From: "Jeffrey E." <[email protected]> To: Nav Gupta >, Paul Morris Subject: Re: Jeffrey - EURUSD Puts vs Calls - Nav Date: Thu, 05 Jun 2014 20:03:55 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) 134 15 spend, 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 13580 13560 13540 13520 1.354X) 08:00 16:00 OS Jun 2014 EUR Curncy (Euro Spot) Graph 31 Days Tidc Copyrighdi 2014 ificanterg Finance L.P. 05-Jun-201419:05:23 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 EFTA01206224