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Enron Mail |
Rick,
I've been thinking about this. I think 18 mos. for the average tenor of a trade is way too high. For John Arnold's book it would on a prospective basis be more in line with 4 months. We would probably not make markets online on anything past 24 months for NYMEX gas and the vast majority of our trades are in the first three months. I think the same would probably be true for power, but I haven't spoken to those guys about it. For the NYMEX book gas I made the following assumptions: Average tenor: 5 months Average trades per day: 400 average volume per trade: 500,000 mmbtu average px: $2.7/mmbtu With 252 trading days you and up with a gross unadjusted notional of $136bn. This is simply 400*252*500,000*$2.7 You then have to adjust down for the expiration of trades during the year. If the average life was 6 months you could halve the number above, which would be conservative given our 4 month assumption. That takes you down to $68.04bn ($136bn/2). The next adjustment would be to factor in netting for counterparties. You are trying to estimate the net open interest per countperparty. I am working on those numbers as I write this. It stands to reason that the net number for NYMEX Gas deals would be less than $70bn. When you factor in other gas trades and power the number would rise and I will look at that. As a basic method, does this start to get you to where you need to be ? Andy
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