seeing no increase in physical demand from industrials.  however, they cant 
buy enough paper.  energy customer deal flow has a conspicuous habit of 
buying high and selling low.  seeing virtually no producer selling.  strip 
will continue to be well supported through early spring.  last year customers 
sold all the way up, transferring their price risk to marketers and specs.  
market for most part was very orderly move up during the summer.  volatility 
was in the pukes because everybody was long.  now, customers are all buying.  
move down should be orderly as is met with a lot of short covering from trade 
and volatility should come from short covering moves like today's.  
market waiting to see those first two injection numbers.  if we are beating 
last year by 20 bcf, lights out.  move down may also scare producers to do 
some term selling, putting pressure on whole curve.  




slafontaine@globalp.com on 03/20/2001 03:21:41 PM
To: John.Arnold@enron.com
cc:  
Subject: Re: SCS Daily Volatility Report as of 3/19/01



maybe yur rite but 47% for sep  still over  valued. ive ve been buying deep 
otm
(jun and july 4.00 strikeputs as well. collpse in oil curve gives me a little
more confidence eventually we follow.but agree its a little early.i say we 
draw
this week 30 ish, lhand next week a small draw then builds-and if im rite shud
be substantial from there. i was long twice near 5 bucks but saw no rally so i
sold for nothing-shit-no patience
    any indication industrial demand on the rise from the cxustomer side?
certainly numbers /withdrawels suggest not.. the weather has been lousy for 
the
shotrs-cudnt be more construcictve-cold east hot west-terrific. but while the
ranks are bullis/concerned over californication-those fukkers are outta gas 
and
power anyway shud be more of an east west issue than anything-they conitue
ultimate px/economy  destruction-in a way bearish.
think mite be worth going long straddles in a week or so
regards





John.Arnold@enron.com on 03/20/2001 04:06:55 PM

To:   Steve LaFontaine/GlobalCo@GlobalCo
cc:
Fax to:
Subject:  Re: SCS Daily Volatility Report as of 3/19/01





heffner how?
was pretty long coming into today just playing the range.  sold everything
on the way up.  will be s scale up seller probably through options.
certainly a short squeeze in trade today and i don;t think anything changes
tomorrow except maybe trade gets more confident in the short at the higher
level and if cash rejects higher prices.
will be buying lots of puts on the way up so i guess for me vol is not too
high.  i was short vol and covered it all this morn.  think we could be in
for some turbulence here




slafontaine@globalp.com on 03/20/2001 10:48:43 AM

To:   jarnold@enron.com
cc:
Subject:  SCS Daily Volatility Report as of 3/19/01



vol seems rich here for ngas no/ what do we do here with flat price? how
was
cabo?
---------------------- Forwarded by Steve LaFontaine/GlobalCo on 03/20/2001
11:48 AM ---------------------------


Scsotc@aol.com on 03/20/2001 08:18:54 AM

To:   Scsotc@aol.com
cc:    (bcc: Steve LaFontaine/GlobalCo)
Fax to:
Subject:  SCS Daily Volatility Report as of 3/19/01




The attached report will be downloaded into microsoft word.

Have a nice day.

Regards,

SCS




   S.C.S. Straddle Report for CL as of 3/19/2001
                      Option         Future
      Month  Strike     Set    Vol     Set
OTMP           2200       1  159.2
 STD  APR01    2650      40   50.0    2674
OTMC           2700      10   55.5

OTMP           2500      45   39.5
 STD  MAY01    2700     228   37.2    2692
OTMC           2900      43   37.4

OTMP           2450      66   38.9
 STD  JUN01    2700     315   36.4    2699
OTMC           3000      57   36.2

OTMP           2450      87   36.9
 STD  JUL01    2700     370   35.3    2698
OTMC           3100      63   36.1

OTMP           2400      99   36.6
 STD  AUG01    2700     423   34.9    2683
OTMC           3150      72   35.6

OTMP           2350     108   36.7
 STD  SEP01    2650     458   34.4    2664
OTMC           3200      75   35.0

OTMP           2300     116   36.7
 STD  OCT01    2600     488   33.8    2642
OTMC           3200      83   34.2

OTMP           2300     131   36.0
 STD  NOV01    2600     512   33.7    2620
OTMC           3200      90   34.2

OTMP           2250     131   35.3
 STD  DEC01    2600     527   32.6    2597
OTMC           3200      94   33.3

OTMP           2200     130   34.9
 STD  JAN02    2600     570   33.5    2574
OTMC           3000     139   32.9

OTMP           2200     140   33.7
 STD  FEB02    2550     535   30.3    2551

OTMP           2100     148   31.5
 STD  JUN02    2450     560   28.6    2456
OTMC           3300      84   30.4

OTMP           2000     163   28.7
 STD  DEC02    2350     612   27.9    2328
OTMC           3000     115   27.4

OTMP           1900     174   25.1
 STD  DEC03    2250     628   24.9    2198


   S.C.S. Straddle Report for HO as of 3/19/2001
                      Option         Future
      Month  Strike     Set    Vol     Set
 STD  APR01    7000     368   41.8    7038
OTMC           7400      80   47.4

 STD  MAY01    7000     645   35.9    6885
OTMC           7500     128   38.4

 STD  JUN01    7000     816   34.2    6870
OTMC           7700     134   34.2

OTMP           6800     425   33.9
 STD  JUL01    6900     988   34.1    6910
OTMC           8000     188   37.4

OTMP           6800     462   33.6
 STD  AUG01    7000    1105   33.9    6965
OTMC           8200     209   36.4

OTMP           6600     409   33.9
 STD  SEP01    7000    1236   33.9    7040
OTMC           8900     184   37.8

OTMP           6600     431   33.9
 STD  OCT01    7100    1348   33.9    7110
OTMC           8800     251   37.3


   S.C.S. Straddle Report for HU as of 3/19/2001
                      Option         Future
      Month  Strike     Set    Vol     Set
OTMP           8400      97   42.6
 STD  APR01    8700     467   42.7    8743
OTMC           9200      84   44.3


   S.C.S. Straddle Report for NG as of 3/19/2001
                      Option         Future
      Month  Strike     Set    Vol     Set
OTMP           4750      46   47.8
 STD  APR01    5000     305   48.4    5035
OTMC           5250      76   50.1

OTMP           4600     122   48.1
 STD  MAY01    5050     612   47.0    5062
OTMC           5750      95   47.9

OTMP           4550     178   47.5
 STD  JUN01    5100     802   46.3    5092
OTMC           5950     147   48.0

OTMP           4500     219   47.2
 STD  JUL01    5150     990   47.4    5132
OTMC           6200     192   49.3

OTMP           4450     241   46.1
 STD  AUG01    5150    1118   46.7    5152
OTMC           6500     195   48.6

OTMP           4400     291   47.1
 STD  SEP01    5150    1267   47.7    5132
OTMC           6500     256   49.4

OTMP           4250     281   47.5
 STD  OCT01    5150    1393   48.7    5137
OTMC           6000     434   50.7

OTMP           4500     379   47.1
 STD  NOV01    5250    1470   48.2    5257
OTMC           7500     284   54.4

OTMP           4500     388   47.0
 STD  DEC01    5450    1661   48.4    5377
OTMC           6750     451   50.8

 STD  SEP02    2700    2003   42.2    4519

 STD  DEC02    2950    2131   44.4    4730

OTMP           2700     141   37.6
 STD  MAR03    2750    1928   37.6    4459
OTMC           4750     410   48.2



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