Fw: short crude vol strategy - follow-up analysis [I (Paul Morris, 2/5/2035)EFTA Document EFTA01357463
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RE: short crude vol strategy - follow-up analysis (Daniel Sabba, February 03, 2015)
Title Matchefta-efta01357462
Case Filesd-10-EFTA01357462Dept. of JusticeRE: short crude vol strategy - follow-up analysis (Daniel Sabba, February 03, 2015)
February 3, 20151p
Case File
sd-10-EFTA01357462Dept. of JusticeRE: short crude vol strategy - follow-up analysis (Daniel Sabba, February 03, 2015)
Email
To: jeffrey E.' Cc: Paul Morris; Vahe Stepanian; 'Richard Kahn' Subject: RE: short crude vol strategy - follow-up analysis Classification: Public Jeffrey, Per my previous email, WTI moved down over 8% on Wednesday and up 7% on Tuesday. As discussed at our meeting, this level of high realized volatility is very negative to a short straddle with daily delta hedging strategy. We refreshed the analysis below to include the Tuesday's and Wednesday's moves. We would like to point out this trad
Date
February 3, 2015
Source
Dept. of Justice
Reference
sd-10-EFTA01357462
Pages
1
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0
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