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From: Vinit Sahni
Sent: 3/14/2014 2:24:19 AM
To: jeeyacation@gmail.com
CC: Paul Morris
Subject: Re: Oil options
Attachments: graycol.gif
Importance: High
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 +447703720599.
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 well 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/] Vinit Sahni/db/
Subject: Oil options
Jeffrey
Just got off the phone with Vinit.
DB stopped marketmaking OTC oil options - for short dated Pd 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.
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.
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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
c
h
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