EFTA01449251.pdf

16 May 2013 FX Blueprint: Dashing Buck GI0 and hence is susceptible to rebound. Within the IGBP/USD volumes falling sharply in 2013 Eurozone, another factor to consider is the risk sensitive safe-haven unwinds (mainly from Switzerland and the UK) which could further add to this trend. — GBPUSO 2W vaume —2W eabsed vcialny (RHSi The favoured trades In sum, a further increase in trading volumes and monetary policy divergence could see a broad-based volatility pick-up. Looking across a number of relative value trades, we recommended buying a 6M GBP/USD variance swap struck at 7.75%. and a 3M AUD/USD variance swap (9.00% strike), due to the low transaction volumes in GBP/USD and attractive historical realized volatility levels (see chart 6). Furthermore, these trades benefit from the negative Ms-11 Jul-11 Nov.11 Me, I? Jul-12 NDv-12 Mw-13 spot-to-empirical volatility skew. SIXOTI Ms, Nocvntwo nnirce Nicholas Weng, London, Options mar ket ADVs on the rise James Malcolm, London, 10 '2 —GBPUSO 1M opoons volume GBP 1M realised volablety IRKS, TO 6 .1 4 2 2 0 0 Mor.11 Jull I Nov-II Mar-12 Jul•12 Nov.12 Mar• 13 Sant' CAWroe IAUD and GBP realised volatilities are historically cheap 2 .11 1.5 1111111110min. 05 0 -0.5 -1.5 MGM re ed t-SCOte -2 /Qe29§2g§ 9§1112 - 6 88E202*o2Rm802. 2 2 8 g. 2 a a8?atiVe42. S°3@[email protected] .2) BS Soots litentery Anne LP Zeta',MUMnealetlasdanyMow ,.an Minded J Pago 20 Doutscho Bank AG/London CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0104584 CONFIDENTIAL SDNY_GM_00250768 EFTA01449251