EFTA00709345Set 9
2015-01-184p1,969w
million of negative equity on these
trades. Pretend they were all EURCHF spot trades, so the clients
all lost about 19 percent yesterday. And pretend they'd all
posted ... Since, you
know, the current level is less than 1 franc.
Bloomberg EURCHF HVT as of Jan. 14 shows 1.743 for 260-day
volatility (conventionally, one year of trading days ... unlikely.
Everyone does 2+ trades a day!
That is, an $800 million notional spot EURCHF trade would have
lost about $150 million on the euro's 18.77 percent move down
https://www.justice.gov/epstein/files/DataSet%209/EFTA00709345.pdf
EFTA01193824Set 9
2014-07-016p1,943w
Paul Morris c , Tazia Smith < a>,
Subject: Jeffrey - update - Alpha bank warrants / eurusd / eurchf / Barclays CoCo
Date: Tue, 01 Jul 2014 19:47:15 +0000
Inline-Images: unnamed; unnamed ... approx p&I since inception of your last collar is roughly -eur20k
3) EURCHF - speculators long EURCHF (many hedge funds have been long) have been bailing. A 6mth ATM call
https://www.justice.gov/epstein/files/DataSet%209/EFTA01193824.pdf
EURCHF - Support: 1.1415 (50DMA), 1.1362 (Sep 8 low) Resistance: 1.1623(22/09
high)
USDCHF held the important 200 day moving average at .9836 we have been highlighting and closed the week ... would likely flip to a long USD position were a
convincing break occur. EURCHF, on the other hand, has been able to maintain the bid tone it has enjoyed since
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387432.pdf
EFTA01048760Set 9
2017-04-212p559w
call option, expiring May 8th, for 40 bps, to limit
downside]
• Short EURCHF
o 1mo Forward
o Spot Ref: 1.069, Forward: 1.0682
• Buy Protection on French Banks
https://www.justice.gov/epstein/files/DataSet%209/EFTA01048760.pdf