EFTA01412964.pdf

Subject: Fw: Follow-up stock screen for Twitter-style trade [C] From: Paul Morris ‹ > Date: Tue, 10 Feb 2015 19:55:54 -0500 To: Stewart Oldfield ‹ > Classification: Confidential From: Daniel Sabba Sent: Tuesday, February 10, 2015 07:32 PM To: jeffrey E. <[email protected]> Cc: Vahe Stepanian; Jay Lipman; Paul Morris; Richard Kahn < =.> Subject: Follow-up stock screen for Twitter-style trade [C] Classification: Confidential Jeffrey, Jay and Vahe from my team put this together to follow-up on lower priced equities for which we can implement the TWTR equity structure in either a listed or OTC structure. To start, we screened the S&P 500 with the following criteria: Share Price ($10-$20 range) Market Cap (>$10bn) Covered by DB Research The following 5 names fit the criteria: {cid:[email protected]} (Note: Pricing as of close 02/09/2015) As demonstrated below, all 5 names remained in a narrow band for the earlier part of 2014. EFTA01412964 In the latter months of the year, FCX, BAC and FITB saw a significant increase in implied volatility, most notably Freeport-McMoRan (FCX). fcid:[email protected] As a result of these fluctuations, listed premiums are now as follows: fcid:[email protected] Icid:[email protected] (Note: Pricing as of close 02/09/2015) (*Premium (%) = Bid/Price (Sh.)) Regards, Daniel EFTA01412965