re:spreads

saw a lot of the bulls sell summer against length in front to mitigate
margins/absolute position limits/var. as these guys are taking off the
front, they are also buying back summer. el paso large buyer of next winter
today taking off spreads. certainly a reason why the spreads were so strong
on the way up and such a piece now. really the only one left with any risk
premium built in is h/j now. it was trading equivalent of 180 on access,
down 40+ from this morning. certainly if we are entering a period of bearish
to neutral trade, h/j will get whacked. certainly understand the arguments
for h/j. if h settles $20, that spread is probably worth $10. H 20 call was
trading for 55 on monday. today it was 10/17. the market's view of
probability of h going crazy has certainly changed in past 48 hours and that
has to be reflected in h/j.

slafontaine@globalp.com on 12/13/2000 04:15:51 PM
To: slafontaine@globalp.com
cc: John.Arnold@enron.com
Subject: re:spreads

mkt getting a little more bearish the back of winter i think-if we get another
cold blast jan/feb mite move out. with oil moving down and march closer flat
px
wide to jan im not so bearish these sprds now-less bullish march april as
well.