EFTA00848285.pdf

From: "jeffrey E." <[email protected]> To: Vahe Stepanian Subject: Re: FW: Trade ideas for shorting Asian currencies [C] Date: Thu, 20 Aug 2015 15:21:48 +0000 send charts on the korean On Mon, Aug 17, 2015 at 4:51 PM, Vahe Stepanian > wrote: Classification: Confidential Jeffrey — I've included additional pricing below to short Asian currencies on the back of conversations today with Rich. Please let us know your thoughts and we can provide live pricing per your request. Pricing below is indicative and assumes $50mm notional. Thank you, Vahe USDKRW Spot Ref: 1182.80 6m USDKRW Call Spreads SOFL buys low strike and sells high strike (quoted as Low Strike / High Strike/ Premium as % of USD Notional) - 1200 / 1250 / 1.15% - 1220 / 1280 / 1.00% 6m USDKRW Premium Neutral Collars SOFL buys the USDKRW call and sells the put option (quoted as Call Strike / Put Strike) - 1220 / 1170 EFTA00848285 - 1230 / 1164 USDTWD Spot Ref: 32.35 6m USDTWD Premium Neutral Collars SOFL buys the USDTWD call and sells the put option (quoted as Call Strike / Put Strike) - 33.50 / 31.90 - 34.00 / 31.70 USDSGD Spot Ref: 1.4070 6m USDSGD Premium Neutral Collars SOFL buys the USDSGD call and sells the put option (quoted as Call Strike / Put Strike) 1.4250 / 1.4070 1.4500 / 1.3900 Vanilla basket call Equally-weighted basket in USDCNH and USDKRW Strike/ Premium: ATMS / 2.51% 2.5% OTMS / 1.37% Basket cheapening to vanillas: 15% 20% Equally -weighted basket in CNH, KRW, SGD and TWD Strike/ Premium: ATMS / 2.20% 2.5% OTMS/ 1.28% Basket cheapening to vanillas: 17% 25% EFTA00848286 Basket performance is sum of currency performance given by USDCCY final - USDCCY initial / USDCCY final spot Payout = Max (0, Basket Performance - Strike) Strike = 0.0% for ATMS and 2.5% for 2.5% OTMS ATMS = At the money spot OTMS = Out of the money spot From: Vahe Stepanian Sent: Monday, August 17, 2015 10:46 AM To: 'Jeffrey E.' Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart 0ldfleld; 'Richard Kahn' Subject: FW: Trade ideas for shorting Asian currendes [C] Classification: Confidential Jeffrey - I'm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we thought it made sense to revisit CNH options. Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at USDCNH call spreads instead. Indicative pricing: Spot ref = 6.444 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.75 Notional: USD 50,000,000 USD Expiry: The 17-Nov-2015 (3m) Premium: SOFL pays 324,500 (USD 486,000:-161,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread EFTA00848287 Strikes 6.55 / 6.8 Notional: USD 50,000,000 USD Expiry: Wed 17-Feb-2016 (6m) Premium: SOFL pays 428,000 (USD 794,500:-366,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes: 6.55 / 7.10 Notional: USD 50,000,000 USD Expiry: Wed 17-Aug-2016 (12m) Premium: SOFL pays 783,500 (USD 1,216,000:432,500) Premium Date: Wed 19-Aug-2015 I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY. Note that the above options use CNH as underlying. Please let us know if you have thoughts. Thank you, Vahe Original Message From: Richard Kahn [mailto: Sent: Monday, August 17, 2015 8:04 AM To: Daniel Sabba; Vahe Stepanian Subject: Trade ideas for shorting Asian currencies Can you please send to Jeffrey and myself some trade ideas for shorting Asian currencies. Thank you. Sent from my iPhone EFTA00848288  This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00848289