RE: Longer Dated EUR Downside (3y structures) [CI II (Vahe Stepanian, 7/1/2015)RE: FW: Longer Dated EUR Downside (3y structures) [C (Vahe Stepanian, June 29, 2015)
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Re: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:ieevacation@amail.com, June 30, 2015)
Title Matchefta-efta01457768
Case Filesd-10-EFTA01457768Dept. of JusticeRe: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:ieevacation@amail.com, June 30, 2015)
June 30, 20151p
Case File
sd-10-EFTA01457768Dept. of JusticeRe: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:ieevacation@amail.com, June 30, 2015)
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Classification: Confidential Jeffrey - per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR 100mm notional. 1.1220 EURUSD spot ref 1) Expiry 6m SOFL buys vanilla EUR put struck at 1.04 SOH. sells vanilla EUR call struck at 1.1835 Net premium: zero 2) Expiry 6m 5OFL buys vanilla EUR put struck at 1.05 SOH. sells vanilla EUR call struck at 1.1790 Net premium: zero Thank you, Vahe From: Jeffrey E. [mailto:ieevacation@amail.co
Date
June 30, 2015
Source
Dept. of Justice
Reference
sd-10-EFTA01457768
Pages
1
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0
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