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Enron Mail |
---------------------- Forwarded by Tamara Jae Black/HOU/ECT on 05/22/2001
04:18 PM --------------------------- From: Steve Wang/ENRON@enronXgate on 05/22/2001 04:17 PM To: Tamara Jae Black/HOU/ECT@ECT cc: Subject: New Options Model Meeting on May 30 at 3:30pm regarding the new Option Model we (Steve Wang, Harry Arora, and Rob Stalford) use to make markets. The old structuring model was created for marketer to give indicative pricing. I have created this model especially for option market making. As market makers we found the old model too slow as we are often making bid/offers in more than five strikes in more than five different months. This model allows us to make our markets quicker and identify mispricings in the market before our competitors. This is not to replace the old structuring model. It is only a complement that will give everyone a better picture of where options are trading and where bid/offers are. We will publish these prices weekly and will eventually have them on a daily basis. You will need special permission to access the files located in M:\power2\Options. Let me know if you want access to this folder. The following people already have access: Ahn, Christopher Ballato, Russell Baughman, Ed Benson, Rob Broderick, Paul Carson, Mike Clynes, Terri Curry, Mike Dalton, Oscar Davis, Dana Dean, Clint Dorland, Chris Forney, John Gilbert-Smith, Doug Gupta, Gautam Jester, Larry Kelly, Michael King, Jeff Lorenz, Matt Presto, Kevin Quenet, Joe Scheuer, Janelle Sewell, Robert (Doug) Sturm, Fletch Tingleaf, Drew Valderrama, Larry Valdes, Maria Wheeler, Raymond Thanks Steve Wang
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