EFTA01139537.pdf

From: Daniel Sabba < To: jeevaeationgginail.eom Cc: Paul Morris < , Vahe Ste 7anian , Stewart Oldfield • Subject: Jeffrey, an idea for you - 10x payout EUR digitals Date: Fri, 24 Oct 2014 12:57:40 +0000 Inline-Images: unnamed; unnamed(1) 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) EURUS0V3H 1.1575 - 1400 801 7.0350/7.2800 B6ti 8:36 Op 7.3225 Hi 7.3425 to 7.1575 Close 7.2975 ELT rj_.[ _ pi E e Chart ECIE(7/3/E1 IMIZETICIrralg 10/2412C14 0-‘=re ‘;• SY 9:: :: . • ‘• G Seco-Cy/Study • haat 0 .18.0000 y•l est Price 7.1575 T High on 09/26/11 17.6100 -16.00e0 tT Average 10.2742 1. 1. low on 07/14/14 4.7800 .14.0000 .12.0000 .10.0000 48.0000 6.0000 .4.0000 39 2010 2011 I 2012 2013 2014 Australis 41 a 9777 4400 Orsoll 5511 30 4500 Pews 44 20 72?, 2500 Gs,. 49 49 9204 1210 Mei, Xs.052 2977 Joan 41 2 2421 PM Stroppy* 45 1412 1000 V.2. 1 212 210 ZOO fN 01901 CDT 12/1TEMIZZ-W-Iii=20 11404'44,21 Please note all prices are indicative and subject to change without notice. Regards, Daniel EFTA01139537 Daniel Sabba Director I Key Client Partners Deutsche Bank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue. 26th Floor New Tel. + Mobi 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 a fixed amount or fluctuate as the value of the underlying market factor fluctuates. The underlying market factors are items or variables which are subject to market fluctuations; for example, interest rates, currency exchange rates, assets, stock prices, stock index levels, commodities or a combination of one or more of these factors. Derivatives are normally used either as a hedging device or as an investment vehicle. Over-the-counter (OTC) derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk. In certain transactions, you could lose your entire investment or incur unlimited loss. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01139538