From: Paul Morris
Sent: 6/30/2015 1:11:39 PM
To: Vahe Stepanian
Subject: RE: Longer Dated EUR Downside (3y structures) [CI
Do u need help reaching him
Original Message
From: Vahe Stepanian
Sent: Tuesday, June 30, 2015 09:18 AM Eastern Standard Time
To: jeffrey E.
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn
Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C]
Classification: Confidential
Jeffrey — per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR
100mm notional.
1.1220 EURUSD spot ref
1) Expiry 6m
SOFL buys vanilla EUR put struck at 1.04
SOFL sells vanilla EUR call struck at 1.1835
Net premium: zero
2) Expiry 6m
SOFL buys vanilla EUR put struck at 1.05
SOH. sells vanilla EUR call struck at 1.1790
Net premium: zero
Thank you,
Vahe
From: jeffrey E. [mailto:jeevacation@gmail.com]
Sent: Tuesday, June 30, 2015 5:40 AM
To: Vahe Stepanian
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn
Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C]
great, how about the 6 month 105 and 104.
On Mon, Jun 29, 2015 at 5:15 PM, Vahe Stepanian < wrote:
Classification: Confidential
Jeffrey — per your request, we priced vanilla risk reversals with a 1.07 strike on the put leg.
Pricing is for EUR 100mm notional.
1.1250 EURUSD spot ref
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 117404
CONFIDENTIAL SDNY_GM_00263588
EFTA01457739