EFTA01206217.pdf

From: Nav Gupta To: [email protected] Cc: Paul Morris Tazia Smith , Vahe Stepanian Subject: Jeffrey - EURUSD Puts vs Calls - Nav Date: Thu, 05 Jun 2014 18:08:37 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) 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. 1day EUR USD Chart 13580 13560 13540 13520 13500 08:00 16:00 05 Jun 2014 EUR Curncy (Faro Spot) Graph 31 Days Tidc Copyright® 2014 Bloomberg Finance 05-Jun-2014 19:05:23 EURUSD Spot Ref 1.3660 Expiry 3months 5Sep14 European Style Buy 1.3415 EURUSD Put 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 EFTA01206217 Managing Director Deutsche Bank AG. Filiale London Deutsche Asset & Wealth Mana ment Mal Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID). who understand the strategy. characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. Panio-7,*Perform. This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. Please refer to http://www.db.com/en/contentleu_disclosures.htm for additional EU corporate and regulatory disclosures and to http://www.db.com/unitedkingdom/content/privacy.htm for information about privacy. EFTA01206218