📄 Extracted Text (487 words)
From: Daniel Sabba
To: Daniel Sabba
Cc: [email protected], Paul Morris
Subject: Re: Commodity currencies: bullish reversals in BRL... [C]
Date: Mon, 05 Jan 2015 21:55:29 +0000
I nline-Images: unnamed; unnamed(I); unnamed(2)
Classification: Confidential
4.0000
• Last Price 2.7060 3.5000
T High on 09/30/02 3.7395
-9- Average 1.7639 3.0000
I. Low on 03/31/92 0.0007 2.7060
L.5000
2.0000
1.5000
1.0000
0.5000
0.0000
992-1994 1995-1999 2000-2004 2005-2009 2010-2014 20
USDBRL Curacy (USD-BRL X-RATE) Quarterly 013AN1991-05)A1(2015 Comnigla 2015 Bloomberg Finance . 05-Ian-201516:55:21
From: Daniel Sabba/db/dbcom
To. jeevacabon@gmailcom.
Cc: Paul Morris.
Date: 01/05/2015 04:54 PM
Subject: Re: Commodity currencies: bullish reversals in BRL... (CI
Classification: Confidential
Jeffrey - per our that, please see USDBRL chart attached for the past 5 years.
EFTA01200028
2.8000
2.7060
2.6000
T High on 12/16/14 2.7387
-0- Average 1.9836
1 Low on 07/26/11 1.5391 2.4000
2.2000
2.0000
1.8000
1.6000
2010 2011 2012 2013 2014
USDBRL Curacy (USD-BRL X-RATE) Daily 063AN2010-053AN201S Copyright@ 2015 Bloomberg Finance . 05-Jan-201516:53:43
From: Daniel Sabba/db/dbcom
To: jeevacabon@gmailcom.
Cc: Paul Morris.
Date: 01/0512015 11:38AM
Subject: Commodity currencies: bullish reversals in BRL... [C)
Classification: Confidential
Jeffrey,
Happy new year.This idea looks particularly interesting to USDBRL. Indicative pricing and rationale below:
Notional: USD 10mm
Expiry: 6m
Client buys USDBRL put sells USDBRLcall
Put strike: 2.70
Call strike: 3.10
Net Premium Offer: Zero (mid of put $162.5k and mid on call is $175k)
Spot ref. 2.7210
6m forward ref : 2.8560 / 2.8635
Rationale:
• Given the recent downward move in commodities, commodity linked currencies have experienced increased volatility
and marked depreciation vs. USD (see historical price chart below)
• Affected commodity linked currency pairs include AUDUSD, USDBRL, USDCAD, USDMXN, and USDNOK
• Premium neutral bullish risk reversals on commodity currencies can take advantage of implied vol, skew and forward
dynamics (i.e. client buys foreign currency call and sells foreign currency put)
• Looking at volatility adjusted skew amongst commodity currencies, current USDBRL levels provide a compelling entry
point into premium neutral risk reversals.
EFTA01200029
Commodity Currencies and Oil - 6 month Normalized Performance
110% 110%
10096 100%
90%
9" —flwso
- 1,6MUSD
80% sco* —AMMO
— NOKUSD
MUSD
70% 70%
.—(LA Candy
60% 60%
50% 50%
7/2/2014 8/2/2014 9/2/2014 10/2/20/4 11/1/1014 11/2/1014 1/2/2015
on
Other commodity currencies: While for USDBRL call strike is about 14% away from spot while put is about 1% away, for
USDMXN the call strike would be approximately 8% away while put strike would be 3% away from spot.
Best regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
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EFTA01200030
ℹ️ Document Details
SHA-256
2e471e6169106464ee0ec914e2171255bdac6c4b580c6b7b4eaab12d98761dc7
Bates Number
EFTA01200028
Dataset
DataSet-9
Document Type
document
Pages
3