saw a lot of the bulls sell summer against length in front to mitigate 
margins/absolute position limits/var.  as these guys are taking off the 
front, they are also buying back summer.  el paso large buyer of next winter 
today taking off spreads.  certainly a reason why the spreads were so strong 
on the way up and such a piece now.   really the only one left with any risk 
premium built in is h/j now.   it was trading equivalent of 180 on access, 
down 40+ from this morning.  certainly if we are entering a period of bearish 
to neutral trade, h/j will get whacked.  certainly understand the arguments 
for h/j.  if h settles $20, that spread is probably worth $10.  H 20 call was 
trading for 55 on monday.  today it was 10/17.  the market's view of 
probability of h going crazy has certainly changed in past 48 hours and that 
has to be reflected in h/j.




slafontaine@globalp.com on 12/13/2000 04:15:51 PM
To: slafontaine@globalp.com
cc: John.Arnold@enron.com 
Subject: re:spreads



mkt getting a little more bearish the back of winter i think-if we get another
cold blast jan/feb mite move out. with oil moving down and march closer flat 
px
wide to jan im not so bearish these sprds now-less bullish march april as 
well.