EFTA01454400.pdf

From: Tazia Smith Sent: 6/10/2014 12:05:25 PM To: Jeffrey epstein [email protected] CC: Rich Kahn >; Nay Gupta 1 ; Vahe Stepanian ; Paul Morris Vinit Sahni Subject: Fw: KCP Capital Markets Flash - You can buy 3x 105 S&P Call vs sell lx 95Put - and still take money out Classification: External Communication Jeffrey - Consider taking advantage of the skew that Nav identifies in his email below in the LISTED market (clearly, you can see levels on exchange) depending on your bull/bear views over next 3mos (or longer tenor - express or replace long risk). Example at current levels 3x1 -105/95 3mo risk reversal: SPX Spot ref 1949.40 Sep Future ref 1948.50 SPX Sep 2050 call: 56.50x57.50 (bbg) SPX Sep 1850 put: 520.50x522.50 (bbg) Buy 3 SPX Sep 2050 calls, sell 1 SPX Sep 1850 put Net Credit 40.50/sh Quote from exchange trader, not DB (subject to market movement. As of 6/10/14) Let us know your thoughts, Tazia Non-Advisory Clients only Like the risk:reward here of this 1x3 - better than running outright long in S&P underlying : S&P Expiry : 3mth 105 call is 9.1% vol mid ie 0.29% of notional (0.30% offer) 95 put is 13.5% vol mid ie 0.95% of notional (0.95% bid) mid Forward 99.60 Buy three 105 calls against selling one 95 Put, net take out Sbp I'd switch S&P longs into this - worst case S&P tanks and you have the same delta exposure as outright long. But if S&P rallies materially you have 3x the delta risk. Upfront rec a few bp. Pls show to your clients - happy to price variations of this - let us know Best, Nay « image 1 » Nam Gupta managing Director Deutsche Bank AG, Filiale London Deutsche Asset & wealth Management 105/108 Old Broad St (Pinners Hall), EC2N lEN London, united Kingdom CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 112478 CONFIDENTIAL SDNY_GM_00258662 EFTA01454400