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EFTA Document EFTA01365030
Title Matchefta-efta01365030
Case Filesd-10-EFTA01365030Dept. of JusticeEFTA Document EFTA01365030
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Case File
sd-10-EFTA01365030Dept. of JusticeEFTA Document EFTA01365030
Other
We wanted to flag an idea on long dated EUR downside. Digital Risk Reversals benefit from the high forwards, along with elevated levels of vols and skew. The following example is a premium neutral trade with observation at expiry. 1.1125 EURUSD spot ref +485 3y swap points 3y 1.0750 / 1.3175 Digital risk reversal (zero net premium) Client buys 3y Digital put struck at 1.0750, European observation Client sells 3y Digital call struck at 1.3175, European observation Net premium: Zero We co
Date
Unknown
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Dept. of Justice
Reference
sd-10-EFTA01365030
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