From: Nav Gupta To: [email protected] Cc: Paul Morris Tazia Smith , Vahe Stepanian Subject: Jeffrey - EURUSD Puts vs Calls - Nav Date: Thu, 05 Jun 2014 18:08:37 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) 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. 1 day EUR USD Chart 13580 13560 13540 13520 13500 08:00 16:00 05 Jun 2014 EUR Curncy (Faro Spot) Graph 31 Days Tidc Copyright® 2014 Bloomberg Finance 05-Jun-2014 19:05:23 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 Nav Gupta EFTA01206217