From: Vahe Stepanian
Sent: 5/4/2015 1:44:15 PM
To: 'Jeffrey Epstein' [jeevacation@gmail.com]
CC: Paul Morris ;'Richard Kahn' l; Daniel Sabba
I ; Ariane Dwyer ; Stewart Oldfield
Subject: RE: DB James Malcolm: Are the Bo) shifting stance? Own some cheap optionatity..... [CI
Jeffrey- bid/ask below per your request. There was a typo in the previous email, the mid represented was not the
mid on the structure but an offer on one of the legs. To clarify, we priced the structures by choosing a strike on
the USD/JPY put sale, then solving for the call.
Spot ref = 120.15
#1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 118.00
Call Strike: 122.45
Notional: USD 10,000,000 USD
Expiry: Thu 06-Aug-2015 (3m)
As a spread:
Price on the 118.00 is 103,000 / 113,000
Price on the 122.45 is 103,000 choice
#2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 117.00
Call Strike: 123.45
Notional: USD 10,000,000 USD
Expiry: Thu 05-Nov-2015 (6m)
Settlement: Mon 09-Nov-2015
As a spread:
Price on the 117 is $149,100 / $160,000
Price on the 123.45 is $149,100
#3) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 116.00
Call Strike: 125.00
Notional: USD 10,000,000 USD
Expiry: Thu 05-Nov-2015 (6m)
Settlement: Mon 09-Nov-2015
ZoneCut: NY
As a spread:
Price on the 116.00 is $117,500 / $130,000
Price on the 125.00 is $117,500 choice
Thank you,
Vahe
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0083379
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