Subject: USDBRL Idea/Axe From: Martin Zeman < Date: Mon, 04 Jun 2018 09:24:22 -0400 To: "Paul Barrett ( Cc: Xavier Avila Davide-A Sferrazza <MORWMPRIPAMPRIONWIMPRIMM, Stewart Oldfield Paul, I think this trade makes sense: Ever since we sent the recommendation to buy ly USDBRL riskies back in mid April, they have come a long way. From the low of 2.25 that we saw, they last traded at 3.5 and bid on (this morning). I'm recommending holding that position for now. However, I like fading the riskies in the front end, especially pre-elections. The BCB seems to be keen on reducing volatility above the 3.75 level. They are not really protecting a level per se, but rather, they sell enough USD via the swaps (750 per day) anytime USDBRL seems headed towards 3.80. The 4m expiry is pre elections, and the 25d r/r have gone from 1.6 to 2.75 or so in the last month. I suggest the following: Buy a 4m (4th October) 3.60 and sell a 4m 3.90 in equal notional, and earn 1.03% USD in premium. Vols are 15.75 and 14.0. We can do 300 per at that level. Let me know if you have any questions or need pricing variations. EFTA01435723