Purvi,

Glad to see you working on some good stuff : )

you need to pull out a black sholes calculation and input the varialbles that you were given
and then call a power options trader to ask for a marekt to check the resonableness of the model
models can be way off on options due to skew and market conditions

good luck

 -----Original Message-----
From: 	"Purvi Patel" <pnpatel@tecoenergy.com>@ENRON [mailto:IMCEANOTES-+22Purvi+20Patel+22+20+3Cpnpatel+40tecoenergy+2Ecom+3E+40ENRON@ENRON.com] 
Sent:	Thursday, June 07, 2001 10:21 AM
To:	Quigley, Dutch
Subject:	i need your help....

I have this little project to do and i need a little help from you... (since you are an expert in this field!!)

ok-- i need to figure out what the premium is on an aug on- peak call option for power. Now , I know that power is not what you do, but I can use some ideas on how to get started.

Terms

Strike price  is $200/ MWH
Forward curve for Aug is $125/MWH
Aug 2001
Foward Volatility of 100%
Valuation Date is June 8, 2001
Interest Rate is 6%
On- Peak Call Option for 50 MW

SO far, I have looked at some forcasts for Aug, and seen which hours the market rate is above 200 to come up with a premium value.  I have an answer for this problem, but I was just curous as to see where you would start. Anything will work. Thanks!!

Purvi

P.S-- also, don't be hesitant to tell me that you have no clue--- You'll still be my favorite manager!!!