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From: "jeffrey E." [jeevacationggmail.com] Sent: 11/13/2014 04:05 PM AST To: Daniel Sabba Subject: Re: Follow-up on EUR hedging discussion [C] prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel Sabba Classification: Conf
smaller size - EUR 25mm delta): A. 5y EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4600) B. Short EURUSD 1bn 5y forward. Forward points: 1040/1125 C. ly EUR puts struck at 1.2450 (spot) offered at 2.90% As you can see the pricing for smaller size is mu
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prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel Sabba Classification: Confidential Classification: Strictly Confidential Jeffrey, > wrote: I met with the head of FX trading of our investment bank to
smaller size - EUR 25mm delta): A. 5y EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4600) B. Short EURUSD 1bn 5y forward. Forward points: 1040/1125 C. 1y EUR puts struck at 1.2450 (spot) offered at 2.90% As you can see the pricing for smaller size is mu
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ffered at 2.90% As you can see the pricing for smaller size is much better. Please advise on how you would like to proceed. Best regards, Daniel Daniel Sabba KcqCk0Padmm This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received thi
smaller size - EUR 25mm delta): A. 5y EURUSD premium neutral risk reversal (long EURUSD put struck at 1.24501 short EURUSD call struck at 1.4600) B. Short EURUSD 1bn 5y forward. Forward points: 1040/1125 C. 1y EUR puts struck at 1.2450 (spot) offered at 2.90% As you can see the pricing for smaller size is mu
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