Background
Sv is near the middle of a 5mth 101-105 range
Implied vol is low, 1w 6.3, lm 7.3, 3m 7.5, 6m, 8.4, ly 9.25, but
appropriate as Sv hardly moves.
The Government is pressuring the BoJ to add additional QE in July. Over
the weekend the Government shook up the investment committee members of
the governments pension fund (GPIF) with the hope of stimulating pension
allocation from bonds into equities.
Pricing
i priced a dozen option variations. still, the are only two ways I'd
play Sv right now (this view hasnt changed in 2014)
1. wait for some new catalyst to emerge then buy spot or call options
after its moved 1-2 points, rather than paying decay while it goes
nowhere
2. buy a 10y call with an ITM american style knockout which a) has some
gamma and b) decays positively if nothing happens
je indicated lOy options arent his thing. also, the option he bought has
already decayed. he can rescue whats left (40-50k) or let it expire.
given where spot is relative to his strike, personally id let it run off
and hope Sv rallies 50-100pips over the next 9 days then lock in the
gain.
If he really needs to buy something i suggest a 3mth OTM call - thats
the sweet spot in the vol curve. vols are too low for me to suggest
selling OTM puts.
Nay
Tazia Smith---22/04/2014 16:57:06---Classification: For internal use
only
From: Tazia Smith
To: Nav Gupta ,
Date: 22/04/2014 16:57
subject: Reminder: send idea to 3E on 3PY (i]
classification: For internal use only
Tazia Smith---04/21/2014 03:03:44 PM---classification: For internal use
only thx ;)
From: Tazia Smi'
To: Nav Gupta ,
Cc: Paul Morris , Vinit
Date: 04/21/2014 03:03 PM
Subject Re: Jeffrey - latest prices with suggested sizes - Nav [I]
classification: For internal use only
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 111762
CONFIDENTIAL SDNY_GM_00257946
EFTA01453908