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
SOFL sells vanilla EUR call struck at 1.1790
Net premium: zero
Thank you,
Vahe
From: jeffrey E. [mailto:jeevaCati0nOcimail.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
3m
SOFL buys EUR put 1.07 strike
SOFL sells EUR call 1.1660 strike
Net premium: zero
6m
SOFL buys EUR put 1.07 strike
SOFL sells EUR call 1.1680 strike
Net premium: zero
Thank you,
Vahe
CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 117435
CONFIDENTIAL SDNY_GM_00263619
EFTA01457763