email_body: Please take a look at Vig's effort to detect price arbitrage behavior on TW  using the same method that Steve Kirk used on Northern.
  You'll recall that  Steve's chart on Northern showed an very close correlation between the  calculated arb opportunity and the direction and size of the aggregate  customer imbalances, by month.
  Proving once again that TW is just a little  different, that method shows no correlation at all on TW.
  I agree with Vig's  conclusion that we should not use this data in the 637 filing.
  I tried one alternative reading of the data to see if I could find a  correlation.
  Steve's method evenly weights the value of arb opportunities  that occur early and late in a month.
  Please tell me if you agree, marketing  folks, but I think a more logical approach would risk-weight the apparent arb  opportunites.
  In other words, an apparent opportunity to short TW and sell  the gas for a $.25/mmbtu profit on the 5th of a month is unlikely to generate  arb behavior because a trader has no idea on the 5th what the cash out index  will be at the end of the month.
  In contrast, an opportunity to make $.25 on  the 25th of a month, when a trader can calculate pretty closely what the  monthly index will be, is basically free money.
  Using that logic, I ignored  any apparent arb opportunites in the first half of the month.
  I eyeballed  the timing and size of the arb opportunites (i.e., there's a $.70-.90 arb  opportunity to short TW from the 23d to the end of May, 2000) rather than  using Steve's mathematical approach.
  I still didn't see the kind of  correlation I'd expect.
  The correlation is directionally positive in only 4  out of 12 months, and the size of the imbalances doesn't even make sense in  the months that correlate on direction.
  I give up, and am removing the arb  argument from the daily imbalance section of the draft.
  I'll route that  separately.
  Thanks to Vig, Susan, Lorraine and Richard for hustling on this analysis.
  "Its better to try [to find a correlation] and fail than never to try at all.
  .
  .."
  
subject_line: tw indeces
  