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Jeffrey Epstein [jeeyacation@gmail.com]
3/14/2014 3:39:28 AM
Vinit Sahni
Re: Oil options
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Importance: High
thanks 4 hours for a quote in a normally fast moving market ?
confirms my voiced concerns
On Thu, Mar 13, 2014 at 10:24 PM, Vinit Sahni wrote:
Classification: External Communication
I am on a plane to and from tokyo tomorrow next 2-3 days, if u need something otherwise available 24/7 on
Vinit Sahni
-----Original Message-----
From: Vinit Sahni
Sent: 03/13/2014 09:47 PM EDT
To: jeevacation@gmail.com
Cc: Paul Morris
Subject: Fw: Oil options
Classification: External Communication
Jeffrey - apologise if this long to execute next time we'll be much quicker.
Nay Gupta
Original Message-----
From: Nay Gupta
Sent: 03/12/2014 09:35 PM GDT
To: njeevacation@gmail.com" <jeevacation@gmail.com>
Cc: Tazia Smith; Paul Morris/db
Subject: Oil options
Jeffrey
; Vinit Sahni/db
Just got off the phone with Vinit.
DB stopped marketmaking OTC oil options - for short dated I'd go for exch traded - better liquidity and lower
transaction costs in and out.
My central scenario - Kerry Lavrov meeting Friday will be a bust and the Crimea referendum this weekend
will result in "yes" given the 59pct ethic Russian makeup. Sunday/ Monday sanction rhetoric from ranging
from g8 expulsion to Iran-style bank embargo is raised a notch. Russia follows with more threats of counter-
sanctions. My sense is the Obama 5m of 696m SPR release is to show Merkel and co he will step in. He needs
to because there are 8 small European and Baltic countries that rec 70%+ of their gas from Russia. Germany
gets 30%.
Cross asset correlations outside of the US are increasing past few days - eg copper and the Turkish lira hourly
charts are on top of each other past 4 days. I'm worried there is a 30-40pct(?) chance of a hard risk off move in
markets in first half of next week - more focused on European equities, copper, EM FX (Turkey, ZAR, Ruble
etc) than SPX. In that scenario oil is way up.
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Exchange WTI calls - there are 2 options (as of 3pm est):
5day expiry 17march 2014 underlying clj4 97.92
and
35d expiry 16apri12014 underlying clk4 97.59
** The 5 day options are a bit short - one possibility is sell a 3usd out of the money put (95.5 strike) for
20cents and buy a 2usd OTM 100 call for 25. Net pay Scents. But 5d is a bit short for me.
**For 35d expiry You could look at selling 91.50 (6usd OTM put) for 56cents and buying 103c (5.5usd OTM)
for 58cents or the 102c (4.5usd OTM) for 76cents.
CL1 <comdty> OMON on Bloomberg has live strikes and bid/ask.
If 5d is too short and 35d is too long / not enough gamma, Tazia may be able to source liquidity from the
street. Am Cc'ing her for any live pricing or additional comment
Best
Nay
h
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