From: Richard Kahn
To: "jeffrey E." <jeevacationggmail.com>
Subject: Fwd: indication on WTI risk reversals [C]
Date: Tue, 31 May 2016 15:29:57 +0000
Richard Kahn
HBRK Associates Inc.
575 Lexington Avenue 4th Floor
22
Begin forwarded message:
From: Vahe Stepanian
Subject: RE: indication on WTI risk reversals [C]
Date: May 31, 2016 at 11:01:09 AM EDT
To: Richard Kahn <
Cc: Daniel Sabba < >, Stewart Oldfield
Classification: Confidential
Rich,
Please see below refreshed indications — these levels are not tradable. We did not refresh the $50 strikes as they are
well in the money now. Further, we heard back from our Credit Risk Management team and they would require 40% IA
for the below transactions in cash or treasures (i.e. approx. $20mm on 1mm barrels of WTI).
Notional: 1mm barrels of WTI
WTI futures references:
CLUE ref 50.75, option exp 17Aug16
CLZ6 ref 51.65, option exp 16Nov16
CLH7 ref 52.00, option exp 15Feb17
Premium neutral risk reversals on WTI - Indications
Southern financial buys calls and sells puts for zero net premium.
These are listed look-alike structures to be executed through Southern Financial's ISDA.
option exp 17Aug16
Future reference: CLU6
Call strike: 55
Put strike: 47.00
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option exp 16Nov16
Future reference: CLZ6
Call strike: 55
Put strike: 48.90
option exp 15Feb17
Future reference: CLH7
Call strike: 55
Put strike: 49.85
Thank you,
Vahe
From: Richard Kahn [mailto:
Sent: Tuesday, May 31, 2016 10:17 AM
To: Daniel Sabba; Vahe Stepanian
Subject: Re: indication on WTI risk reversals
can you please refresh attached quote
thank you
Richard Kahn
HBRK Associates Inc.
575 Lexington Avenue 4th Floor
On May 20, 2016, at 11:06 AM, Daniel Sabba > wrote:
Please note these are indications — these levels are not tradable. We need Credit Risk sign off, assessment of any
potential credit charges and initial amounts before trading. Any credit charges would impact these indications.
Notional: 1mm barrels of WTI
WTI futures references:
CLUE ref 49.55, option exp 17Aug16
CLZ6 ref 50.00, option exp 16Nov16
CLH7 ref 50.20, option exp 15Feb17
Premium neutral risk reversals on WTI - Indications
Southern financial buys calls and sells puts for zero net premium.
These are listed look-alike structures to be executed through Southern Financial's ISDA.
option exp 17Aug16
Future reference: CLU6
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Call strike: 55
Put strike: 45
Call strike: 50
Put strike: 49.75
option exp 16Nov16
Future reference: CLZ6
Call strike: 55
Put strike: 45.90
Call strike: 50
Put strike: 50.4
option exp 15Feb17
Future reference: CLH7
Call strike: 55
Put strike: 46.50
Call strike: 50
Put strike: 51
Daniel Sabba
Deutsche Bank Securities Inc.
Tel.
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