We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals.
Thank you,
Vahe
From: Jeffrey E. [mailto.teevacation@qmail.com]
Sent: Monday, June 29, 2015 3:20 PM
To: Vahe Stepanian; Richard Kahn; Paul Morris
Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C]
what is 2 million euro payout mean
On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepanian <vahe.stepanian@db.com> wrote:
Classification: Confidential
Jeffrey - 6m and ly pricing on premium neutral, digital risk reversals are below per your request.
Please note these were priced with 2mm EURO payout.
1.1180 EURUSD spot ref
6m
Client buys 1.0750 digital put, European observation
Client sells 1.1845 digital call, European observation
Net premium: zero
ly
Client buys 1.0750 digital put, European observation
Client sells 1.2175 digital call, European observation
Net premium: zero
Compared this with vanilla risk reversals:
For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium
For ly structure: 1.0750 / 1.1630 vanilla reversal is zero net premium
Thank you,
Vahe.
From: Daniel Sabba
Sent: Monday, June 29, 2015 12:32 PM
To: 'Jeffrey E.'
Subject: RE: Longer Dated EUR Downside (3y structures) [C]
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0049540
CONFIDENTIAL SDNY_GM_00195724
EFTA01360900