Text extracted via OCR from the original document. May contain errors from the scanning process.
IMa>
Cc:
, Paul Morris cca>
Inline-Images: unnamed; unnamed(1)
Classification: Confidential
Good Morning Jeffrey,
Hope you had a great holiday weekend. As you have likely seen, GBP is currently at a 2 yr. high vs. USD (@ —1.64; see graph
below). The most recent move up has been attributed to a rise in construction activity for a seventh month, the fastest pace
since August 2007. I recall you mentioned in our meeting that your view is to sell GBP if it approaches 1.65.
For what it's worth, our DB analysts have a bearish view on the pound. A recent (DB) FX note discusses reasons why it's
tough to build a fundamentally bullish case for sterling with the market pricing the first BoE hikes by mid-2015 (well ahead of
the ECB and even the Fed). We see potential for GBP to reverse to the mid-1.50s by year-end.
With that said, we priced up a few options that I've included below - consider selling a call, buying a put or a risk reversal.
Recognize that GBP vol. is currently relatively low (vs. historical levels).
Spot ref = 1.6397
1) Sell European GBP Call on GBP/USD
Strike: 1.67
Notional: GBP 5,988,023.95 (or -$10mm)
Expiry: Tue 03-Jun-2014 (6m)
Settlement: Thu 05-Jun-2014
Premium: USD -103,400
2) Sell European GBP Call on GBP/USD
Strike: 1.70
Notional: GBP 5,882,352.94 (or —$10mm)
Expiry: Wed 03-Dec-2014 (12m)
Settlement: Fri 05-Dec-2014
Premium: USD -123,900
3) Buy European GBP Put on GBP/USD
Strike: 1.6376 (ATMF)
Notional: GBP 5,988,023.95 (or -$10mm)
Expiry: Tue 03-Jun-2014 (6m)
Settlement: Thu 05-Jun-2014
Premium: USD 219,365.27
Also worth mentioning —AAPL has run up quite a bit in the past few days (currently trading @ -$560; up from $519.80 on
11/22). I know you're looking to sell calls, will provide levels if still interested. Recall you're long 2k AAPL @ —$529.06.
Have a great day.
Thank you,
Vahe
EFTA01140586
Vahe Stepanian
Associate I Wealth Investment Coverage
Deutsche Bank Securities Inc.
Deutsche Asset 8. Wealth Management
345 Park Avenue - 26th Floor
GBP BGN Curncy
12/03/2010
1D
'
95) Save As
12/03/2013 Last Price
SY Max
96) Actions -'
9-6Edit -W
slin
rinr
ie
art
BGN
Line
11) Compare
Mov. Avgs IM
No Lower Chart la USD ll
Daly •
Sr
fe Security/Study
II Event
0
r
'U Last Price
1.6407 [
T High on 04/29/11 1.6707
+ Average
1.5827
1 Low on 07/09/13 14867
1.6500
4
Dec
Kw
Jun
Sig
Dec
Mar
Jun
Sep
Dec
Mar
Jun
Sep
Dec
I
2012
I
2013
Australia 61 2 9777 8600 Brazil 5511 3048 4500 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000
Japan 81 3 3201 8900
Singapore 65 6212 1000
U.S. 1 212 318 2000
Copyright 2013 Bloomberg Finance
SN 264224 H703-1366-2 03-Dec-13 10.14.24 EST GMT-5.00
P.16000
*15500
LS000
This communication may contain confidential and/or privileged information.
If you are not the intended recipient (or have received this communication
in error) please notify the sender immediately and destroy this
communication. Any unauthorized copying, disclosure or distribution of the
material in this communication is strictly forbidden.
Deutsche Bank does not render legal or tax advice, and the information
contained in this communication should not be regarded as such.
EFTA01140587