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Tuesday, December 05, 2006

FX OPTIONS: EUR/USD Decent Size 3-Mth 1.3400 EUR Call

We have been informed that a 3-mth 1.3400 EUR call option traded at 7.8 pct in an estimated E200mn earlier today. The current 3-mth expiry date is March 5, according to FENICS FX 2002. There is also exotic exposure at 1.3400. Barriers above reside at 1.3425, 1.3450, 1.3500, 1.3550, and 1.3600+.

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