FW: DB James Malcolm: Are the Bal shifting stance? Own some cheap optionality [CI [II
these prices seem wrong. please send me bid and ask for each put call and strike.
On Mon, May 4, 2015 at 10:00 AM, Vahe Stepanian wrote:
Classification: Confidential
Jeffrey- please find risk reversal pricing below per your request.
Spot ref = 120.15
#1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 118.00
Call Strike: 122.45
Notional: USD 10,000,000 USD
Expiry: Thu 06-Aug-2015 (3m)
Structure Mid: USD -113,000
#2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 117.00
Call Strike: 123.45
Notional: USD 10,000,000 USD
Expiry: Thu 05-Nov-2015 (6m)
Structure Mid: USD -160,000
#3) SFLLC sells Put, buys Call on USD/WY in a premium neutral Risk Reversal
Put Strike: 116.00
Daniel, are you reviewing before going out to clients?
Paul Morris
Managing Director
Deutsche Bank Private Bank
From: jeffrey E. [mailto:jeevacation©gmail.com] Sent: Monday, May 04, 2015 10:08 AM To: Vahe Stepanian Cc: Paul Morris; Daniel Sabba; Ariane Dwyer; Richard Kahn Subject: Re: DB James Malcolm: Are the Bo) shifting stance? Own some cheap optionality..... [C]
these prices seem wrong. please send me bid and ask for each put call and strike.
On Mon, May 4, 2015 at 10:00 AM, Vahe Stepanian wrote:
Classification: Confidential
Jeffrey- please find risk reversal pricing below per your request.
Spot ref = 120.15
#1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 118.00
Call Strike: 122.45
Notional: USD 10,000,000 USD
Expiry: Thu 06-Aug-2015 (3m)
Structure Mid: USD -113,000
#2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 117.00
Call Strike: 123.45
Notional: USD 10,000,000 USD
Expiry: Thu 05-Nov-2015 (6m)
Structure Mid: USD -160,000
#3) SFLLC sells Put, buys Call on USD/WY in a premium neutral Risk Reversal
Put Strike: 116.00