EFTA01361261.pdf

From: Stewart Oldfield [[email protected] Sent: 1/20/2015 2:10:48 PM To: Paul Morris [email protected] Subject: Re: Twitter follow-up - TRS + short calls [CI Classification: Confidential Thanks. Would be easier if he would just copy me .., From: Paul Morris Sent: Tuesday, January 20, 2015 12:18 PM To: Stewart Oldfield Subject: Fw: Twitter follow-up - TRS + short calls [C] Classification: Confidential From: Daniel Sabba Sent: Tuesday, January 20, 2015 09:44 AM To: Jeffrey Epstein <[email protected]> Cc: Vahe Stepanian; Richard Kahn <[email protected]>; Paul Morris Subject: RE: Twitter follow-up - TRS + short calls [C] Classification: Confidential Jeffrey, Wanted to follow-up with refreshed pricings for ly options. TWTR Spot Ref: 36.56. TRS: Previous levels still apply. European Call options on TWTR: Option Seller: Southern Financial LLC Option Buyer: DB Notional: 250,000 OTC Call Expiry: 20-Jan-16 Strike: 100% of spot Bid: 19.30% (Mid 19.50%) Vol: 48.46% Delta: 60% Expiry: 20-Jan-16 Strike: $40 Bid: $5.67 (Mid $5.74) Vol: 47.68% Delta: 53% Note: The IA for long TRS and selling a $40 call would be 38% instead of the 30% of the at the money call. Best regards, Daniel CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0050353 CONFIDENTIAL SDNY_GM_00196537 EFTA01361261