📄 Extracted Text (157 words)
Historical Average Realized Dispersion
60.00%
50.00.
40.00%
30.00%
20.00%
10.00%
0.00% -
_ AS'
Nr t• ot> .41 ss' t
—Current Strike Price of Dec15 Calls on Dispersion
1 y Average Realized Dispersion (SX5f, HSCEt, NKY, EEM, SPX)
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket: SPX, EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
Final Payout = Notional • max(Average Realized Dispersion — Strike,0)
Average Realized Dispersion = Average(absolute value of Individual Dispersion for each Index i)
Individual Dispersion for Index i = Final Performance for Index i — Average Performance
Average Performance = average (Final Performance for each Index i)
Final Performance for Index i = -1)
Please let us know when would be a good time to connect.
Regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115771
CONFIDENTIAL SDNY_GM_00261955
EFTA01456541
ℹ️ Document Details
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1d4511a8444c3e188f8cebcd5426b1791bc175aecb525cbb397ecb71101e46e1
Bates Number
EFTA01456541
Dataset
DataSet-10
Document Type
document
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1
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