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EFTA Document EFTA01451427
Title Matchefta-efta01451427
Case Filesd-10-EFTA01451427Dept. of JusticeEFTA Document EFTA01451427
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Case File
sd-10-EFTA01451427Dept. of JusticeEFTA Document EFTA01451427
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1/9/14, and note that #2 of the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD. Consider a lOyear expiry SY call option struck at 85 (spot fx 105, forward fx 77.70). Price 4.7% of USD notional This option has four notable characteristics If SY stays at these levels the option decays positively by approx 15-20% per year If SY trades 90.00 at any time (arguably a scenario in which the option is no longer wanted) the option "knocks-out"
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Dept. of Justice
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sd-10-EFTA01451427
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