Subject: re : options model
jeff ,
i got 20 cents for the swith option per dth . my assumptions are as follows :
price curve assumption :
waha - - - if - waha
la plata pool and tw ( ignacio ) - - if - epso / sj
california border - - ngi - socal
correlation assumption :
waha - sj 95 %
socal - sj 90 %
see the attached spreadsheet for more info . call me for questions .
zimin
jeffery fawcett @ enron
10 / 11 / 2000 02 : 56 pm
to : zimin lu / hou / ect @ ect
cc :
subject : options model
zimin ,
we ' re trying to price out a " live " options deal . here are the parameters :
volume : 32 , 000 dth / d
term : jan . 1 , 2002 through oct . 31 , 2006 ( 58 mos . )
price : one part rate , $ 0 . 2175 / dth , plus applicable fuel
primary receipt / delivery points : ( east - to - east transport )
receipt : la plata pool ( use san juan , blanco price equivalent )
delivery : waha area
option :
alternate delivery pnt . : california border ( east - to - west transport )
price :
floor - $ 0 . 2175 / dth , plus 4 . 75 % pipeline fuel , plus 50 % of the difference
between the california border index
price and the san juan basin index price . specifically , we ' ll use :
( socalgas large pkgs . minus tw ( ignacio , pts . south ) )
an important things to consider :
this option is only for alternate firm deliveries . alternate firm is really
just a glorified version of interruptible .
can you run the option model and tell me what is the dollar value of this
rather " unpure " option ?
i appreciate it . give me a call at 3 - 1521 if you have any questions . also ,
can you get us an answer by friday , 10 / 13 / 00 ? we ' re looking to get the
proposal out to the customer by the end of the week if possible . thanks .