prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel Sabba classification: confidential wrote: classification: Strictly Confidential Jeffrey, I met with the head of FX trading of our investment bank to discuss the EUR hedging question you posed. To build a multi-billion short, a solution would be to implement a combination of spot, forward and options transactions over the course of several trading days/weeks. we propose discussing an execution plan in case you would like to pursue that route. we wanted to share with you the following parameters, which are indications for a EUR lbn short delta executed live in a typical trading day. Indication considerations: - Spot ref 1.2450/1.2451 - a live execution of EUR lbn spot could indicatively be done 20pips below screen bid at 1.2430 - Sy EURUSD forward mid 1.3530 - The indications below are for execution of one leg only, not all of them as a package - You mentioned this was a consideration for a client of yours - these indications assume standard ISDA/CSA terms - The levels below would be improved if instead of transacting EUR lbn delta, you did a smaller size. I have also included the levels for EUR 25mm delta Indicative Transaction Terms (for EUR lbn delta): A. Sy EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4450). EUR 1.Sbn notional per leg would lead to a net delta of EUR 1.05bn B. Short EURUSD lbn Sy forward. Forward points: 1034/1120 C. ly EUR puts struck at 1.2450 (spot) offered at 3.10% - EUR 2.3bn notional would lead to a delta of EUR 967mm Indicative Transaction Terms (for smaller size — EUR 25mm delta): A. Sy EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4600) B. Short EURUSD lbn Sy forward. Forward points: 1040/1125 C. ly EUR puts struck at 1.2450 (spot) offered at 2.90% As you can see the pricing for smaller size is much better. Please advise on