EFTA01462357.pdf

Subject: B XLK Calls - low im lied vol [I] From: Tazia Smith < Date: Wed, 22 Jan 2014 11:46:43 -0500 To: [email protected] Cc: Paul Morris < Vinit Sahni < Nay Gu•ta < Vahe Stepanian Classification: For internal use only Jeffrey - Nay highlights XLK OTC calls below; we like this big-cap US tech underlier. The listed market offer s comparable low implied vol entry point. The March $37 strike calls are offered -72bps (offer vol: 11.9%). Jun $38 calls are offered -1% (offer vol: 11.8%). Spot reference of $35.88 on XLK. Meanwhile, your AAPL shares are up -1.1% ahead of earnings on Monday, largely due to Ichan tweeting today that he has been buying (source: Bloomberg, 1/22/14). January implied vol on AAPL shares is ov er 40% ahead of the earnings announcement (skew is fairly flat between 80-120%). Note: Jan31 $575 strike are presently $7.35 (-1.3%) bid (vol offer: 43.3%, $555.35 spot ref). You could sell those if you're more bearish than Ichan into earnings! (i suggest that tongue-in-cheek, i suspect you'd rather just keep the upside potential in your shares, but let us know). Let us know your thoughts on XLK. Best Regards, Tazia Indicative levels only. Subject to market movement. Source: Bloomberg, 1/22/14. (Embedded image moved to file: pic13458.gif) Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset a Wealth Management 345 Park Avenue, 26th Floor New York, NY 10154 Tel. Fax Mobile Email (Embedded image moved to file: pic02600.gif) Forwarded by Tazia Smith/db/dbcom on 01/22/2014 10:45 AM From: Nay Gupta/db/dbcom@DBEMEA To: [email protected], [email protected], Date: 01/22/2014 09:43 AM Subject: OTC Call options on XLK US (tech) look good value at 13-14% vol [I] EFTA01462357 Classification: For internal use only XLK is a $13.7bn tech sector ETF. Investors bullish tech should consider short dated OTM calls on XLK which combine low levels of impl ied vol and an efficient underlying Trades: Buy 3m expiry XLK 3% OTM call @ 1.24$ (offer vol: 12.8) Buy 6m expiry XLK 6% OTM call @ 1.44$ (offer vol: 13.6) Spot ref: XLK Index = 35.85 XLK top 10 Holdings AAPL 14% GOOG 9.3% MSFT at IBM 5.6% T 5.1% VZ 4% QCOM 3.7% CSCO 3.5% V 3.4% Past Returns and Implied Vol (Embedded image moved to file: pic09496.gif) Compared to most of its components, XLK has relatively low implied volatility vs returns XLK Price (Embedded image moved to file: pic31455.gif) Short dated implied volatility is low (Embedded image moved to file: pic22707.gif) Blue Line Implied Vol I White Line Delivered vol KCP Capital Markets London Vinit Sahni I Nay Gupta I Vanshree Verma (Embedded image moved to file: pic26863.gif) Nav Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset a Wealth Management 105/108 Old Broad St Pinners Hall), EC2N lEN London, United Kingdom Tel. Mobile Email Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP") London desk f or discussion purposes only, and do not create any legally binding obligation on the part of Deutsch e Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intended reci pients of this mail only. The KCP London desk does not provide investment advice. All intended recip ients are Professional investors (as defined by MiFID), who understand the strategy, characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. (Embedded image moved to file: pic09603.gif) This e-mail may contain confidential and/or privileged information. If you are not the intended reci pient (or have received this e-mail in error) please notify the sender immediately and delete this e -mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strict ly forbidden. EFTA01462358 Please refer to http://www.db.com/en/content/eu_disclosures.htm for additional EU corporate and requ latory disclosures. EFTA01462359