WTI Market Maker Simulation (continuous trading) Fill Roll Gap 2 (Roll on 2 nd last day) 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 1 Day prior to contract expiration, current month position is closed at the 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

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