From: Vahe Stepanian <
To: "Jeffrey E." <jeevacationggmail.com>
CC: Daniel Sabba , Ariane Dwyer , Paul
Mon-is , Stewart Oldfield , Richard Kahn
Subject: FW: Trade ideas for shorting Asian currencies [C]
Date: Mon, 17 Aug 2015 14:46:28 +0000
Attachments: CNY_8.14.15.pdf
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 LISD/CNI-lin 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 LISD/CNI-lin 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 LISD/CNI-lin 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
I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY.
Note that the above options use CNH 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
EFTA00848516
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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