basically a swaption on vol for nov03-mar04 that expites on feb 25, 2003.
they also did the following:

 
i asked why they did swaption AND short call and put spreads.. this was their response..


 

sorry for the slow confirms today....



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From:  <IMCEANOTES-+22CAROLINE+20ABRAMO+2C+20ENRON+20CORP+22+20+3CCABRAMO+40bloomberg+2Enet+3E+40ENRON@ENRON.com>
To: Abramo, Caroline </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Cabramo>
Date: Tuesday, August 28, 2001 4:22:43 GMT
Subject: 

the trade we have done in NG (based on the old gold trade) was
as follows:

i buy winter 03/04 forward implied volatility at x% (fixed rate)

we agree on x% today and on 02/25/03 you deliver to me the ATMF
straddle on X3-H4 priced at x%.  I can hit your bid for the
straddle (at your bid vol) or take delivery.

x% is a function of the swaption vol (02/25/03 expiry on the X3-
H4 swap) and the X3-H4 term vol.  variances are additive, so:

(contd)




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From:  <IMCEANOTES-+22CAROLINE+20ABRAMO+2C+20ENRON+20CORP+22+20+3CCABRAMO+40bloomberg+2Enet+3E+40ENRON@ENRON.com>
To: Abramo, Caroline </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Cabramo>
Date: Tuesday, August 28, 2001 4:22:58 GMT
Subject: 

t2= time in yrs to "term" expiry
t1= time in yrs to swaption expiry
t12= time in yrs from swaption exp to term exp (=t2-t1)

s2= annualized term vol
s1= annualized swaption vol
s12= annualized forward-forward vol

t2 * s22 = t1 * s12 + t12 * s122??flip terms around and solve for s122 and that's your forward
vol.




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From:  <IMCEANOTES-+22CAROLINE+20ABRAMO+2C+20ENRON+20CORP+22+20+3CCABRAMO+40bloomberg+2Enet+3E+40ENRON@ENRON.com>
To: Abramo, Caroline </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Cabramo>
Date: Tuesday, August 28, 2001 4:44:01 GMT
Subject: 

we did the trade now for the winter 2 years hence. numbers
looked more compelling.  we also put on some short positions in
callspreads and putspreads which we did when winter 03 was at
$4.  that was the biggest winner so far.
Reply:
SHORT CALL AND PUT SPREADS FOR WINTER03-04 OR CLOSER IN TERM?
Reply:
out there in 03/04.  low delta, but they were low risk too.
total luck with the timing.  we did it last thursday before the
first rumors of an aga revision came out...




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From:  <IMCEANOTES-+22CAROLINE+20ABRAMO+2C+20ENRON+20CORP+22+20+3CCABRAMO+40bloomberg+2Enet+3E+40ENRON@ENRON.com>
To: Abramo, Caroline </O=ENRON/OU=NA/CN=RECIPIENTS/CN=Cabramo>
Date: Tuesday, August 28, 2001 4:43:22 GMT
Subject: 

well, long vol via the FRA trade, and short delta via the cs/ps
 (we bot putspreads, sold callspreads).  the cs/ps were done
due to the correlation of vol and price.  we figured taht if
price went down, our fra vol would end up low, so we bot
putspreads.  on the flipside, if gas traded $6, it's safe to
say our fra vol would be a lot higher, and we wouldn't mind
paying out under the 5/6 callsrpead.