From: Vahe Stepanian
To: "Jeffrey E." <jeevacation@gmail.com>
CC: Daniel Sabba , Ariane Dwyer , Paul
Morris , Stewart Oldfield , Richard Kahn
Subject: FW: Trade ideas for shorting Asian currencies [C]
Date: Mon, 17 Aug 2015 22:51:25 +0000
Attachments: CNY_8.14.15.pdf
Classification: Confidential
Jeffrey — I've included additional pricing below to short Asian currencies on the back of conversations today with Rich.
Please let us know your thoughts and we can provide live pricing per your request. Pricing below is indicative and assumes
$50mm notional.
Thank you,
Vahe
USDKRW
Spot Ref: 1182.80
6m USDKRW Call Spreads
SOFL buys low strike and sells high strike (quoted as Low Strike / High Strike/ Premium as % of USD Notional)
- 1200 / 1250/ 1.15%
- 1220/ 1280/ 1.00%
6m USDKRW Premium Neutral Collars
SOFL buys the USDKRW call and sells the put option (quoted as Call Strike / Put Strike)
- 1220/ 1170
- 1230/ 1164
USDTWD
Spot Ref: 32.35
6m USDTWD Premium Neutral Collars
SOFL buys the USDTWD call and sells the put option (quoted as Call Strike / Put Strike)
- 33.50 /31.90
- 34.00 / 31.70
USDSGD
Spot Ref: 1.4070
6m USDSGD Premium Neutral Collars
SOFL buys the USDSGD call and sells the put option (quoted as Call Strike / Put Strike)
- 1.4250 / 1.4070
- 1.4500 / 1.3900
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Vanilla basket call
Equally-weighted basket in USDCNH and USDKRW
Strike/ Premium: ATMS / 2.51% 2.5% OTMS / 1.37%
Basket cheapening to vanillas: 15% 20%
Equally -weighted basket in CNN, KRW, SGD and TWD
Strike/ Premium: ATMS / 2.20% 2.5% OTMS/ 1.28%
Basket cheapening to vanillas: 17% 25%
Basket performance is sum of currency performance given by USDCCY final - USDCCY initial / USDCCY final spot
Payout = Max (0, Basket Performance - Strike)
Strike = 0.0% for ATMS and 2.5% for 2.5% OTMS
ATMS = At the money spot
OTMS = Out of the money spot
From: Vahe Stepanian
Sent: Monday, August 17, 2015 10:46 AM
To: 'jeffrey E.'
Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn'
Subject: FW: Trade ideas for shorting Asian currencies [C]
Classification: Confidential
Jeffrey - I'm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we
thought it made sense to revisit CNH options.
Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at
USDCNH call spreads instead.
Indicative pricing:
Spot ref = 6.444
SOFL buys Call, sells Call on USD/CNH in a Call Spread
Strikes 6.55 / 6.75
Notional: USD 50,000,000 USD
Expiry: Tue 17-Nov-2015 (3m)
Premium: SOFL pays 324,500 (USD 486,000:-161,500)
Premium Date: Wed 19-Aug-2015
SOFL buys Call, sells Call on USD/CNH in a Call Spread
Strikes 6.55 / 6.8
Notional: USD 50,000,000 USD
Expiry: Wed 17-Feb-2016 (6m)
Premium: SOFL pays 428,000 (USD 794,500:-366,500)
Premium Date: Wed 19-Aug-2015
SOFL buys Call, sells Call on USD/CNH in a Call Spread
Strikes: 6.55 / 7.10
Notional: USD 50,000,000 USD
Expiry: Wed 17-Aug-2016 (12m)
Premium: SOFL pays 783,500 (USD 1,216,000:-432,500)
Premium Date: Wed 19-Aug-2015
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I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY.
Note that the above options use CNN as underlying.
Please let us know if you have thoughts.
Thank you,
Vahe
Original Message
From: Richard Kahn [mailto 1
Sent: Monday, August 17, 2015 8:04 AM
To: Daniel Sabba; Vahe Stepanian
Subject: Trade ideas for shorting Asian currencies
Can you please send to Jeffrey and myself some trade ideas for shorting Asian currencies. Thank you.
Sent from my iPhone
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