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RE: FW: Longer Dated EUR Downside (3y structures) [C (Vahe Stepanian, June 29, 2015)
Title Matchefta-efta01457742
Case Filesd-10-EFTA01457742Dept. of JusticeRE: FW: Longer Dated EUR Downside (3y structures) [C (Vahe Stepanian, June 29, 2015)
June 29, 20151p
Case File
sd-10-EFTA01457742Dept. of JusticeRE: FW: Longer Dated EUR Downside (3y structures) [C (Vahe Stepanian, June 29, 2015)
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On Mon, Jun 29, 2015 at 5:15 PM, Vahe Stepanian .vrote: Classification: Confidential Jeffrey - per your request, we priced vanilla risk reversals with a 1.07 strike on the put leg. Pricing is for EUR 100mm notional. 1.1250 EURUSD spot ref 3m SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1660 strike Net premium: zero 6m SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1680 strike Net premium: zero Thank you, Vahe From: Vahe Stepanian Sent: Monday, June 29, 2015 3:38 PM
Date
June 29, 2015
Source
Dept. of Justice
Reference
sd-10-EFTA01457742
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1
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0
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