EFTA00839460.pdf

From: "Jeffrey E." <[email protected]> To: Richard Kahn • Subject: Re: Dispersion Call Option [C] Date: Fri, 04 Dec 2015 22:30:25 +0000 geta bid On Fri, Dec 4, 2015 at 3:54 PM, Richard Kahn < > wrote: Shall I change our bid for Monday from 85,000 to another number. Please advise. Thank you. Sent from my iPhone Begin forwarded message: From: Vahe Stepanian • Date: December 4, 2015 at I :56:49 PM 1 ST To: Richard Kahn Cc: Daniel Sabba Ariane Dwyer , Paul Morris , Stewart Oldfield Subject: RE: Dispersion Call Option ICI Classification: Confidential One more point worth mentioning — the realized dispersion when we spoke on Wednesday was -9.95%. This decline from 9.95% to 9.41% would also affect the indicative bid of the option. From: Vahe Stepanian Sent: Friday, December 04, 2015 1:09 PM To: Richard Kahn Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield Subject: Dispersion Call Option [C] Classification: Confidential Rich - please note that Southern Financial did not unwind the dispersion option today as we were away from the 2.00% limit per my conversation with you and Darren. The indicative bid is currently 0.90% since there is little time left to expiry and the time decay is significant. Realized dispersion is —9.41% given the following spot references: EFTA00839460  Undedyings Spots .HSCE 9,886.39 14225 19,628.76 .SPX 2,081.58 .STOXicAP 3,346.93 33.79 Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities In All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govem. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note 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], and EFTA00839461 destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00839462