Vince,

Just let you know crack spread option trading is peaking up volumes. 
I will arrange a meeting for discussion of support.


Zimin

 -----Original Message-----
From: 	De La Ossa, Mario  
Sent:	Wednesday, October 24, 2001 5:05 PM
To:	Lu, Zimin; Lee, Bob
Subject:	Research Support

I attended a derivatives seminar put on by the Lacima Group.  It appears to me that this group has modeling expertise that could accelerate our progress towards properly modeling correlation and forward volatility dependent options.  I have spoken with Bob Lee on this issue.  I am already trading a relatively large (1000+ contracts) crack spread options book and a modest time spread options book.  I am planning to expand our activity in these markets through Enron Online.  Also, I would like to start trying to develop markets in contingent premium options on heating oil and jet fuel.  To do this, I need research help in implementing a consistent approach to modeling forward forward volatility, especially with regard to heating oil (seasonality).  I would like to discuss this in greater detail to scope the next step forward.  Thanks, Mario.