pairs include AUDUSD, USDBRL, USDCAD,
USDMXN, and USDNOK
Premium neutral bullish risk reversals on commodity currencies can take
advantage of implied vol, skew and forward dynamics (i.e. client buys
foreign ... currency call and sells foreign currency put)
Looking at volatility adjusted skew amongst commodity currencies, current
USDBRL levels provide a compelling entry point into premium neutral risk
reversals.
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other commodity currencies: while for USDBRL call strike is about 14% away
from spot while put is about 1% away, for USDMXN the call strike would
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01462289.pdf
EFTA01283114Set 10
9p3,201w
calculated by reference
to changes in, among other things, the value of securities, commodities, currencies, interest rates, property of
any description or indices, in each case in accordance with DBSI
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01283114.pdf
calculated by reference
to changes in, among other things, the value of securities, commodities, currencies, interest rates, property of
any description or indices, in each case in accordance with DBSI
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01355798.pdf
calculated by reference
to changes in, among other things, the value of securities, commodities, currencies, interest rates, property of
any description or indices, in each case in accordance with DBSI
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01392971.pdf
EFTA00720854Set 9
2014-09-183p943w
performance; AdditionalRisks — Depending on the underlying, the structured product may also
involve interest rate, commodity, currency, credit, political, time value and general market risks. These risks vary from product
https://www.justice.gov/epstein/files/DataSet%209/EFTA00720854.pdf
EFTA01479760Set 10
2014-09-173p782w
Additional Risks — Depending on the
underlying, the structured product may also involve interest rate,
commodity, currency, credit, political, time value and general market risks.
These risks vary from product
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01479760.pdf
EFTA01377780Set 10
2012-12-311p842w
sell, or hold a broad array of investments and actively trade securities, derivatives, loans.
commodities, currencies, credit default swaps, and other financial instruments for their own account
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01377780.pdf