Strike/ Premium: ATMS/231% 2.5% OTMS / 1.37%
Basket cheapening to vanillas: 15% 20%
Equally -weighted basket in CNH, KRW, SGD and TWD
Strike/ Premium: ATMS / 2.20% 2.5% OTMS/ 1.28%
Basket cheapening to vanillas: 17% 25%
Basket performance is sum of currency performance given by USDCCY final - USDCCY initial / USDCCY final spot
Payout = Max (0, Basket Performance - Strike)
Strike = 0.0% for ATMS and 2.5% for 2.5% OTMS
ATMS = At the money spot
OTMS = Out of the money spot
From: Vahe Stepanian
Sent: Monday, August 17, 2015 10:46 AM
To: 'Jeffrey E.'
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn'
Subject: FW: Trade ideas for shorting Asian currencies [C]
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
Notional: USD 50,000,000 USD
Expiry: Tue 17-Nov-2015 (3m)
Premium: SOFL pays 324,500 (USD 486,000:161300)
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.
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073172
CONFIDENTIAL SDNY_GM_00219356
EFTA01376784