The document discusses strategies for buying call options with knock-out features, particularly in the context of USDJPY. It suggests buying call options that knock-out if the spot trades down, as this aligns with being wrong on the direction bet. The memo includes a scenario analysis for a USDJPY call option with a strike of 85 and an American style KO at 90, with a spot reference of 102.51 and a 10-year forward of 77.10. It highlights the premium decay and sensitivity to spot moves, and compares the risk-reward of options with and without KO features.
doj/DataSet10/EFTA01446839.pdf
{"key_people":["Tazia Smith"],"document_type":"correspondence","key_locations":["345 Park Avenue, 213th Floor, New Vade NV 40454"],"document_subtype":"memo","key_organizations":["Deutsche Bank Securities Inc","Deutsche Asset & Wealth Management"]}