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
SOH. sells vanilla EUR call struck at 1.1835
Net premium: zero
2) Expiry 6m
5OFL 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:ieevacation@amail.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 <v > 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
SOIL sells EUR call 1.1660 strike
Net premium: zero
6m
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