From: Laurie Cameron alMille
To: Jeffrey Epstein
Subject: 29 Sept position and update
Date: Mon, 30 Sep 2013 03:37:45 +0000
Attachments: SEPT_29.xls
Please see attached an updated position from prices from my FENICS pricer tonight. I do
find differences between these prices and JPM prices, I will get JPM to update with their
prices tomorrow am.
I understand your frustration with the performance. I should have locked in the gains on
the currency calls more quickly than I did. I did not believe that Congress would push the
country/economy to the point of debt default. The main drags on the performance are
- the short 1.57 GBP call
- the short .82/.8450/.7680 NZD call
- the short .92 AUD call
A realized loss on an NZD forward contract (delta hedge) reversed the realized
performance from positive to negative.
In light of what is happening in Washington, I have been rolling out of the short currency
call risk and replacing the calls with strangles in order to reduce the single directional risk
and raise the strike of the calls. The strangles allow me to leg out of the two positions over
time and hopefully make back the losses realized in closing out the short calls. This is a
good trading tactic as long as there is not a complete directional meltdown.
Tomorrow I can roll these calls into strangles or reduce/close the three bad calls and work
out of other positions completely. Please let me know if you would prefer that I reduce the
directional risk or close the currency calls without initiating the new strangles.
Market reaction in Asia - USD has sold off most vs JPY and GBP in Asian trading today.
USD has actually risen vs AUD and NZD as these currencies are considered to be sensitive
to global growth and suffer when there is a fear that risk appetites will be reduced and
global economic activity will slow.
This has been such a difficult month and I'm sorry that the performance has turned around
in the past week. I remain grateful for the opportunity very much and will follow your
direction in the week ahead.
With kind regards
Laurie
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