EFTA01139555.pdf

From: Daniel Sabba < To: jeevacationggmail.com Cc: Paul Morris < Vahe Ste anian < , Stewart Oldfield Subject: Re: Jeffrey, an idea for you - 10x payout El;R digitals [C] Date: Fri, 24 Oct 2014 14:34:20 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, Per our phone conversation, please find mids and offers below. Please note these offers work for one transaction at EUR10mm payout - one offer done at this size with you cancels the other offers. Each digital payout : EUR10mm Expiry 2-Feb-2015 Strike Mid (EUR) Offer (EUR) 1.22 1,330,900 1,419,200 1.21 1,003,800 1,091,900 1.20 762,400 850,400 1.19 583,500 671,300 1.18 453,800 541,500 1.17 347,400 435,000 1.16 275,100 362,700 1.15 220,700 308,200 Regards, Daniel From: Jeffrey E." <jeevacation©grnail.corn> To: Daniel Sablaa/db/dbcom©DBAMERICAS. Dale: 10124/2014 10:06AM Subject: Re: Jeffrey. an idea for you - 10x payout EUR digitals lets speak On Fri, Oct 24, 2014 at 8:57 AM, Daniel Sabba -- wrote: 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 EFTA01139555 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 implied vol in EURUSD (source: Bloomberg) EURUS0V3H 8Gti 7.0350 /7.2800 9—, 9 36 1 5./ D • 7 3475 7.1575 Close 7.2975 EL,PLISR, 311 €311 Cur 99 Save As 99 Actions- 90 km '_me Cart 10/.6/2019 ECEEIIIIEGEMMIrt , :Amon tic. At, ====12003 d Us, e, 7475. 14:te 0 .18.0000 c• last Price 7.1575 • T High on 09/26/11 17.6100 .16.0000 • Average 10.2742 1. Low on 07/14/14 4.7800 .14.0000 .12.0000 .10.0000 0 fit ,0 . .6.0000 .4.0000 19 2010 2011 i 2012 2013 I 2014 *astral la Cl 1 9,7: 7 040 Recoil Wn ?NO COD r./[p 44 10 MO 72:0 Conoco 42 Cl %NS 1210 Hwy 2.orq ON 2-177, Imp et t txo oac. eS1? IMO V S 1212 3,0 20X, Copyricni 2014 Oicaor9 01.,27:7 So 029901 WI 00-4 CO 0402.2-7., 7i.Oet-2014 0: 4. Please note all prices are indicative and subject to change without notice. Regards, Daniel Daniel Sabba Director I Key Client Partners Deutsche Bank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue. 26th Floor New York NY 10154 Tel. Mob Email Derivatives are financial transactions based upon one or more predetermined market factors where periodic payments (or a one-time lump-sum payment) are made by each of the parties to the transaction based upon the value of the market factor or factors. The amount of the payment(s) will either be set at a fixed amount or fluctuate as the value of the underlying market factor fluctuates. The EFTA01139556 underlying market factors are items or variables which are subject to market fluctuations; for example, interest rates, currency exchange rates, assets, stock prices, stock index levels, commodities or a combination of one or more of these factors. Derivatives are normally used either as a hedging device or as an investment vehicle. Over-the-counter (OTC) derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk. In certain transactions, you could lose your entire investment or incur unlimited loss. 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 destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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. EFTA01139557