From: Richard Kahn
To: "jeffrey E." leevacation@grnall.com>
Subject: Fwd: indication on WTI risk reversals
Date: Fri, 20 May 2016 15:20:30 +0000
is attached sufficient or shall i put it in a spreadsheet for you
please advise
thank you
Richard Kahn
HBRK Associates Inc.
575 Lexington Avenue 4th Floor
New York, NY 10022
tel
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eel
Begin forwarded message:
From: Daniel Sabba
Subject: indication on its t reverse s
Date: May 20, 2016 at 11:06:25 AM EDT
To: "jeffre E." <eevacation mail.com> Richard Kahr "Darren
Indyke
Cc: Vahe epanian , Gben a Omosu i
Paul Morris Stewart Oldfield
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
Call strike: 55
Put strike: 45
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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.
Em
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