RE: FW: Longer Dated EUR Downside (3y structures) (C (Vahe Stepanian, June 29, 2015)EFTA Document EFTA01457782
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EFTA Document EFTA01457781
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Case Filesd-10-EFTA01457781Dept. of JusticeEFTA Document EFTA01457781
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sd-10-EFTA01457781Dept. of JusticeEFTA Document EFTA01457781
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To: Daniel Sabba Subject: Re: Longer Dated EUR Downside (3y structures) [C] what do six month levels look like and one year On Mon, Jun 29, 2015 at 10.56 AM, Daniel Sabba Classification: Confidential Jeffrey, wrote: We wanted to flag an idea on long dated EUR downside. Digital Risk Reversals benefit from the high forwards, along with elevated levels of vols and skew. The following example is a premium neutral trade with observation at expiry. 1.1125 EURUSD spot ref +485 3y swap points
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sd-10-EFTA01457781
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