SOFL buys EUR put 1.07 strike
SOFL sells EUR call 1.1680 strike
Net premium: zero
Thank you,
Vahe
From: Vahe Stepanian
Sent: Monday, June 29, 2015 3:38 PM
To: Jeffrey Epstein
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn'
Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C]
Classification: Confidential
Jeffrey — to clarify, given Southern Financial would be long a 6m EURUSD digital put and short a 6m EURUSD digital call,
if at expiry:
EURUSD is below 1.0750, Southern Financial would receive 100% payout (or EUR 2mm)
EURUSD is between the put and call strikes, Southern Financial would receive 0% payout
EURUSD is above 1.1845, Southern Financial would pay 100% (or EUR 2mm)
We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals.
Thank you,
Vahe
From: Jeffrey E. [mailto:ieevacation@ornail.com]
Sent: Monday, June 29, 2015 3:20 PM
To: Vahe Stepanian; Richard Kahn; Paul Morris
Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C]
what is 2 million euro payout mean
On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepanian < > wrote:
Classification: Confidential
Jeffrey - 6m and ly pricing on premium neutral, digital risk reversals are below per your request.
Please note these were priced with 2mm EURO payout.
1.1180 EURUSD spot ref
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 117443
CONFIDENTIAL SDNY_GM_00263627
EFTA01457769