Subject: RE: Trade ideas for shortin Asian currencies [C] From: Stewart Oldfield Date: Mon, 17 Aug 2015 11:05:14 -0400 To: Vahe Stepanian Cc: Daniel Sabba Ariane Dwyer Paul Morris < Classification: Confidential Maybe should express strikes and premium as % of spot? Hard to tell what the leverage is on the bet From: Vahe Stepanian Sent: Monday, August 17, 2015 10:46 AM To: jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: FW: Trade ideas for shorting Asian currencies [C] Classification: Confidential Jeffrey - I'm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we thought it made sense to revisit CNH options. Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at USDCNH call spreads instead. Indicative pricing: Spot ref = 6.444 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.75 6.55/ EFTA01411982 Notional: Expiry: (3m) Premium: 486,000:-161,500) USD 50,000,000 USD Tue 17-Nov-2015 SOFL pays 324,500 (USD Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.8 Notional: USD Expiry: 6.55 / USD 50,000,000 Wed 17-Feb-2016 (6m) Premium: SOFL pays 428,000 (USD 794,500:-366,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes: 7.10 Notional: Expiry: (12m) 6.55 / USD 50,000,000 USD Wed 17-Aug-2016 Premium: SOFL pays 783,500 (USD 1,216,000:-432,500) Premium Date: Wed 19- EFTA01411983 Aug-2015 I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY. Note that the above options use CNN as underlying. Please let us know if you have thoughts. Thank you, Vahe Original Message From: Richard Kahn [mailto: Sent: Monday, August 17, 2015 8:04 AM To: Daniel Sabba; Vahe Stepanian Subject: Trade ideas for shorting Asian currencies Can you please send to Jeffrey and myself some trade ideas for shorting Asian currencies. Thank you. Sent from my iPhone EFTA01411984