|
|
Enron Mail |
I can do it either way but would much rather just make it the simple average
of prices, 5 per week. From: Gary Taylor 10/05/2000 07:25 PM To: John Arnold/HOU/ECT@ECT, John Griffith/Corp/Enron@Enron cc: Subject: SMUD deal Asian options John(s), How will the Asian options we purchased from the gas desk settle with respect to weekends... will the average of every day's gas daily settle mean the average of only the days on which Gas Daily is published? or will it triple count each Friday's or Monday's price to account for the weekend (with a similar calculation on weekends). I assume it is the former, not the latter. Is this correct? Are you indifferent if we want to switch to the latter? Intuitively, it would seem to me that at this point, it wouldn't matter (because Friday or Monday prices are just as likely to be above the average as below the average), but you're wearing the risk, not us - so let me know. Frankly, we don't have a preference as a desk, except that we need the settlement to be consistent with the deal we are entering into with SMUD. SMUD has questioned our calculation and I need to know how much I need to argue for one or the other. Regards, Gary x31511
|