From: "Jeffrey E." <jeevacation®gmail.com>
To: Paul Barrett
Subject: Re: Euro
Date: Wed, 19 Jul 2017 15:02:48 +0000
Yes
On Wed, Jul 19, 2017 at 10:39 AM Paul Barrett < > wrote:
Jeffrey
Tried calling.
We can buy euro calls through Merrill on the ETF. It's not ideal but all we have for now. Vol is around 7pct
which is a decent level.
I would start by buying 3 month 1.1700 equivalent calls on the FXE which tracks the EURO. Spend $100,000
to start. Controls around 10mm notional.
AND:
Then put on a 1.1250 x 1.1750 risk reversal on 5mm (buy the 1.1750 calls and sell the 1.1250 puts) Solve to
make it cashless.
Paul
Paul Barrett
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