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Thursday, December 07, 2006
FX OPTIONS: EUR/USD Decent Size Year-End 1.3100/1.3400 R/R
One of my sources informed me that a 1.3100/1.3400 risk reversal traded for the year-end expiry date (Dec 29) at 0.1 pct in an estimated E350mn a leg earlier today. The 1.3400 level also holds exotic exposure. 1.3370 was Monday's 21-month peak. A mid-January expiry 25 delta risk reversal is additionally tipped to have traded at 0.55 pct for EUR calls today.
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