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e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF WAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We will
A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value
2 mentions1 same-page
Page ?Same page
e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF WAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We will
A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value
2 mentions1 same-page
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: 0.45 BASF (Bloomberg Ticker BAS GY) Ref: 90.28 Expiry: July 15 2015 Strike: 92 AC Offer: 2.68 IV: 25.52 / 26.08 Delta: 0.38 Allianz (Bloomberg Ticker ALV GY) Ref: 159.30 Expiry: July 15 2015 Strike: 160 Offer: 3.85 IV: 21.10 / 21.85 Delta: 0.42 Regards, Daniel From: Jeffrey E
A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value
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2 mentions1 same-page
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e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF (VAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We wil
. A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value
2 mentions1 same-page
Page ?Same page
e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF (VAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We wil
it. A. Quanto call options (denominated in USD). The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). The goal is to purchase options whose premium is mostly composed by intrinsic value to
2 mentions1 same-page
Page ?Same page
e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF (VAS GR) 100% implied vol: 3m Allianz (ALV GR) 100% implied vol: 3m Volkswagen (VOW GR) 100% implied vol: 25.08% 22.15% 15.35% We wi
it. A. Quanto call options (denominated in USD). The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). The goal is to purchase options whose premium is mostly composed by intrinsic value to
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2 mentions1 same-page
Page ?Same page
e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF (VAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We wil
. A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value
2 mentions1 same-page
Page ?Same page
e goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF (VAS GR) 100% implied vol: 3m Allianz (ALV GR) 100% implied vol: 3m Volkswagen (VOW GR) 100% implied vol: 22.15% 15.35% 25.08% EFTA0
edit. A. Quanto call options (denominated in USD). The idea is to benefit on the performance in local currency USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). in The goal is to purchase options whose premium is mostly composed by intrinsic val
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Mutual Connections (12)
Entities connected to both Bloomberg L.P. and EUR FX
Jeffrey Epstein
PERSON1,256 w/ Bloomberg·9 w/ EUR
Richard Kahn
PERSON274 w/ Bloomberg·7 w/ EUR
Paul Morris
PERSON191 w/ Bloomberg·8 w/ EUR
VS
Vahe Stepanian
PERSON158 w/ Bloomberg·7 w/ EUR
Deutsche Bank Securities Inc.
ORGANIZATION142 w/ Bloomberg·8 w/ EUR
Daniel Sabba
PERSON136 w/ Bloomberg·8 w/ EUR
Ariane de Rothschild
PERSON94 w/ Bloomberg·6 w/ EUR
Ariane Dwyer
PERSON60 w/ Bloomberg·5 w/ EUR
Volkswagen
ORGANIZATION16 w/ Bloomberg·8 w/ EUR
Allianz
ORGANIZATION11 w/ Bloomberg·8 w/ EUR
AQ
A. Quanto
PERSON5 w/ Bloomberg·5 w/ EUR
VOWG_p
ORGANIZATION2 w/ Bloomberg·2 w/ EUR