RE: Option liq

Karim, I don't want to wait till month end, let's adjust the numbers now and for the June 29 2nd order, lets take that value into June since it relates to July puts.

-----Original Message-----
From: Punja, Karim
Sent: Tuesday, July 17, 2001 2:23 PM
To: Postlethwaite, John; Meira, Marcelo
Cc: Gupta, Sanjay; Chen, Hai; Zufferli, John
Subject: RE: Option liq

Hi everyone,

I just got of the phone with Hai and he told me how to make an adjustment on a day to day basis in regards to incorrect liquidations but he also explained this is just to make the daily P&L #'s right, if nothing were done the month end P&L would still somehow work out because adjustments would be made. Does this mean that for June and for a certain portion of July we should not do anything and just make adjustments on a going forward basis (and assume everything will work out at month end)?
If this is the case I would like someone to walk me through June to see if the numbers did really work themselves out as there was a large swing in second order on June 29 that was not adjusted for.

Let me know if one of you could help me do this.
Karim.

-----Original Message-----
From: Postlethwaite, John
Sent: Tuesday, July 17, 2001 2:09 PM
To: Meira, Marcelo
Cc: Gupta, Sanjay; Punja, Karim; Chen, Hai
Subject: RE: Option liq

Evidently, this a problem that Stacey White has been aware of for a couple of months now. There was a change made in the coding for the delta position and this has somehow messed up the liq value.

John

-----Original Message-----
From: Meira, Marcelo
Sent: Tuesday, July 17, 2001 1:07 PM
To: Postlethwaite, John
Cc: Gupta, Sanjay; Punja, Karim; Chen, Hai
Subject: RE: Option liq

John, Karim,

I'm now looking closely at the option liquidation problems. I believe that there might be a sign-flipping problem for PUTS that 's causing this whole issue. I'll keep you posted.
Karim - this's likely the explanation to your other question... I'll get back to you as soon as I have more info (hopefully later today)

Marcelo L. Meira
Sr IT Developer
Enron Networks - Houston, TX
(713) 345-3436

-----Original Message-----
From: Postlethwaite, John
Sent: Tuesday, July 17, 2001 1:28 PM
To: Meira, Marcelo
Cc: Gupta, Sanjay; Punja, Karim
Subject: Option liq

The post id I am looking at for Calgary is 11608. I am looking at the option liquidation report and all of the $65 puts are in the money and the $75 call is also in the money. Shouldn't all the liquidation values from the beginning of the month be a negative (representing positive liquidation) for the puts? The liq value for the call is CORRECT.

John