EFTA Document EFTA01461204
reverse to the mid-1.50s by year-end. With that said, we priced up a few options that I've included below - consider selling a call, buying a put or a risk reversal. Recognize that GBP vol. is currently relatively low (vs. historical levels). Spot ref = 1.6397 1) sell European GBP call on GBP/USD strike: 1.67 Notional: GBP 5,988,023.95 (or —SlOmm) Expiry: Tue 03-Jun-2014 (6m) settlement: Thu 05-Jun-2014 Premium: USD -103,400 2) sell European GBP call on GBP/USD Strike: 1.70 Notional
Summary
reverse to the mid-1.50s by year-end. With that said, we priced up a few options that I've included below - consider selling a call, buying a put or a risk reversal. Recognize that GBP vol. is currently relatively low (vs. historical levels). Spot ref = 1.6397 1) sell European GBP call on GBP/USD strike: 1.67 Notional: GBP 5,988,023.95 (or —SlOmm) Expiry: Tue 03-Jun-2014 (6m) settlement: Thu 05-Jun-2014 Premium: USD -103,400 2) sell European GBP call on GBP/USD Strike: 1.70 Notional
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