📄 Extracted Text (187 words)
• 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.
Commodity Currencies and Oil • 6 month Normalized Performance
110.
100k 100.
—SPLI$D
sea --• AVM*
— NOMAD
---,4•LADUSD
700
— (amity
30%
7//2014 11/2/2014 9/21/014 10•21.t014 II/It/014 Iliti/011 I it.flaIS
Cano
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.
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124770
CONFIDENTIAL SDNY_GM_00270954
EFTA01462286
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EFTA01462286
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