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Enron Mail |
Cc: vince.kaminski@enron.com, stinson.gibner@enron.com
Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com, stinson.gibner@enron.com X-From: Zimin Lu X-To: Greg Whalley, John J Lavorato X-cc: Vince J Kaminski, Stinson Gibner X-bcc: X-Folder: \Lawrence_Whalley_Nov2001\Notes Folders\All documents X-Origin: WHALLEY-G X-FileName: gwhalley.nsf Greg and John, I found that by reducing the volume per trade and increasing daily number of trades ( keeping the total volume per day constant), we can be more profitable. This is partially because in a trending market we lose less money by following the market more closely. For example, suppose market move from $30 to $35. If per trade volume is 10,000 BBL, we take 6 trades of short positions, the total MTM for that day is (-5-4-3-2-1)*10,000=-$90,000 and total trading volume is 60,000 BBL. If per trade volume is 60,000 BBL, we take one trade, the total MTM is -5*60,000= -$300,000. Therefore it seems that by reducing per trade volume and increasing the number of trades, we can be more profitable as a market maker. I rerun a scenario that Stinson sent to you on Dec. 27 where he used per trade volume of 30,000 BBL. I reduce the number of trade to 10,000 while increasing the number of trades by 3. Almost in all cases, I saw increased profitability. See the colume marked "Change" for dollar amount change. Please let Stinson or me know your thoughts on this. Regards, Zimin Lu x36388 As a comparasion to
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