RE: EURUSD Risk Reversal Pricing [C] [I (Vahe Stepanian, July 01, 2015)Deutsche Bank account statement (EFTA01457790)
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EFTA Document EFTA01457789
Title Matchefta-efta01457789
Case Filesd-10-EFTA01457789Dept. of JusticeEFTA Document EFTA01457789
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Case File
sd-10-EFTA01457789Dept. of JusticeEFTA Document EFTA01457789
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2) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.05 Call Strike: 1.155 Notional: EUR 100,000,000 EUR Expiry: Wed 30-Dec-2015 (6m) Mid Premium: USD 1,551,000:-1,551,000 ($0.00) Net premium: zero Pricing with bid/ask on each leg: EUR/USD Spot ref = 1.1092 1) Risk Reversal with 1.04 strike put SOFL buys European EUR Put on EUR/USD Strike: 1.04 Notional: EUR 100,000,000 Expiry: Wed 30-Dec-2015 (6m) Premium: $1,270,000 / $1,415,000 SOFL sells European EUR Call
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Dept. of Justice
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sd-10-EFTA01457789
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