EFTA00689736.pdf

From: Daniel Sabba < To: mjeffrey E.'" <jeevaeation umail.com> CC: Paul Morris < Vahe Ste panian -z- , Stewart Oldfield Ariane Dwyer , "'Richard Kahn" Subject: RE: EURUSD risk reversal ideas [C] Date: Tue, 17 Nov 2015 14:07:21 +0000 Jeffrey, With EUR lower, we wanted to touch base on restructuring your risk reversal. Note levels below are indicative. EURUSD Spot Ref: 1.0665 • Your EUR50mm 1.0400 / 1.1640 risk reversal is worth USD 378k (indicatively) • Your EUR25mm 1.0500 / 1.1565 risk reversal is worth USD 260k (indicatively) One alternative we wanted to flag — it extends expiry to March 4, 2016, rolls up the strikes of your long puts and rolls down the strikes of your short calls. • EUR50mm 1.0400 / 1.1640 Jan-4 risk reversals into a 1.0500 / 1.1050 Mar-4 risk reversals • EUR25mm 1.0500 / 1.1565 Jan-4 risk reversals into a 1.0600 / 1.1000 Mar-4 risk reversals Let us know if you would like to look into other alternatives. Daniel From: Daniel Sabba Sent: Friday, November 06, 2015 10:48 AM To: 'jeffrey E.' Cc: Paul Morris; Vahe Stepanian; Stewart Oldfield; Ariane Dwyer; 'Richard Kahn' Subject: EURUSD risk reversal ideas [C] Classification: Confidential Jeffrey, We wanted to reach out given this morning's move in the EUR. We are monitoring your risk reversals and wanted to flag some alternatives in case you choose to restructure the position. These alternatives benefit from EURUSD skew which has moved quite a bit higher over the last few months. Given this morning's moves, note all levels below are indicative. EURUSD Spot Ref: 1.0730 • Your 1.0400 / 1.1640 risk reversal is worth USD 350k (indicatively) • Your 1.0500 / 1.1565 risk reversal is worth USD 230k (indicatively) Alternatives (all levels below are indicative): 1. Restructure the risk reversals into put spreads, buy back the OTM call and sell an OTM put for zero net premium • 1.0400 / 1.1640 risk reversal into a 0.9800 / 1.0400 put spread • 1.0500 / 1.1565 risk reversal into a 0.9850 / 1.0500 put spread 2. Extend the existing risk reversals by two months to expiry Mar 4 2016 for zero net premium • 1.0400 / 1.1640 Jan-4 risk reversals into a 1.0400 / 1.1250 Mar-4 risk reversals EFTA00689736 • 1.0500 / 1.1565 Jan-4 risk reversals into a 1.0500 / 1.1220 Mar-4 risk reversals 3. Restructure the existing risk reversal into seagulls (client buys put spread and sells OTM call) and extend expiry by two months to Mar 4 2016 for zero net premium • 1.0400 / 1.1640 Jan-4 risk reversals into a 0.9450 / 1.0400 / 1.1450 Mar-4 seagull • 1.0500 / 1.1565 Jan-4 risk reversals into a 0.9550 / 1.0500 / 1.1350 Mar-4 seagull Best regards, Daniel Daniel Sabba Deutsche Bank Securities Inc. Tel. Mobile Email 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. EFTA00689737