From: Vahe Stepanian To: "Jeffrey E." <[email protected]> CC: Daniel Sabba Ariane Dwyer , Paul Moths , Stewart Oldfield Subject: RE: Longer Dated EUR Downside (3y structures) [C] Date: Tue, 30 Jun 2015 21:13:29 +0000 Classification: Confidential Jeffrey — we will be back first thing in the morning (NY time) with live levels. We will include bid/asks for both sides. Thank you, Vahe From: Jeffrey E. imallto: Sgn rniln Sent: Tuesday, June 30, 2015 3:22 PM To: Paul Morris; Daniel Sabba Subject: Re: Longer Dated EUR Downside (3y structures) [C] please provide bids and ask for both sides. thanks, just landed in paris On Tue, Jun 30, 2015 at 7:27 PM, Paul Moths wrote: Jeffrey are you available to talk with the team? Thx Original Message From: Vahe Stepanian Sent: Tuesday, June 30, 2015 09:18 AM Eastern Standard Time To: Jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Moths; Stewart Oldfield; Richard Kahn Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR 100mm notional. 1.1220 EURUSD spot ref 1) Expiry 6m SOFL buys vanilla EUR put struck at 1.04 SOFL sells vanilla EUR call struck at 1.1835 Net premium: zero 2) Expiry 6m SOFL buys vanilla EUR put struck at 1.05 SOFL sells vanilla EUR call struck at 1.1790 Net premium: zero EFTA00632114