Enron recently sold a summer season basket option based on the temperature in Marseilles, Berlin and London. The trade was noteworthy because it is believed to be one of the first basket options transacted in the European weather derivatives market, according to Philippe Chauvancy, v.p. business development at United Weather in Jersey City, N.J. United Weather brokered the several million dollar (notional) transaction on behalf of a French financial institution, Chauvancy continued. He declined to name the counterparty.
The basket consists of cooling degree-day calls based on the temperature in Marseilles and London and a ccd put on the temperature in Berlin between May and September. An Enron spokeswoman was unable to provide information on the transaction by press time.
