A memo discussing a premium neutral trade idea on long dated EUR downside using Digital Risk Reversals. The trade benefits from high forwards, elevated levels of vols and skew, and involves a 3-year structure with zero net premium. Comparison with vanilla risk reversals is also provided.
documents/vol00010-efta01365030-pdf.pdf
{"key_people":["Daniel Sabba"],"document_type":"correspondence","document_subtype":"memo","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055624","SDNY_GM_00201808","EFTA01365030"]}