From: Paul Morris < To: "Jeffrey Epstein" <jeevacation(kgmail.com>, Nay Gupta < Subject: Re: Jeffrey - EURUSD Puts vs Calls - Nav [I] Date: Thu, 05 Jun 2014 21:22:27 +0000 Importance: Normal Inline-Images: unnamed Classification: For internal use only Jeffrey pls copy london and ny coverage desks so you get immediate follow-up particularly end of day thx From: "jeffrey E." Ueevacation@,)gmail.com] Sent: 06105/2014 02:03 PM CST To: Nay Gupta; Paul Morris Subject: Re: Jeffrey - EURUSD Puts vs Calls - Nav 134 15 spead, size ? bid ask? for each side please. On Thu, Jun 5, 2014 at 12:08 PM, Nay 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. 1day EUR USD Chart 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 I'll work on the scenario grids for you overnight - I think this pop in EURUSD is opportune to start scaling Nav EFTA00991348