From: Vahe Stepanian To: "'Jeffrey Epstein"' <[email protected]> CC: Paul Morris , "'Richard Kahn" , Daniel Sabba , Ariane Dwyer , Stewart Oldfield Subject: RE: DB James Malcolm: Are the BoJ shifting stance? Own some cheap optionality [C] Date: Mon, 04 May 2015 17:44:15 +0000 Inline-Images: image001.gif Jeffrey- bid/ask below per your request. There was a typo in the previous email, the mid represented was not the mid on the structure but an offer on one of the legs. To clarify, we priced the structures by choosing a strike on the USD/JPY put sale, then solving for the call. Spot ref = 120.15 #1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 118.00 Call Strike: 122.45 Notional: USD 10,000,000 USD Expiry: Thu 06-Aug-2015 (3m) As a spread: Price on the 118.00 is 103,000 / 113,000 Price on the 122.45 is 103,000 choice #2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 117.00 Call Strike: 123.45 Notional: USD 10,000,000 USD Expiry: Thu 05-Nov-2015 (6m) Settlement: Mon 09-Nov-2015 As a spread: Price on the 117 is $149,100 / $160,000 Price on the 123.45 is $149,100 #3) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 116.00 Call Strike: 125.00 Notional: USD 10,000,000 USD Expiry: Thu 05-Nov-2015 (6m) Settlement: Mon 09-Nov-2015 ZoneCut: NY As a spread: Price on the 116.00 is $117,500 / $130,000 Price on the 125.00 is $117,500 choice Thank you, Vahe EFTA00857551