the Campbell fund read-only access to EOL. | dev34 |
It may speed up the process if they see they can trade pre-market. | dev34 |
John | dev34 |
Good job....I've got 10% of my portfolio in CGP. | dev34 |
Keep up the good work. | dev34 |
Margaret: As you can imagine, most information and procedures on the floor are extremely confidential. | dev34 |
We look at the gas market uniquely and using different tools than anybody else. | dev34 |
It is one of our competitive advantages. | dev34 |
I'm hesistant to approve the use of any documents for external purposes. | dev34 |
If you provide more information about what you're trying to show, who the target audience is, and what format it will be presented, I may be able to help you. | dev34 |
John | dev34 |
Frank: Just following up on two topics. | dev34 |
One: Larry May's book continues to run at a VAR of 2,500,00 despite the fact his P&L is never close to that. | dev34 |
Can you check that his exotics book positions are being picked up in his VAR calcs. | dev34 |
Second: Have you looked into applying a band-aid to the understating longer term Vol problem until we change formulas? | dev34 |
John | dev34 |
Interesting observation...but I'm not sure I agree. | dev34 |
I think consensus opinion is that anything under 2.7 TCF is very dangerous entering the winter. | dev34 |
A month ago, analysts were predicting we would end the injection season with around 2.6 - 2.7 in the ground. | dev34 |
With the most recent AGA, those projections seem to be closer to 2.7. | dev34 |
With supply of gas very inelastic to price in the short and medium term, you must look at the demand side of the equation. | dev34 |
The market is trying to price out the right amount of demand (mostly through lost industrial load and fuel switching) such that supplies will be stored rather than burned. | dev34 |
Each AGA number is another data point as to whether nat gas is high enough to price out enough demand to reach a comfortable level in storage entering the winter. | dev34 |
A low AGA number indicates we haven't priced out enough demand and the market must go up. | dev34 |
Certainly, the 97 throws a curve in the bull argument, but the number may be a function of very mild weather, a four day holiday weekend, and reporting noise rather than indicative of a structural shift in the supply/demand equilibrium. | dev34 |
We'll know a lot more as the next two weeks' numbers come out. | dev34 |
If we get two low injections, watch out. | dev34 |
Enron North America Corp. | dev34 |
Frank: Susan Scott, Larry's risk manager, will compile and send you a spreadsheet of total p&l minus new deal p&l since June 1. | dev34 |
Can you review this data and compare it to the respective VAR numbers for these dates. | dev34 |
I think you will see the VAR numbers way overestimate his p&l volatility. | dev34 |
John Enron North America Corp. | dev34 |
Hello: A recent posting on the Enron bulletin board indicated that you are looking for academic tutors. | dev34 |
I may be available to help at nights in math. | dev34 |
Can you please respond with details about the program, how old the kids are, the commitment required, etc. Thanks, John Arnold | dev34 |
Frank: The $5,000,000 extra VAR disappears in about a week. | dev34 |
There MUST be a band-aid to the term VAR curve before this expires. | dev34 |
Again, the back of the board is realizing 35-60% vol and it's being credited with 15% vol. | dev34 |
Thanks, John | dev34 |
Jim: The following are the authorized floor brokers to accept trades from: Man SDI Carr the old Fimat group (don't know what their name is now) Flatt Futures Thanks, John | dev34 |
Jim: The list I gave you is a list of brokers that can clear through you, NOT brokers that you clear exclusively. | dev34 |
You do not clear any of my brokers exclusively. | dev34 |
All trades that clear through you will be done on discretionary trade-by trade basis. | dev34 |
You MUST have your floor personnel reverse everything they they told my brokers this morning. | dev34 |
I am not happy. | dev34 |
John | dev34 |
Is it per game or point or what? | dev34 |
I think you're cheating trying to get a fixed amount.... | dev34 |
I'll give $1 per pin. | dev34 |
Good luck, John | dev34 |
Andy: Is the new version of EOL coming out soon. | dev34 |
I'm waiting to put new products on until it comes... | dev34 |
John | dev34 |
Thanks. | dev34 |
Russell: My risk group frequently uses the New Counterparty label for internal counterparties that do not have a trading book. | dev34 |
This transaction was a hedge for the acquisition of the paper plant we announced recently. | dev34 |
I'm not sure who the internal group is that did the transaction. | dev34 |
Dutch Quigley should be able to help. | dev34 |
John. | dev34 |
Jeff: In regards to the antitrust training, can you please schedule that at least one of the sessions starts at 3:00 or later to ensure participation by all. | dev34 |
Thanks, John | dev34 |
Mary: These agreements are acceptable. | dev34 |
Please sign the give up agreements with Banc One. | dev34 |
John | dev34 |
VP Nat Gas Trading | dev34 |
The plan looks good. | dev34 |
Can you please attach a time schedule to the different steps and send it back. | dev34 |
Thanks, John | dev34 |
Frank: One of the most likely scenarios for a VAR blowout would be a severe cold front hitting the country in the middle to latter part of the winter. | dev34 |
In such a circumstance, cash may separate from prompt futures similar to how Midwest power traded $5000+ on specific days last year while prompt futures were $200. | dev34 |
The correlation between prompt and cash is normally very strong, and is indicated by the small VAR associated with a spread position currently. | dev34 |
But in the winter that may change. | dev34 |
Another thing to keep in mind while developing this scenario is the assymetric risk presented by having a spread position on. | dev34 |
Assuming we enter the winter with normal to below normal storage levels, a position of long cash, short prompt futures has a long tail only on the positive p&l side. | dev34 |
While such a trade in an efficient market has expected payout of 0, the payout probabilities may look like the following: Enron North America Corp. | dev34 |
thanks | dev34 |
Liz: Come by anytime... | dev34 |
Thanks, John | dev34 |
Hey: What's the update on Larry May's VAR issues. | dev34 |
Again, this is a priority as we will lose Lavorato's VAR soon. | dev34 |
Thanks, John | dev34 |
Jan Red Jan trading 28.5 with Sep @ 381 | dev34 |
I have not heard back from you. | dev34 |
What is the schedule for changing the VAR process? | dev34 |
Please reply, John | dev34 |
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