EFTA01365640.pdf

1.16 275,100 362,700 1.15 220,700 308,200 Regards, Daniel From: "jeffrey E." <jeevacationggmail.com> To: Daniel Sabba Date: 10/24/2014 10:06 AM subject: Re: Jeffrey, an idea for you - 10x payout EuR digitals lets speak On Fri, Oct 24, 2014 at 8:57 AM, Daniel Sabba ea wrote: Jeffrey, This is a trade that is getting a lot of attention from hedge fund principals. Paul told me you have an options background and we thought this might be interesting for you. we solved for the expiries European put digitals on EURUSD would need to have for the structure to have 10x payout at expiry. Buy European digital puts in EURUSD Spot Ref: 1.2655 Strike: 1.2000 Payout: If EURUSD at or below 1.2000 at expiry: USD10mm If EURUSD above 1.2000 at expiry: USD 0 Expiry: 02/01/15 Premium Offer: USD1mm (10x payout) while implied vol in EURUSD has gone up a bit since the summer, it is still very low for historical standards. many catalysts for why a EUR sell-off could happen, from renewed ECB monetary expansion, weak data out of Germany and faster us recovery leading to a stronger USD, between others. 3m ATMF implied vol in EURUSD (source: Bloomberg) (Embedded image moved to file: pic29276.gif) Please note all prices are indicative and subject to change without notice. Regards, Daniel (Embedded image moved to file: pic10597.gif) Daniel Sabba Director I Key Client Partners Deutsche Bank Securities Inc Deutsche Asset & wealth Management 345 Park Avenue, 26th Floor New York, NY 10154 Tel. Mobile Email Derivatives are financial transactions based upon one or more predetermined market factors where periodic payments (or a one-time lump-sum payment) are made by each of the parties to the transaction based upon the value of the market factor or factors. The amount of the payment(s) will either be set at CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056445 CONFIDENTIAL SDNY_GM_00202629 EFTA01365640