CLZ6 ref 50.00, option exp 16Nov16
CLH7 ref 50.20, 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: 45
Call strike: 50
Put strike: 49.75
option exp 16Nov16
Future reference: CLZ6
Call strike: 55
Put strike: 45.90
Call strike: 50
Put strike: 50.4
option exp 15Feb17
Future reference: CLH7
Call strike: 55
Put strike: 46.50
Call strike: 50
Put strike: 51
Daniel Sabba
Deutsche Bank Securities Inc.
Tel. +1 212 454 0857
Email
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CONFIDENTIAL SDNY_GM_00214058
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