From: Richard Kahn
To: "jeffrey E." <jeevacation@gmail.com>
Subject: Fwd: Trade ideas for shorting Asian currencies [C]
Date: Mon, 17 Aug 2015 14:55:41 +0000
Attachments: CNY_8.14.15.pdf
unclear why Vahe only focused on CNH only
not sure if this it to plain vanilla by just shorting FXY ETF by buying puts or selling calls
http://finance.yahoo.com/q/op?s=FXY&date=1452816000
please advise
thank you
Richard Kahn
HBRK Associates Inc.
575 Lexington Avenue 4th Floor
New York NY 10022
tel
fax
cell
Begin forwarded message:
From: Vahe Stepanian
Subject: FW: Trade ideas for shorting Asian currencies [C]
Date: August 17, 2015 at 10:46:28 AM EDT
To: "jeffrey E." <jeevacation mail.com>
Cc: Daniel Sabba < , Ariane Dw er >. Paul Morris
>, Stewart Oldfield < Richard Kahn
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
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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
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
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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