From: Richard Kahn
Sent: Wednesday, May 10, 2017 3:40 PM
To: jeffrey E.
Subject: Fwd: Canadian dollar calls
Richard =ahn
HBRK Associates Inc.
575 Lexington =venue 4th Floor
Begin forwarded message:
From: =/b>"Ens, Amanda
Subject: =/b>Canadian dollar =alls
Date: =/b>May 10, 2017 at 11:39:04 AM =DT
To: =/b>"'Richard Kahn"
Cc: "Rothberg, Justin D "Wright, Tucker M"
Rich,
As a proxy for =SDpCADc options OTC, we could trade using the ETF. We see a lot of our =nstitutional clients
(hedge funds) trade FX, rates, gold and oil this =ay.
FXC = CurrencyShares =anadian Dollar Trust.
15-Sept-2017 expiry
73-strike call (1% OTM spot)
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Offer: 0.90 gross (before 4 =ent commission) or 0.94 net, 1.29% of notional
Ref: 72.21
Good on 2000 contracts =$15mm notional)
For comparison, a =imilar USDCAD option for Sept 15th would be a =.3522 strike which costs 1.28% indic.
We could also look at other Canadian proxies such as =anadian equities if of interest.
Regards,
Amanda
Amanda Ens
Director
Bank of America Merrill =ynch
Merrill Lynch, =ierce, Fenner & Smith Incorporated
One Bryant Park, 5th Floor, New York, NY 10036
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