A memo discussing a financial strategy involving long dated EUR downside through Digital Risk Reversals. The strategy benefits from high forwards, elevated levels of vols and skew, and is a premium neutral trade with observation at expiry. Comparisons are made with vanilla risk reversals.
documents/vol00010-efta01457776-pdf.pdf
{"key_people":["Jeffrey","Daniel Sabba"],"document_type":"correspondence","document_subtype":"memo","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0117452","SDNY_GM_00263636","EFTA01457776"]}