Mark,

After further discussion with Larry May regarding his Straddles. We decided to amend the current US Gas Daily Opt product type to allow Straddle options to be built under this current product type rather than building a separate product type. The proposed amended language is included below; please disregard the language sent previously for the different product types. Could you please review and provide any comments or your approval on this long description so that we can make the appropriate changes in the system? Give me a call if you have any questions

Thanks,
Lindsay

US Gas Daily Opt	Hhub

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 number of calendar days during the Term of the Transaction, multiplied by (iii) the volume submitted by Counterparty on the website. 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. Where this Transaction is a Call Option, the Cash Settlement Amount shall be the sum of the product of (a) the Notional Quantity per day during the Determination Period, multiplied by (b) the greater of (i) zero, or (ii) the Index minus the Strike Price. Where this Transaction is a Put Option, the Cash Settlement Amount shall be the sum of the product of (a) the Notional Quantity per day during the Determination Period, multiplied by (b) the greater of (i) zero, or (ii) the Strike Price minus the Index. Where this Transaction is a Straddle Option, the Cash Settlement Amount for each Determination Period shall be the sum of the product of (a) the Notional Quantity per day during the Determination Period, multiplied by (b) the absolute difference between the Strike Price and the Index. The term of the Transaction shall correspond to the date(s) set forth in the Product description on the Website. The Index shall be the Daily Midpoint price published on each calendar day during such Determination Period under the heading "Daily Price Survey" in the Louisiana -Onshore South - Henry Hub section of Gas Daily, or if a calendar day is not a Business Day then the price used shall be the Daily Midpoint price published on the next succeeding Business Day. The Strike Price for a Determination Period shall be the South Louisiana - Henry Hub Index price in the "Market Center Spot-Gas Prices" section located in the first issue of Inside Ferc's Gas Market Report published during such Determination Period.
The price is quoted in US Dollars per unit of volume, which will be the Contractual Currency.
The unit of measure against which the price is quoted shall be millions of British thermal units and the quantity shown shall be in millions of BTUs per day.
The Option Style is European, and the Option Type is a Straddle (the simultaneous buy or sale of Calls and Puts at the specified Strike Price).
Automatic Exercise is Applicable.


 -----Original Message-----
From: 	Renaud, Lindsay  
Sent:	Monday, August 20, 2001 10:27 AM
To:	Taylor, Mark E (Legal)
Subject:	Approval for US Gas Daily Straddle Opt - Long description

Mark,

Larry May has requested a new US Gas Daily Straddle Option and asked that we revise the long description on his current Daily Options. The long descriptions for both are provided below. Could you please review and approve these so that we can begin building in the system? If you have any questions, please give me a call.

US Gas Daily Stdle Opt	Hhub

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 number of calendar days during the Term of the Transaction, multiplied by (iii) the volume submitted by Counterparty on the website. 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 for each Determination Period shall be the sum of the product of (a) the Notional Quantity per day during the Determination Period, multiplied by (b) the absolute difference between the Strike Price and the Index. The term of the Transaction shall correspond to the date(s) set forth in the Product description on the Website.
The Index shall be the Daily Midpoint price published on each calendar day during such Determination Period under the heading "Daily Price Survey" in the Louisiana -Onshore South - Henry Hub section of Gas Daily, or if a calendar day is not a Business Day then the price used shall be the Daily Midpoint price published on the next succeeding Business Day. The Strike Price for a Determination Period shall be the South Louisiana - Henry Hub Index price in the "Market Center Spot-Gas Prices" section located in the first issue of Inside Ferc's Gas Market Report published during such Determination Period.
The price is quoted in US Dollars per unit of volume, which will be the Contractual Currency. The unit of measure against which the price is quoted shall be millions of British thermal units and the quantity shown shall be in millions of BTUs per day. The Option Style is European, and the Option Type is a Straddle (the simultaneous buy or sale of Calls and Puts at the specified Strike Price).
Automatic Exercise is Applicable.

US Gas Daily Opt HHub

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 number of calendar days during the Term of the Transaction, multiplied by (iii) the volume submitted by Counterparty on the website. 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. Where this Transaction is a Call Option, the Cash Settlement Amount shall be the sum of the greater of (i) zero, or (ii) the product of (a) the Notional Quantity per day during the Determination Period, multiplied by (b) the Index minus the Strike Price. Where this Transaction is a Put Option, the Cash Settlement Amount shall be the sum of the greater of (i) zero, or (ii) the product of (a) the Notional Quantity per day during the  Determination Period, multiplied by (b) the Strike Price minus the Index.
The term of the Transaction shall correspond to the date(s) set forth in the Product description on the Website.
The Index shall be the Daily Midpoint price published on each calendar day during such Determination Period under the heading "Daily Price Survey" in the Louisiana -Onshore South - Henry Hub section of Gas Daily, or if a calendar day is not a Business Day then the price used shall be the Daily Midpoint price published on the next succeeding Business Day. The Strike Price for a Determination Period shall be the South Louisiana - Henry Hub Index price in the "Market Center Spot-Gas Prices" section located in the first issue of Inside Ferc's Gas Market Report published during such Determination Period.
The price is quoted in US Dollars per unit of volume, which will be the Contractual Currency.
The unit of measure against which the price is quoted shall be millions of British thermal units and the quantity shown shall be in millions of BTUs per day.
The Option style and type shall be a European Call, ("EC"). Automatic Exercise is Applicable.


Thanks,
Lindsay

Lindsay Renaud
EnronOnline
(713) 345-3703