erac koch p + spread options - - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 01 / 29 / 2001
10 : 42 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
stinson gibner
01 / 29 / 2001 09 : 47 am
to : bob lee / na / enron @ enron , paulo issler / hou / ect @ ect , zimin lu / hou / ect @ ect
cc :
subject : erac koch p + spread options
booking spreadsheet in in o : \\ research \\ common \\ projects \\ exotic 2001 _ 0125 . xls
sheet where options are booked is called " index deals " .
- - stinson
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 01 / 29 / 2001
09 : 43 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
mark fondren
01 / 26 / 2001 10 : 53 am
to : stinson gibner / hou / ect @ ect
cc :
subject : erac koch p + spread options
- - - - - - - - - - - - - - - - - - - - - - forwarded by mark fondren / hou / ect on 01 / 26 / 2001 10 : 53
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
mark fondren
01 / 25 / 2001 12 : 07 pm
to : john l nowlan / hou / ect @ ect
cc : spencer vosko / hou / ect @ ect
subject : erac koch p + spread options
price 1 = wti cushing physical cash price ( wti nymex
contract ) for example , the april 2001
wti cushing price equals the aprol wti nymex
contract .
price 2 = koch oil posting for west texas / new mexico intermediate .
koch p + = price 1 - price 2
price 2 is calculated by subtracting 3 spreads from price 1
1 . koch posting / wti nymex basis spread
2 . 66 . 6 % ( aprilol / mayol wti nymex spread )
3 . 33 . 3 % ( aprilol / junol wti nymex spread )
example using 1 / 24 / 2001 wti settles aprol 28 . 31
mayol 27 . 72
junol 27 . 19
april 2001 koch posting = april 2001 wti nymex settlement -
koch / nymex basis spread - . 666 ( apr / may ) - . 333 ( apr / jun )
= 28 . 31 -
2 . 75 - . 666 ( . 59 ) - . 333 ( 1 . 12 )
= 28 . 31 -
2 . 75 - . 3929 - . 37296
= 24 . 794
koch p + = 28 . 31 - 24 . 794
= 3 . 516
please call with any questions
mark f
ext 853 - 1982