Larry May

Larry May was a gas and power options trader at Enron North America from 2000 to 2002, managing the “Pipe/Gas daily option book” which specialized in physical pipeline basis options, NYMEX options, and weather derivatives. His portfolio was complex enough to require dedicated book administration staff, and at one point May requested two administrators to handle the workload. Beyond his trading responsibilities, May served as the primary internal recipient and distributor of market intelligence from PIRA (Petroleum Industry Research Associates), a leading energy research firm, making his desk a hub for fundamental market analysis within Enron’s gas trading operation.

May’s email archive in the Enron corpus contains 2,754 messages from 226 unique senders, spanning June 2000 to February 2002. Signature term analysis reveals that May ranked #1 across the entire Enron corpus for associations with “pira,” “victoria” (analyst Victoria Watkins), “morris” (analyst Morris Greenberg), “greenberg,” and “options,” quantitatively confirming his dual role as options specialist and market intelligence coordinator.

Career at Enron

Options Trading Desk

May worked on the gas trading desk at Enron North America, trading alongside senior gas trader John Arnold and colleagues including Mike Maggi, John Griffith, Dutch Quigley, Errol McLaughlin, and Joey Taylor. His phone extension was x6731, and his communications show him embedded within Enron’s Houston-based gas trading operations at 1400 Smith Street.

His primary responsibility was managing the “Pipe/Gas daily option book,” a portfolio focused on physical pipeline basis options. These instruments allowed counterparties to hedge the price differential between natural gas at different delivery points along the pipeline network, rather than hedging the absolute price of gas. This type of trading required deep understanding of both options pricing theory and the physical characteristics of the gas pipeline system, including flow constraints, storage dynamics, and regional supply-demand patterns.

Trading Products

May’s portfolio encompassed several distinct product types based on his email conversations and correspondence patterns:

• Physical pipeline basis options — The core of his book, hedging location differentials
• NYMEX natural gas options — Exchange-traded derivatives on the Henry Hub benchmark
• Weather derivatives — Instruments tied to temperature and degree-day indices
• Gas indices trading — Positions based on published price indices

Conversation topics in his archive confirm this specialization, with 46 emails discussing “Gas Daily Options,” 45 on “Gas Indices,” 57 on “Power Indices,” and 20 on “NN Demarc Options Nov 01 - Mar 04,” indicating trading of longer-dated location basis options.

EnronOnline Access

In January 2001, May sought expanded trading permissions on EnronOnline, Enron’s electronic trading platform. He emailed Stephanie Sever: “Please enable me to sell options on EOL (currently I am only able to buy). Thanks, Larry.” This request was forwarded to John Arnold in February 2001, suggesting that expansion of trading authority required approval from senior desk management. The request indicates that May was an active participant in Enron’s electronic trading infrastructure, not solely a voice-traded or broker-mediated market participant.

Book Administration

Portfolio Complexity

The complexity of May’s options book is illustrated by an email from February 2, 2001, in which he described the operational burden his portfolio placed on administrative staff.

The fact that calculating May’s positions required overnight work sessions and potentially two dedicated administrators indicates a portfolio of substantial size and complexity. Options books typically require daily mark-to-market calculations incorporating volatility surfaces, delta hedging requirements, and position Greeks across multiple strike prices and expiration dates, all of which become computationally intensive at scale.

Technical Systems: Volatility Skew

May was involved in sophisticated options pricing methodology, particularly the implementation of volatility skew for basis options valuation. Volatility skew refers to the observed market phenomenon where implied volatility varies across strike prices, typically with out-of-the-money puts trading at higher implied volatility than at-the-money options. Incorporating this effect into pricing models improves mark-to-market accuracy and risk measurement.

In late 2001, May’s team was developing volatility skew functionality in the “PortCalc” system for valuing his basis options. According to a November 2001 email, “In regard to the change in PortCalc to handle volatility skew for Larry’s basis options, Larry requested to have the change put on hold.” The implementation was later revisited for “NetCo” (likely a post-bankruptcy successor entity), with Brad Jones asking May in January 2002: “I am writing to ask if you would like to have pipe options valued with vol skew (the change that we put on hold in oct) for Netco.” May responded affirmatively.

The involvement of IT staff including Jennifer Song and Jeremy Wong on these PortCalc modifications, along with risk management oversight, indicates that May’s trading operation required dedicated systems development support beyond standard desk infrastructure.

Market Intelligence: PIRA

Primary Distribution Hub

May’s most distinctive role at Enron was serving as the primary internal recipient and distributor of research from PIRA (Petroleum Industry Research Associates), a leading energy market research and consulting firm based in New York. His corpus-wide ownership score of 39.62 for the term “pira” far exceeds any other Enron employee.

