Please see below refreshed indications — these levels are not tradable. We did not refresh the $50
strikes as they are well in the money now. Further, we heard back from our Credit Risk Management
team and they would require40% IA for the below transactions in cash or treasures (i.e. approx.
$20mm on 1mm barrels of WTI).
Notional: 1mm barrels of WTI
WTI futures references:
CLU6 ref 50.75, option exp 17Aug16
CLZ6 ref 51.65, option exp 16Nov16
CLH7 ref 52.00, option exp 15Feb17
Premium neutral risk reversals on WTI - Indications
Southern financial buys calls and sells puts for zero net premium.
These are listed look-alike structures to be executed through Southern Financial's ISDA.
option exp 17Aug16
Future reference: CLU6
Call strike: 55
Put strike: 47.00
option exp 16Nov16
Future reference: CLZ6
Call strike: 55
Put strike: 48.90
option exp 15Feb17
Future reference: CLH7
Call strike: 55
Put strike: 49.85
Thank you,
Vahe
From: Richard Kahn [mailtoliiiip
Sent: Tuesday, May 31, 201
To: Daniel Sabba; Vahe Stepanian
Subject: Re: indication on WTI risk reversals
can you please refresh attached quote
thank you
Richard Kahn
HBRK Associates Inc.
575 Lexington Avenue 4th Floor
New York, NY 10022
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