Ruble binary update on RUB strength.... [C]
ruble short . lets play
Jeffrey -
Consider the USDRUB 1-mo binary for —25.5% (very sensitive to spot, so indicative level, we'd work an order 26% or better).
vanilla calls for comparison, lmth 3% OTM vanilla call is —0.57%/0.67% (12.4% / 13.25% vol) 2mth 4.25% OTM vanilla call is — 0.96%/1.08% (12.2% / 13% vol)
Nav highlights the binary below, where the payout is much cleaner. Ruble weakens 3% (european observation)in this example, and payout is $1mm for $255k invested:
1-MONTH USD/RUB 3% OTM BINARY CALL costs 25.4% of payout
European Digital on USD/RUB
Strike: 37.55
Payout: USD 1,000,000
Payout Ccy: USD
Expiry: Fri 11-Apr-2014
Settlement: Mon 14-Apr-2014
ZoneCut: MO
Premium: USD 255,000
Premium Date: Fri 14-Mar-2014
This Digital pays the owner USD 1,000,000 if USDRUB is above 37.55 at the time of expiry.
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
Floor
E-mail:
do nav trade
Ok on it
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
Floor
E-mail:
Jeffrey - That's done at 25.7% ($257k premium paid, $1mm binary payout) at a strike of 37.595 USDRUB. Detail below.
TradeTypeFxDigitalOpt
BuySellClient Buys
CurrencylUSD
CPCall
Notional11,000,000
Currency2RUB
Strike37.595
ZoneCutMO: 12:30 hours (Local time in Moscow) 09:30 hours London time
ExpiryDateMon 14 April 2014
SettlementDateTue 15 April 2014
FixingReferenceCME/EMTA
Premium257,000
PremiumTermsUSD
PremiumDateFri 14 March 2014
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
345 Park Avenue - 26th Floor
New York, NY 10154
Tel: (212) 454-2889
Jeffrey -
Just keeping you posted as USDRUB responds to Putin's "diplomacy"...
You are down $167,000 on your USDRUB Binary, 37.595 strike for $1mm payout, european observation on 4/15.
Indicative bid on the binary is $83,000, spot ref 35.91
Source: DB FX Trading, 3/19/14
1-Month USDRUB Price History
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1-Year USDRUB Price History
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