From: Nav Gupta To: "jeffrey E." <[email protected]>, Paul Morris < Stepanian" Subject: Re: Jeffrey - EURUSD Puts vs Calls - Nav Date: Thu, 05 Jun 2014 21:06:44 +0000 Importance: Normal Inline-Images: unnamed >, "Vahe Classification: For internal use only Jeffrey My colleague in NYC Vahe () is getting a price and will send directly to you. The desk is just running its end of day risk and p-Fl reports and we'll get a price to shortly. Nay From: "jeffrey E." [email protected]] Sent: 06/05/2014 02:03 PM CST To: Nay Gupta; Paul Morris Subject: Re: Jeffrey - EURUSD Puts vs Calls - Nay 134 15 spead, size ? bid ask? for each side please. On Thu, Jun 5, 2014 at 12:08 PM, Nav Gupta < wrote: Jeffrey, EURUSD spiked post ECB. Shorts who expected spot to go lower but don't want the risk into tomorrows payrolls are getting stopped out after hours. !day EUR USD Chart LSJ EURUSD Spot Ref 1.3660 Expiry 3months 5Sep14 European Style Buy 1.3415 EURUSD Put / Sell 1.38 Call Net premia is flat (The strikes arent symmetric around spot because the vol for the call you want to sell is 0.7 vol lower than the vol for the put) Alternatively consider : - Buy 1.345 EURUSD Put / Sell 1.38 Call Net premia you pay is 8.5bp of notional EFTA00991330