EFTA00689736Set 9
2015-11-172p531w
Morris < Vahe Ste panian --z- , Stewart Oldfield
Ariane Dwyer , "'Richard Kahn"
Subject: RE: EURUSD risk reversal ideas [C]
Date: Tue, 17 Nov 2015 14:07:21 +0000
Jeffrey,
With ... lower, we wanted to touch base on restructuring your risk reversal. Note levels below are indicative.
EURUSD Spot Ref: 1.0665
• Your EUR50mm 1.0400 / 1.1640 risk reversal is worth USD 378k ... indicatively)
• Your EUR25mm 1.0500 / 1.1565 risk reversal is worth USD 260k (indicatively)
One alternative we wanted to flag — it extends expiry to March 4, 2016, rolls up the strikes
https://www.justice.gov/epstein/files/DataSet%209/EFTA00689736.pdf
EFTA00629970Set 9
2015-11-062p372w
Paul Morris < Vahe Ste anian < , Stewart Oldfield
Ariane Dwyer "'Richard Kahn."
Subject: EURUSD risk reversal ideas [C]
Date: Fri, 06 Nov 2015 15:48:29 +0000
Classification: Confidential
Jeffrey ... reach out given this morning's move in the EUR. We are monitoring your risk reversals and wanted to flag
some alternatives in case you choose to restructure the position ... moves, note all levels below are indicative.
EURUSD Spot Ref: 1.0730
• Your 1.0400 / 1.1640 risk reversal is worth USD 350k (indicatively)
• Your 1.0500 / 1.1565 risk reversal is worth USD 230k
https://www.justice.gov/epstein/files/DataSet%209/EFTA00629970.pdf
EFTA00610276Set 9
2014-01-0926p14,709w
Guilherme Marone
Theme #11: Vol to roll: Buy EUR/USD FVAs, USD/JPY vol swaps and risk
reversals, AUD/USD puts
Singapore
Sameer Goel
Ma'like Sadie!eye
Perry Kojodjojo
Sydney
Adam Boyton ... reaching the 20% FX over- 0%
valuation bound. Buy 12m EUR/USD 1.4011.31 risk
reversals for zero cost. -10% 'Growth'
•15%
Don't Rely on Fed Dovishness -2096
Last year ... risk of additional ECB easing,
and we like buying a 1.42p/1.34c EUR/USD risk
reversal for zero cost. INZD, SGD, CHF Most Expensive FX in the World
(a) Other Dollar
https://www.justice.gov/epstein/files/DataSet%209/EFTA00610276.pdf
EFTA01414900Set 10
2016-06-0912p1,358w
Subject: FW: indication on WTI risk reversals [C]
From: Andrew King ‹ >
Date: Thu, 09 Jun 2016 15:04:21 -0400
To: Stewart Oldfield ‹ >
Classification: Confidential
FYI
From: Vahe Stepanian
Sent ... June 09, 2016 2:55 PM
To: Andrew King
Subject: RE: indication on WTI risk reversals [C]
Classification: Confidential
Andrew — not sure as we don't get this request ... June 09, 2016 1:56 PM
To: Vahe Stepanian
Subject: FW: indication on WTI risk reversals [C]
Classification: Confidential
Vahe,
EFTA01414900
Are we able
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01414900.pdf
EFTA01418161Set 10
2016-06-0912p1,429w
Subject: Re: indication on WTI risk reversals [C]
From: Stewart Oldfield
Date: Thu, 09 Jun 2016 12:35:39 -0400
To: Andrew King ‹ >
Classification: Confidential
Meaning they post daily variation ... June 09, 2016 12:33 PM
To: Stewart Oldfield
Subject: RE: indication on WTI risk reversals [C]
Classification: Confidential
I'll check on the top positions and see if there ... June 09, 2016 11:51 AM
To: Andrew King
Subject: Re: indication on WTI risk reversals [C]
Classification: Confidential
EFTA01418161
Seems low. Where would be on a static basket
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01418161.pdf
EFTA01426676Set 10
2016-06-0911p1,378w
Subject: RE: indication on WTI risk reversals [C]
From: Andrew King
Date: Thu, 09 Jun 2016 12:33:26 -0400
To: Stewart Oldfield ‹ >
Classification: Confidential
I'll check ... June 09, 2016 11:51 AM
To: Andrew King
Subject: Re: indication on WTI risk reversals [C]
Classification: Confidential
Seems low. Where would be on a static basket ... June 09, 2016 11:38 AM
To: Stewart Oldfield
Subject: FW: indication on WTI risk reversals [C]
EFTA01426676
Classification: Confidential