PIRA provided fundamental market analysis covering supply-demand balances, weather impacts, OPEC decisions, and price forecasting across energy commodities. For an options trader, this type of information was essential for forming views on future volatility and price direction, key inputs for options positioning and risk management.

PIRA Analysts

May maintained regular contact with several PIRA analysts, as evidenced by his signature term ownership:

Standard emails from PIRA included the instruction: “Please contact Morris Greenberg and Victoria Watkins for more information regarding these reports at [email protected] and [email protected], respectively. For distribution requests, contact John Graziano at [email protected]. We can all be reached at (212) 686-6808.”

Research Products

May’s archive shows he received a comprehensive suite of PIRA research products:

• Daily Demand Forecast — Extended daily gas demand projections
• Gas Flash Weekly — Weekly natural gas market analysis
• OPEC LOG — Updates on OPEC production decisions (24 emails)
• Current News & Analysis — Daily market commentary (39 emails)
• Power Indices — Electricity market data (57 emails)
• Gas Indices — Natural gas price index data (45 emails)

The variety and frequency of these reports indicate that May’s desk served as an intelligence aggregation point for the broader gas trading operation, collecting and potentially redistributing fundamental market data to colleagues.

Industry Briefings

May actively participated in PIRA-organized industry events. In response to an invitation to a PIRA Natural Gas Briefing in July 2000, he wrote simply: “I will attend. Larry May x6731.” This engagement with external market intelligence providers was consistent with Enron’s emphasis on information advantage in trading operations.

Key Correspondents

May’s correspondence network reveals close ties to the gas trading desk, external market intelligence sources, and brokerage relationships.

The concentration of PIRA contacts among his top correspondents quantitatively confirms May’s role as the primary PIRA interface within Enron. His 275 messages with John Arnold indicate a close working relationship with one of Enron’s most successful traders.

External Brokerage Relationships

Beyond PIRA, May maintained relationships with external brokers and execution venues:

CarrFutures (later Carr Futures) served as a brokerage partner, with 73+ messages from their representatives. CarrFutures likely provided execution services and market data for physical and financial energy products.

Amerex Energy provided options market access. R. Todd Gross, a NYMEX/Location/Basis Options representative at Amerex Energy, appears in May’s top correspondents. This relationship aligned with May’s focus on basis options trading.

Email Activity Timeline

May’s email volume shows distinct phases, with an exceptional concentration during spring 2001.

April-May 2001 Peak

The dramatic spike in April-May 2001, comprising over 51% of May’s entire email corpus in just two months, may reflect several factors:

California Energy Crisis: Spring 2001 coincided with the peak of the California electricity crisis, when energy markets experienced extreme volatility. An options trader would have faced intensive activity managing positions, adjusting hedges, and responding to market conditions during this period.

Book Growth: May’s portfolio may have expanded during this period, requiring increased coordination with colleagues, brokers, and administrative staff.

Data Archiving: The concentration could partially reflect archiving or data migration patterns rather than actual email activity, though the sustained volume through 2001-2002 suggests the baseline activity is genuine.

July 2001 Gap

The near-complete absence of emails in July 2001 (only 2 messages) is unexplained by the archive. Possible explanations include extended leave, a role change, or archiving gaps. The return to normal volume in subsequent months indicates May remained at Enron through the bankruptcy period.

Post-Bankruptcy Period

May’s archive extends through early 2002, including his January 2002 approval of volatility skew implementation for “NetCo.” This reference to NetCo suggests May was involved in transition planning for successor entities following Enron’s December 2001 bankruptcy filing. The continued focus on technical trading systems indicates an expectation that options trading operations would continue under new ownership.

Whether May transitioned to UBS Warburg Energy (which acquired Enron’s trading operations in February 2002) or departed Enron at bankruptcy is not documented in the available email archive.

Legal Status

Larry May does not appear as a defendant in the Department of Justice’s Enron prosecutions or in SEC enforcement actions. Web searches for “Larry May Enron” do not return any court documents, DOJ press releases, or regulatory filings mentioning him specifically. His role as a mid-level options trader, removed from corporate financial reporting and executive decision-making, placed him outside the scope of criminal investigations targeting Enron’s accounting fraud and market manipulation schemes.

See Also

• John Arnold — Senior gas trader, May’s close colleague
• Mike Maggi — Gas trader on the same desk
• John Lavorato — President of Enron Americas
• Susan Scott — Book administrator for May’s options portfolio

References

This article is based on Larry May’s email archive containing 2,754 messages from 226 unique senders, spanning June 2000 to February 2002. The archive documents his options trading activities, PIRA market intelligence distribution, and technical systems work. Note that the archive shows anomalous concentration in April-May 2001 and a near-complete gap in July 2001, which may reflect either operational events or archiving artifacts.