Matt,

I need a sigma factor for the following option products.

Thank you,

Melba
58986


Trader: Chad South


RGC3 Call 

US RGC3 Opt     CMAI      EC.30                    Jul-Dec01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Index minus the Strike Price.  The Option style and type shall be a European 
Call ("EC").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall be from the Effective Date of 01 Jul 2001 
to the Termination Date of 31 Dec 2001.

The Index for a month shall be the arithmetic average of the high and low 
prices in Cents/Pound of Refinery Grade Propylene published under the 
headings "North America Product Prices for (DATE): RG Propylene Contract - 
Freely Neg." in the month-end issue of Chemical Market Associates, Inc.'s 
Monomers Market Report effective for such month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.


RGC3 Put

US RGC3 Opt     CMAI      EP.30                    Jul-Dec01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Strike Price minus the Index.  The Option style and type shall be a European 
Put ("EP").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall be from the Effective Date of 01 Jul 2001 
to the Termination Date of 31 Dec 2001.

The Index for a month shall be the arithmetic average of the high and low 
prices in Cents/Pound of Refinery Grade Propylene published under the 
headings "North America Product Prices for (DATE): RG Propylene Contract - 
Freely Neg." in the month-end issue of Chemical Market Associates, Inc.'s 
Monomers Market Report effective for such month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.

PP-HP Call 

US PP-HP Opt     CMAI      EC.30                    Jul-Dec01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Index minus the Strike Price.  The Option style and type shall be a European 
Call ("EC").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall be from the Effective Date of 01 Jul 2001 
to the Termination Date of 31 Dec 2001.

The Index for a month shall be the low price in Cents/Pound of Polypropylene 
- homopolymer general purpose published under the headings "North America 
Product Prices for (DATE): Polypropylene Domestic" in the month-end issue of 
Chemical Market Associates, Inc.'s Monomers Market Report effective for such 
month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.


PP-HP Put

US PP-HP Opt     CMAI      EP.30                    Jul-Dec01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Strike Price minus the Index.  The Option style and type shall be a European 
Put ("EP").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall be from the Effective Date of 01 Jul 2001 
to the Termination Date of 31 Dec 2001.

The Index for a month shall be the low price in Cents/Pound of Polypropylene 
- homopolymer general purpose published under the headings "North America 
Product Prices for (DATE): Polypropylene Domestic" in the month-end issue of 
Chemical Market Associates, Inc.'s Monomers Market Report effective for such 
month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.

Ethylene Call 

US Ethylene Opt     CMAI      EC.30                    Jul-Dec01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Index minus the Strike Price.  The Option style and type shall be a European 
Call ("EC").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall be from the Effective Date of 01 Jul 2001 
to the Termination Date of 31 Dec 2001.

The Index for a month shall be the Cents/Pound price of Ethylene Monomer 
published under the headings "North America Product Prices for (DATE): 
Ethylene Net Transaction Contract" in the month-end issue of Chemical Market 
Associates, Inc.'s Monomers Market Report effective for such month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.


Ethylene Put

US Ethylene Opt     CMAI      EP.30                    Jul-Dec01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Strike Price minus the Index.  The Option style and type shall be a European 
Put ("EP").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall be from the Effective Date of 01 Jul 2001 
to the Termination Date of 31 Dec 2001.

The Index for a month shall be the Cents/Pound price of Ethylene Monomer 
published under the headings "North America Product Prices for (DATE): 
Ethylene Net Transaction Contract" in the month-end issue of Chemical Market 
Associates, Inc.'s Monomers Market Report effective for such month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.


LLDPE Call 

US LLDPE Opt       CMAI     EC.30                    Jul-Sep01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Index minus the Strike Price.  The Option style and type shall be a European 
Call ("EC").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall correspond to the date(s) set forth in the 
Product description on the Website.

The Index for a month shall be the arithmetic average of the high and low 
Cents/Pound prices of Linear Low Density Polyethylene - Butene film grade 
published under the headings "North America Product Prices for (DATE): LLDPE 
Domestic" in the month-end issue of Chemical Market Associates, Inc.'s 
Monomers Market Report effective for such month.
The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.
The unit of measure against which the price is quoted shall be pounds.


LLDPE Put

US LLDPE Opt       CMAI     EP.30                    Jul-Sep01       c/LB

A financial Option Transaction with Enron North America Corp., under which 
the Seller receives the Premium and the Buyer receives the Cash Settlement 
Amount. Each calendar month during the Term of the Transaction will be a 
Determination Period, provided that if the Term of the Transaction is less 
than one calendar month the Determination Period shall be the Term of the 
Transaction.  The Notional Quantity per Determination Period shall be 
calculated from the volume submitted by Counterparty on the Website in 
accordance with the unit of measure.  The Premium shall equal the product of 
(i) the price submitted by Counterparty via the Website, multiplied by (ii) 
the Notional Quantity per Determination Period, multiplied by (iii) the 
number of Determination Periods during the Term of the Transaction. The 
Payment Date for the Premium shall be 2 business days after the Trade Date of 
the Transaction. The Payment Date(s) for the Cash Settlement Amount shall be 
5 business days after the Cash Settlement Amount is determinable. The Cash 
Settlement Amount shall be the greater of (i) zero, or (ii) the product of 
(a) the Notional Quantity per Determination Period, multiplied by (b) the 
Strike Price minus the Index.  The Option style and type shall be a European 
Put ("EP").  Automatic Exercise is Applicable.  The Strike Price for the 
Transaction shall be as set forth on the Website.

The term of the Transaction shall correspond to the date(s) set forth in the 
Product description on the Website.

The Index for a month shall be the arithmetic average of the high and low 
Cents/Pound prices of Linear Low Density Polyethylene - Butene film grade 
published under the headings "North America Product Prices for (DATE): LLDPE 
Domestic" in the month-end issue of Chemical Market Associates, Inc.'s 
Monomers Market Report effective for such month.

The price is quoted in cents (US) per unit of measure which will be the 
Contractual Currency.

The unit of measure against which the price is quoted shall be pounds.