On Spectrum, max is 50% LTV or 1 turn
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01426676.pdf
EFTA01414362Set 10
2016-06-0911p1,288w
Subject: Re: indication on WTI risk reversals [C]
From: Stewart Oldfield
Date: Thu, 09 Jun 2016 11:51:19 -0400
To: Andrew King <andrew.king@db.com>
Classification: Confidential
Seems low. Where would ... June 09, 2016 11:38 AM
To: Stewart Oldfield
Subject: FW: indication on WTI risk reversals [C]
Classification: Confidential
On Spectrum, max is 50% LTV or 1 turn of leverage ... Richard Kahn
Cc: Daniel Sabba; Joseph Dursi; Andrew King
Subject: RE: indication on WTI risk reversals [C]
Classification: Confidential
Please pass along any feedback on the pricing if you have
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01414362.pdf
EFTA01426323Set 10
2016-06-0810p1,178w
Subject: RE: indication on WTI risk reversals [C]
From: Stewart Oldfield
Date: Wed, 08 Jun 2016 10:01:16 -0400
To: Vahe Stepanian
Richard Kahn
Cc: Daniel Sabba
Joseph Dursi ... Richard Kahn
Cc: Daniel Sabba; Stewart Oldfield
EFTA01426323
Subject: RE: indication on WTI risk reversals [C]
Classification: Confidential
Rich,
Please see below refreshed indications — these levels are not tradable ... 17Aug16
CLZ6 ref 51.75, option exp 16Nov16
CLH7 ref 52.15, option exp 15Feb17
Risk reversals on WTI - Indications
Southern financial buys calls and sells puts. Indications below are bid/ask
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01426323.pdf
EFTA00708999Set 9
2016-06-075p1,067w
From: Richard Kahn
To: "jeffrey E."
Subject: Fwd: indication on WTI risk reversals [C]
Date: Tue, 07 Jun 2016 19:12:33 +0000
Richard Kahn
HBRK Associates Inc.
575 Lexington ... Begin forwarded message:
From: Vahe Stepanian
Subject: RE: indication on WTI risk reversals [C]
Date: June 7, 2016 at 11:23:22 AM EDT
To: Richard Kahn <
Cc: Daniel Sabba ... 17Aug16
CLZ6 ref 51.75, option exp 16Nov16
CLH7 ref 52.15, option exp 15Feb17
Risk reversals on WTI - Indications
Southern financial buys calls and sells puts. Indications below are bid/ask
https://www.justice.gov/epstein/files/DataSet%209/EFTA00708999.pdf
EFTA01426775Set 10
2016-06-078p887w
Subject: RE: indication on WTI risk reversals [C]
From: Vahe Stepanian
Date: Tue, 07 Jun 2016 10:57:44 -0400
To: Stewart Oldfield
Cc: Daniel Sabba
Brianna Fowler
Classification: Confidential ... Vahe Stepanian
Cc: Daniel Sabba; Brianna Fowler
Subject: RE: indication on WTI risk reversals [C]
Classification: Confidential
Did you send pricing?
From: Vahe Stepanian
Sent: Tuesday, June ... Richard Kahn
Cc: Daniel Sabba; Stewart Oldfield
Subject: RE: indication on WTI risk reversals [C]
Classification: Confidential
Ok, will be back to you.
From: Richard Kahn [mailto:
Sent: Tuesday, June
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01426775.pdf
EFTA01409668Set 10
2015-05-047p1,421w
SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 118.00
Call Strike: 122.45
Notional: USD 10,000,000 USD
Expiry ... choice
#2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 117.00
Call Strike: 123.45
Notional: USD 10,000,000 USD
Expiry ... SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 116.00
Call Strike: 125.00
Notional: USD 10,000,000 USD
Expiry
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01409668.pdf
EFTA00857551Set 9
2015-05-045p1,443w
SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 118.00
Call Strike: 122.45
Notional: USD 10,000,000 USD
Expiry ... choice
#2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 117.00
Call Strike: 123.45
Notional: USD 10,000,000 USD
Expiry ... SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal
Put Strike: 116.00
Call Strike: 125.00
Notional: USD 10,000,000 USD
Expiry
https://www.justice.gov/epstein/files/DataSet%209/EFTA00857551.pdf