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EFTA Document EFTA01461716
Title Matchefta-efta01461716
Case Filesd-10-EFTA01461716Dept. of JusticeEFTA Document EFTA01461716
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Case File
sd-10-EFTA01461716Dept. of JusticeEFTA Document EFTA01461716
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Ref spot: 1.3610 Put strike: 1.347 (1.03% OTMspot) Call strike: 1.372 (0.81% OTMspot) 3m forward: 1.3611 Mid premium: -0.03% of EUR notional (i.e. investor would receive 0.03% of EUR notional) Put option vol: 6.0%, call option vol: 5.9% Scenario analysis for Trade 2: Table shows mid net premium (as % of EUR notional, that investor pays) for the above trade, as spot and time to expiry vary (only the highlighted premium for current spot is the offer level) (Embedded image moved to file:
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Dept. of Justice
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sd-10-EFTA01461716
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