sanctions. My sense is the Obama 5m of 696m SPR release is to show Merkel and co he will step in. He needs to because there are 8 small European and Baltic countries that rec 70%+ of their gas from Russia. Germany gets 30%.
Cross asset correlations outside of the US are increasing past few days - eg copper and the Turkish lira hourly
charts are on top of each other past 4 days. I'm worried there is a 30-40pct(?) chance of a hard risk off move in markets in first half of next week - more focused on European equities, copper, EM FX (Turkey, ZAR, Ruble
etc) than SPX. In that scenario oil is way up.
Exchange WTI calls - there are 2 options (as of 3pm est): Sday expiry 17march 2014 underlying clj4 97.92 and
35d expiry 16april2014 underlying clk4 97.59
** The 5 day options are a bit short - one possibility is sell a 3usd out of the money put (95.5 strike) for 20cents and buy a 2usd OTM 100 call for 25. Net pay Scents. But 5d is a bit short for me.
**For 35d expiry You could look at selling 91.50 (6usd OTM put) for 56cents and buying 103c (5.5usd OTM) for 58cents or the 102c (4.5usd OTM) for 76cents.
CL1 <comdty> OMON on Bloomberg has live strikes and bid/ask.
If 5d is too short and 35d is too long / not enough gamma, Tazia may be able to source liquidity from the street. Am Cc'ing her for any live pricing or additional comment
Best Nav
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