tomorrow morning can you price 45 / 55 WTI reversals
i understand it may not be cashless however Jeffrey would like to see that level of pricing
thank you
Richard Kahn
HBRK Associates Inc.
575 Lexington Avenue 4th Floor
New York, NY 10022
tel
fax
cell
On May 31, 2016, at 11:01 AM, Vahe Stepanian < > wrote:
Classification: Confidential
Rich,
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 lmm 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
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0077773
CONFIDENTIAL SDNY_GM_00223957
EFTA01379885