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EFTA Document EFTA01457334Case File
efta-efta01457334DOJ Data Set 10CorrespondenceEFTA Document EFTA01457334
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From:
jeffrey E. [jeevacation@gmail.com]
Sent:
5/4/2015 10:07:56 AM
To:
Vahe Stepanian
CC:
Paul Morris
Sabba
); Ariane Dwye
Richard Kahn
Subject:
Re: DB James Malcolm: Are the Sol shifting stance? Own some cheap optionality
(CI
these prices seem wrong. please send me bid and ask for each put call and strike.
On Mon, May 4, 2015 at 10:00 AM, Vahe Stepanian <
> wrote:
Classification: Confidential
Jeffrey- please find risk reversal pricing below per your request.
Spot ref = 120.15
#1) 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:
Thu 06-Aug-2015 (3m)
Structure Mid: USD -113,000
#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:
Thu 05-Nov-2015 (6m)
Structure Mid: USD -160,000
#3) 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:
Thu 05-Nov-2015 (6m)
Structure Mid: USD -130,000
Thank you,
Vahe
From: Daniel Sabba
Sent: Friday, May 01, 2015 4:35 PM
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e)
DB-SDNY-0 116844
CONFIDENTIAL
SDNY_GM_00263028
EFTA01457334
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Email
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