FW: EURUSD Risk Reversal Pricing [C (Paul Morris, July 01, 2015)Deutsche Bank account statement (EFTA01457799)
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EFTA Document EFTA01457798
Title Matchefta-efta01457798
Case Filesd-10-EFTA01457798Dept. of JusticeEFTA Document EFTA01457798
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Case File
sd-10-EFTA01457798Dept. of JusticeEFTA Document EFTA01457798
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EUR/USD Spot ref = 1.1092 1) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.0400 Call Strike: 1.1615 Notional: EUR 100,000,000 EUR Expiry: Wed 30-Dec-2015 (6m) Mid Premium: USD 1,351,000:-1,351,000 ($0.00) Net premium: zero 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/a
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Dept. of Justice
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sd-10-EFTA01457798
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