EFTA01434406Set 10
2017-09-228p1,045w
Subject: RE: [/] FX Trade idea: Time to buy USDJPY FVA? [C]
From: Xavier Avila <ffi
Date: Fri, 22 Sep 2017 08:50:35 -0400
To: Paul Barrett
Martin Zeman ... Vahe Stepanian
Stewart Oldfield
Joshua Shoshan
Davide-A Sferrazza
Paul,
FVA is typically a forward delivered FX straddle, you buy (or sell) the fwd
straddle at the preagreed spot price ... difference.
We also do FX options contingent on vol knock outs and even FVA, Vol Swaps,
Corr Swaps contingent on delta (multi currency) knock outs. In FX literally
there
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434406.pdf
EFTA01386986Set 10
2017-09-221p405w
Shoshan
• Davide-A Sferrazza
Subject: RE: (fl FX Trade idea: Time to buy USDJPY FVA? [CI
Paul,
FVA is typically a forward delivered FX straddle, you buy (or sell ... difference.
We also do FX options contingent on vol knock outs and even FVA, Vol Swaps, Con Swaps contingent on
delta (multi currency) knock outs. In FX literally there ... Joshua Shoshan; Davide-A Sferrazza
Subject: Re: (/) FX Trade idea: Time to buy USDJPY FVA? [C]
Looks interesting.
Please clarify how DB looks at these. We assign a $ value
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01386986.pdf
EFTA01433271Set 10
2017-09-226p529w
Subject: [/] FX Trade idea: Time to buy USDJPY FVA? [C]
From: Martin Zeman
Date: Fri, 22 Sep 2017 07:57:40 -0400
To: "Paul Barrett (
Cc: Vahe Stepanian
Stewart Oldfield ... Shoshan
Davide-A Sferrazza
Classification: Confidential
Good morning, Paul,
Not sure you look at FVA stuff, but this one in USDJPY looks good to me.
Martin
fcid:image003.png@OlD33399.2A5F55201
Trade ... Ideas
Buy ly2y USDJPY FVA at 10.50%
Current 2y Implied volatility is at 9.95%
Rationale
The USDJPY volatility curve has flattened and reduced over the
past year: Implied volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01433271.pdf
EFTA01387426Set 10
2017-09-221p274w
Davide-A Sferrazza
Subject: Re: VI FX Trade idea: Time to buy USDJPY FVA? ICI
looks interesting.
Please clarify how DB looks at these. We assign a S value ... Martin Zeman < > wrote:
Classification: Confidential
Good morning, Paul,
Not sure you look at FVA stuff, but this one in USDJPY looks good to me.
Martin
Trade Ideas
Buy ly2y USDJPY ... FVA at 1030%
Current 2y Implied volatility is at 9.95%
Rationale
• The USDJPY volatility curve has flattened and reduced over the past year: Implied
volatility is around 10% for maturities
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387426.pdf
EFTA01385834Set 10
2017-09-221p321w
Joshua Shoshan I ; Davide-A Sferrazza
Subject: FX Trade idea: Time to buy USDJPY FVA? (C)
Classification: Confidential
Good morning, Paul,
Not sure you look at FVA stuff, but this ... looks good to me.
Martin
DB FX Trade Idea
Trade Ideas
Buy ly2y USDJPY FVA at 10.50%
Current 2y Implied volatility is at 9.95%
Rationale
• The USDJPY volatility curve
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385834.pdf
EFTA01451179Set 10
2014-01-091p491w
puts cheapened with AUD/CAD KOs
Trade, I Hedge ggainst event-risks with EUR/USD
2%
FVA,::: Despite potential catalysts such as the US
fiscal impasse and EU political uncertainty, EUR/USD
implied ... have been well bid since December.
Instead, consider owing a 3M in 6M EUR/USD FVA at 16
-8.50% on the USD vega notional to exploit the 15
flatness
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01451179.pdf
EFTA01451148Set 10
2014-01-091p490w
cheapened with AUD/CAD KOs
if at i • Hedge ;:,gain9t event-ris4s with EUR/USD
2%
FVA,::: Despite potential catalysts such as the US
fiscal impasse and EU political uncertainty, EUR/USD
implied ... have been well bid since December.
Instead, consider owing a 3M in 6M EUR/USD FVA at 16
-8.50% on the USD vega notional to exploit the 15
flatness
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01451148.pdf
EFTA01451217Set 10
2014-01-091p490w
puts cheapened with AUD/CAD KOs
Trade, I Hedge ggainst event-risks with EUR/USD
2%
FVA,::: Despite potential catalysts such as the US
fiscal impasse and EU political uncertainty, EUR/USD
implied ... have been well bid since December.
Instead, consider owing a 3M in 6M EUR/USD FVA at 16
-8.50% on the USD vega notional to exploit the 15
flatness
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01451217.pdf
EFTA01446668Set 10
2014-01-091p491w
puts cheapened with AUD/CAD KOs
Trade, I Hedge ggainst event-risks with EUR/USD
2%
FVA,::: Despite potential catalysts such as the US
fiscal impasse and EU political uncertainty, EUR/USD
implied ... have been well bid since December.
Instead, consider owing a 3M in 6M EUR/USD FVA at 16
-8.50% on the USD vega notional to exploit the 15
flatness
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01446668.pdf
EFTA01707484Set 10
100p57,645w
CL.PCIewiston, DB•Daytona, FL•Flagler,
FX=Flocida Keys, FM=Fort Myers, FP-Fort Pierce, FVA-Pon Walton, GV{cainesvilk, .0(41dcsomrille, LOrtake City,
Lla=Leesburg, MI-Miami, MAr•Matianna
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01707484.pdf