EFTA02367705.pdf

From: Daniel Sabba Sent: Tuesday, April 14, 2015 12:55 PM To: jeffrey E. Subject: RE: Levered plays on BASF, Allianz and Volkswagen (Cl Classification: Confidential We are working on them. <=p> jeffrey E. Imailto:[email protected]] Sent: Tuesday, April 14, 2015 8:13 AM To: Daniel Sabba Subject: Re: Levered plays on BASF, Allianz and Volkswagen [C]co:p> prices?? On Mon, Apr 13, 2015 at 2:41 PM, Daniel Sabba sl iwrote: Classification: Confidential Jeffrey, This is a first cut of what we are looking at for you. We are pric=ng these alternatives tomorrow when European markets reopen. Will also con=ect with European colleagues to explore other opportunities, including credit. A. =uanto call options (denominated in USD). - = The idea is to benefit o= the performance in local currency in USD, without the need to hedge for E=R FX. B. =n-the-money vanilla call-options (denominated in EUR). = The goal is to purchase =ptions whose premium is mostly composed by intrinsic value to obtaining la=ge embedded option leverage. Vol references (from Bloomberg): EFTA_R1_01366160 EFTA02367705 3m BASF (VAS GR) 100% implied vol: 22.1=% 3m Allianz (ALV GR) 100% implied vol: 15.35%</=> 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We will revert tomorrow. Please let us know if anything else comes=to mind. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. This communication may contain confidential and/or privileged information. =f you are not the intended recipient (or have received this communication =n error) please notify the sender immediately and destroy this communicati=n. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidde=. Deutsche Bank does not render legal or tax advice, and the information cont=ined in this communication should not be regarded as such. please no=e The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 2 EFTA_R1_01366161 EFTA02367706 This communication may contain confidential and/or privileged information. =f you are not the intended recipient (or have received this communication =n error) please notify the sender immediately and destroy this communicati=n. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidde=. Deutsche Bank does not render legal or tax advice, and the information cont=ined in this communication should not be regarded as such. 3 EFTA_R1_01366162 EFTA02367707