EFTA Document EFTA01387068
• Sell 2y EURMXN-USDMXN correlation swap at 77% Rationale • EURMXN-USDMXN implied correlations are close to the highest levels since 2007 (see graph 1) • This has been driven by MXN implied volatilities trading at their highest levels relative to EURUSO volatility since the financial crisis, largely a result of concerns regarding the Mexico elections in 2018 (see graph 2) • Since 2007 the highest ly realized correlation is 87% and the lowest is 11%. For 2y the highest is 83% and the low
Summary
• Sell 2y EURMXN-USDMXN correlation swap at 77% Rationale • EURMXN-USDMXN implied correlations are close to the highest levels since 2007 (see graph 1) • This has been driven by MXN implied volatilities trading at their highest levels relative to EURUSO volatility since the financial crisis, largely a result of concerns regarding the Mexico elections in 2018 (see graph 2) • Since 2007 the highest ly realized correlation is 87% and the lowest is 11%. For 2y the highest is 83% and the low
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Subject: Re: [/] Trade Idea: Tax Reform Pure-Play / Long-Short Basket Pair [C] From: Paul Barrett <a Date: Tue, 26 Sep 2017 18:26:56 -0400 To: Martin Zeman Cc: Vahe Stepanian < Xavier Avila Joshua Shoshan Stewart Oldfield Davide-A Sferrazza < I have an RTY vs SPY outperformance option on. Would take a look once the docs are in place. Looks interesting. Is it one bullet swap or two separate legs? Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor, New York, NY 10019
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Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap From: Xavier Avila ‹ > Date: Wed, 06 Dec 2017 13:15:15 -0500 To: "Paul Barrett ( Cc: Stewart Oldfield Joshua Shoshan Martin Zeman Paul, we tried to call you on the corr swap. We spoke to trading and our bid-offer prices are below, a bit better than we were discussing in both currencies on the bid side. I also attach the t/s in ZAR ready to go just in case you want to review. Let's discuss when you have a sec. Thanks. ly US
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Subject: DB FX trade idea: EURZAR-USDZAR correlation swap From: Martin Zeman Date: Tue, 28 Nov 2017 To: "Paul Barrett ( Cc: Stewart Oldfield Xavier Avila Joshua Shosha Liam Osulliva Paul, 12:42:02 -0500 this could be an interesting trade on ZAR without really getting directional exposure to it. The payout is defined as a $amount per point of correlation. So that means selling the correlation at 80% for $10k per point of correlation is a max loss of $200k. Let me know if you'd like
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