From: "Ens, Amanda"
To: ' , "Jeffrey E."
<jeevacation(k,gmail.com>
Subject: USDMXN trade ahead of debate
Date: Mon, 26 Sep 2016 16:07:09 +0000
Attachments: Tnunps_effect_on_MXN.pdf
Inline-Images: image001.png; image002.jpg; image003.png
With the first US presidential debate just a few hours away and MXN trading at all time lows, we are finally seeing interest
to bottom fish the Peso. MXN shorts are at record highs and levels start to look stretched. BAML economist Carlos
Capistran's analysis suggest that the Peso should be trading at 16.50.
Indicatively, buy USDMXN 6-month 19.038 put funded with USDMXN 6-month 22.000 call for net zero premium (19.82
spot ref, -57% delta).
We have also seen clients express similar views looking for upside in EWW (MSCI Mexico ETF).
We're limited in our ability to execute this here without an ISDA but I wanted you to be aware of the idea.
If you do wish to trade here at BAML, I can look into fully funded or structured note format.
; :jcid:image002.png@OlD217E9.44D479C0
Indicative payoff at maturity (MXN)
EFTA00817167
mcid:image004.jpg@OlD217E9.4A808080
Source: Bloomberg
Relevant research attached.
Amanda Ens
Director
Bank of America Merrill Lynch
Merrill Lynch, Pierce, Fenner & Smith Incorporated
Phone: Mobile:
The power of global connections"'
lacid:image001.png@OlD1B4D
2.34B2F410
This message, and any attachments, is for the intended recipient(s) only, may contain information that is
privileged, confidential and/or proprietary and subject to important terms and conditions available at
http://www.bankofamerica.com/emaildisclaimer. If you are not the intended recipient, please delete this message.
EFTA00817168