From: Tazia Smith <~l~> To: jeevacationggmail.com Cc: Paul Morris , Nav Gupta Vzthe Stepanian , Matt Glassman Subject: EURUSD 1.345:1.38 risk reversal - matures 9/8/14 [C] Date: Fri, 15 Aug 2014 14:20:09 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3) Classification: Confidential Good Morning Jeffrey - Keeping on your radar that your EURUSD 1.345:1.38 risk reversal matures in 3 weeks (9/8/14). Incremental upside on your current position may be asymmetric to the risk of a bounce, eating into your gains on your in-the-money position. Spot's rallying a bit this morning (3-day chart below), but on a reversion back toward 1.336 spot, consider taking gains. Perhaps roll into a new 3mo structure if your view remains that there is extended downside to EURUSD. Current indicative levels on your current position below, along with current levels on a new 3mo risk reversal: EURUSD Spot Ref 1.3394 Current: <Client> sells Put, buys Call on EUR/USD in a Risk Reversal Put Strike: 1.345 Call Strike: 1.38 Notional: EUR 10,000,000 EUR Expiry: Mon 08-Sep-2014 Settlement: Wed 10-Sep-2014 ZoneCut: NY Premium: USD -89,300:4,200 (-85,100) Premium Date: Tue 19-Aug-2014 Client Receives $85,100 3-Month Risk Reversal: <Client> buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.32 Call Strike: 1.3547 Notional: EUR 10,000,000 EUR Expiry: Mon 17-Nov-2014 Settlement: Wed 19-Nov-2014 ZoneCut: NY Premium: USD 74,100:-74,100 (-0) Premium Date: Tue 19-Aug-2014 Client Receives/Pays: $0 Indicative Levels. Subject to market movement. Source: DB FX Pricer, 8/15/14. EURUSD 3-day Price History EFTA01204616