Discussion of long SY call options with a focus on the dislocation between interest rates and volatility. Deutsche Bank FX strategists predict USDJPY rates and suggest a 10-year expiry SY call option. The option has specific characteristics and risks, including a knockout feature and sensitivity to SY spot moves.
doj/DataSet10/EFTA01451250.pdf
{"title":"$Y [I]","key_people":["Nay Gupta"],"document_date":"01/10/2014","document_type":"correspondence","key_locations":["London, United Kingdom"],"key_organizations":["Deutsche Bank AG","Deutsche Asset & Wealth Management","DeAwm Key client Partners"],"reference_numbers":["DB-SDNY-0107612","SDNY_GM_00253796","EFTA01451250"]}