Sent Monday, September 30, 2013 3:19:32 PM
Subject update
From: Laurie Cameron
To: Jeffrey Epstein <jeevacation@gmail.com>
In order to reduce risk of gbp, nzd and and calls into this week, we have
purchased
NZD 4m 8287
GBP 4m 1.6170
in addition to the AUD 2m we are already long at .9323
this covers 95% of the delta of the short gbp calls
this covers 30% of the nzd calls but it is important to remember that the NZD
82 call has not been knocked in (at 8450) so it technically doesn't exist.
I am afraid of a whipsaw on the delta hedges, so I plan to continue to add NZD
below 8270 only for now unless you advise differently
I have delta hedged the options in hopes to avoid paying ultra high vol
JPY - The best case for our position is for usd jpy to stay between 95 and 1O2.
We take in theta each day it stays within this range.
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