EFTA01365032.pdf

From: Daniel Sabba Sent: 10/24/2014 8:57:40 AM To: [email protected] CC: Paul Morris j; Vahe Stepanian ; Stewart 0ldfield Subject: Jeffrey, an idea for you - 10x payout EUR digitals Jeffrey, This is a trade that is getting a lot of attention from hedge fund principals. Paul told me you have an options background and we thought this might be interesting for you. We solved for the expiries European put digitals on EURUSD would need to have for the structure to have 10x payout at expiry. Buy European digital puts in EURUSD Spot Ref: 1.2655 Strike: 1.2000 Payout: If EURUSD at or below 1.2000 at expiry: USD10mm If EURUSD above 1.2000 at expiry: USD 0 Expiry: 02/01/15 Premium Offer: USD1mm (10x payout) While implied vol in EURUSD has gone up a bit since the summer, it is still very low for historical standards. Many catalysts for why a EUR sell-off could happen, from renewed ECB monetary expansion, weak data out of Germany and faster US recovery leading to a stronger USD, between others. 3m ATMF im • lied vol in EURUSD source: Bloomber I JR1i5DV31.1 ;110r) ' • 8 36 7 3:125 7 3425 7 1575 F; ec,ii ' 99 5,1‘.e An -Actions- 97!Etti CID T A We Ch n t tt/..4).2,04. 11=711IrGaISITSIII" SIMM NOM ISM =2"in r t:Al L.- 18.0000 • 818 i.ast Price 7.1575 T High on 09/26/11 17.6100 16.0000 -4/- Average 10.2742 L 1 Low on 07/14/14 4.7800 14.0000 12.0000 10.0000 viegt 4:\sitip emst 8.0000 6.0000 4.0000 39 2010 • 2011 2012 2013 2014 Australia 61 2 sotn 8600 Brazil 11i I 8,48 450;3 Euro.. 44 20 72,0 7303 Conwins 49 69 9204 1210 .9/00 Kong 882 2977 6000 Japan 81 3 3201 8900 Singapore gR 6212 1000 U.B. 1 212 )18 NO) ig 2014Wooster. Finonat L.P WI 039901 EDT G? - 40 2-751-3 24 -Poi -2014 OS 40 Please note all prices are indicative and subject to change without notice. Regards, Daniel CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055626 CONFIDENTIAL SDNY_GM_00201810 EFTA01365032