From: Richard Kahn
Sent: Tuesday, July 18, 2017 7:13 PM
To: jeffrey E.
Subject: Fwd: Euro call pricing
Richard Kahn
HBRK Associates Inc.
575 =exington Avenue 4th Floor
New York, NY 10022
Begin forwarded message:
From: =/b>"Ens, Amanda"
Subject: =/b>Euro call =ricing
Date: =/b>luly 18, 2017 at 12:11:30 PM =DT
To: =/b>Richard Kahn <richardkahn12@gmail.com>
Rich,
Using FXE =euro currency ETF) OTC call options:
October expiry (Oct 20th) = 94 days:
113 strike costs $1.40 or 1.24% of =trike
Ref: 111.93, forward to Oct: 112.20
113 =trike is 100.71% forward
Vol ref: 7.6%
Pricing is gross; $0.03 ($3/contract) is added for net price =f $1.43 (adds 2.7bp to cost)
EURUSD indic OTC pricing from =loomberg:
94 days (Oct 20th )
ATMF is =.1633
100.71% ATMF strike is 1.1716
Premium: 1.14% bid / 1.21% offer, =USD
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Vol: =.6%
Pricing =as no markup in it. Indic mid is 1.175%
Thanks,
Amanda
Amanda Ens
Director
Bank of =merica Merrill Lynch
Merrill =ynch, Pierce, Fenner & Smith Incorporated
One =r ant Park, 5th Floor, New York, NY 10036
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