EFTA01447438.pdf

From: Nay Gupta Sent: 6/5/2014 2:08:37 PM To: [email protected] CC: 'aul Morris Tazia Smith Vahe Stepanian Subject: Jeffrey • EURUSD Puts vs Calls • Nay Jeffrey, EURUSD spiked post ECB. Shorts who expected spot to go lower but don't want the risk into tomorrows payrolls are getting stopped out after hours. 1da EUR USD Chart 3oSE :.3o40 1.3020 1.3600 1.3580 .. 1.3560 •1......... 1.3540 1.3520 1.3503 08:03 16:06 05 Jun 2014 EUR Curacy (Euro Scot) Graph 3 1 Days Tidc Copyright§ 2014 Blcarden; Finance L.P. 0S-300-2014 10:0523 EURUSD Spot Ref 1.3660 Expiry 3months 5Sep14 European Style Buy 1.3415 EURUSD Put I Sell 1.38 Call Net premia is flat (The strikes arent symmetric around spot because the vol for the call you want to sell is 0.7 vol lower than the vol for the put) Alternatively consider : - Buy 1.345 EURUSD Put / Sell 1.38 Call Net premia you pay is 8.5bp of notional I'll work on the scenario grids for you overnight - I think this pop in EURUSD is opportune to start scaling Nav Nav Gupta Managing Director Deutsche Bank AG. Filiale London CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 102068 CONFIDENTIAL SDNY_GM_00248252 EFTA01447438