re: Gas Daily options revaluation

Thanks for your help in assuring that everyone is aware of this. I really
appreciate it.

Larry May@ENRON
02/15/2001 01:16 PM
To: John J Lavorato/Enron@EnronXGate, John Disturnal/CAL/ECT@ECT, Louise
Kitchen/HOU/ECT@ECT, John Arnold/HOU/ECT@ECT, Hunter S Shively/HOU/ECT@ECT,
Sally Beck/HOU/ECT@ECT, Phillip K Allen/HOU/ECT@ECT, Peter F
Keavey/HOU/ECT@ECT, Scott Neal/HOU/ECT@ECT, Susan M Scott/HOU/ECT@ECT,
Jeffrey C Gossett/HOU/ECT@ECT, Shouan Tang/Enron@EnronXGate
cc:
Subject: re: Gas Daily options revaluation

This is to inform you that we are rolling out changes to the Gas Daily option
pricing model. Currently the system is not properly pricing index puts and
calls at locations with gas daily index premiums or discounts (puts and calls
are priced at the same level no matter what the index). The change will
result in raising call values/lowering put values at locations with index
premiums and the opposite at locations with index discounts.

In addition, index plus/minus option deals (for example index -1.00 puts) -
which are currently incorrectly priced flat to the index option (the index
-1.00 put is priced flat to the index put)- will be accurately priced to
reflect the difference in strikes.

If anyone has any questions please call me at 3-6731.

Thank You,

Larry May