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WTI Market Maker Simulation (continuous trading) Fill Roll Gap 20 December, 2000

WTI Market Maker Simulation (continuous trading) Fill Roll Gap 20 December, 2000. John Lavorato Chief Operating Officer, Enron Wholesale Services Prepared by Zimin Lu, Stinson Gibner, Hector Campos Enron Research. “Fill Gap” Assumptions. Continuous trading.

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WTI Market Maker Simulation (continuous trading) Fill Roll Gap 20 December, 2000

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  1. WTI Market Maker Simulation (continuous trading) Fill Roll Gap20 December, 2000 John Lavorato Chief Operating Officer, Enron Wholesale Services Prepared by Zimin Lu, Stinson Gibner, Hector Campos Enron Research

  2. “Fill Gap” Assumptions Continuous trading At contract expiration, current month position is closed at the expiration date close price. An open position is established in the next contract. Size = old position plus adjustment for position change as if trading had occurred across the gap in prices between the expiring contract and the next contract. When open position exceeds net open allowed, excess position is liquidated at the daily close price 1

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