From: "Ens, Amanda" To: ' <jeevacation(k,gmail.com> Subject: USDMXN trade ahead of debate Date: Mon, 26 Sep 2016 16:07:09 +0000 Attachments: Tnunps_effect_on_MXN.pdf Inline-Images: image001.png; image002.jpg; image003.png , "Jeffrey E." With the first US presidential debate just a few hours away and MXN trading at all time lows, we are finally seeing interest to bottom fish the Peso. MXN shorts are at record highs and levels start to look stretched. BAML economist Carlos Capistran's analysis suggest that the Peso should be trading at 16.50. Indicatively, buy USDMXN 6-month 19.038 put funded with USDMXN 6-month 22.000 call for net zero premium spot ref, -57% delta). We have also seen clients express similar views looking for upside in EWW (MSCI Mexico ETF). We're limited in our ability to execute this here without an ISDA but I wanted you to be aware of the idea. If you do wish to trade here at BAML, I can look into fully funded or structured note format. ; :jcid:image002.png@OlD217E9.44D479C0 Indicative payoff at maturity (MXN) (19.82 EFTA00817167 mcid:image004.jpg@OlD217E9.4A808080 Source: Bloomberg Relevant research attached. Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated Phone: Mobile: The power of global connections"' lacid:image001.png@OlD1B4D 2.34B2F410 This message, and any attachments, is for the intended recipient(s) only, may contain information that is privileged, confidential and/or proprietary and subject to important terms and conditions available at http://www.bankofamerica.com/emaildisclaimer. If you are not the intended recipient, please delete this message. EFTA00817168