EFTA01453756.pdf

SPREAD SUMMARY Last 164.78 Mean 234.2757 Off Avg -69.4957 %Aar, It Medan 214.7206 ............... um` .pi StDev 122.7606 StDev from mean -0.5661 Percentile 39.0966 High 11/09/11 552.5662 Low 08/10/09 6.15132 2009 I 2010 2011 2012 2013 I 2014 GBTPGRIO Index (Italy Generic Govt 10Y Yield) Copyright@ 2014 Bloomberg Finance L.P. 14-Apr-2014 16:21:57 2) Tactically position for higher EURUSD - 2 week view (now) BUY EUR50mm 2week expiry 1.40 strike European Style EURUSD Calls @ 6bp (EUR30,000) This is a low cost contrarian short term tactical call. Most investors myself included are bullish USD in the medium term (see trade 3) but in the very short term I see EURUSD higher because: i) Despite ECB preparing the markets for QE, the price action of EURUSD (broadly unchanged) has been quite bullish compared to what one would expect ii) Speculators don't appear long EURUSD to us. Majority are short or flat. iii) implied volatility is 5.25% (offer for 2week options) which is very very low historically. So this is a penny option, highly convex, pain trade bet against other speculators betting on QE If my view is wrong 6bp is lost. If I'm right I'd plan to exit in a week making 4-6x Scenario Anal sis - Premium in bp of EUR notional EURUSD call option prices Spot 1.382 Spot At exp 1w 2w 1.42 141 142 145 1.41 71 76 84 1.4 0 24 37 1.39 0 4 11 1.382 0 1 4 « 4bp is mid mkt, offer is 6bp 3) Position for a Stronger Dollar - lyear view (now or soon) Buy 1y expiry European style digital binary option on EURUSD struck 5% below spot @ 21% of payout (which i think is too cheap) CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 111562 CONFIDENTIAL SDNY_GM_00257746 EFTA01453756