From: "jeffrey E." <[email protected]> To: Vahe Stepanian Cc: Daniel Sabba , Ariane D Monis , Stewart Oldfield Subject: Re: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 19:03:52 +0000 Inline-Images: image001.png er , Paul , Richard Kahn i thought that a premium price denomitated in dollars is the very minimum for doing a trade. . this is again silly, i am aware of the convention but as i need to tell accounting . how much to pay, it makes little sense for me to tell rich kahn pay 3.5. % of JPY notional. On Fri, Oct 30, 2015 at 2:09 PM, Vahe Stepanian < > wrote: Classification: Confidential Jeffrey — we spoke to trading, and given where skew and vols are, it made sense to price up call spreads on JPY/KRO. Please find below indicative pricing for 6, 9, and 12 month call spreads on JPY/KRO. Note - there is likely to be more liquidity on this currency pair during Asia market hours, and KRO is the offshore currency of KRW. JPYKRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 EFTA01131670