EFTA01380926.pdf

Ref vanilla: 4.30% Ref SPX future: 2115 Ref 10y fwd: 2.54% SPX Implied volatility levels close to historical lows GRAB 99 Aalft; 941Iniir kn. 24, -761D u$Tame 02-lnn-ZOI5 Volatility Comparison Ti fl Tog fl it^Ha 10004 at Soniadratralvte, n ■ (1.) 6M 105% Mny 12.104 35 if (2.) 6M 95% Mny 16.839 • 30 25 •• 20 -15 • 10 Mny -4.735 -4.00 Low: 5. 1 2011 2012 2013 2014 AUslrolto 61 2 9777 am Erort1 5311 239.5 9003 Europe 44 20 7130 7900 Germs 4) 69 9204 1210 May Kong 952 2977 Japan $1 3 4201 9900 Sugeloore 65 6212 1000 U 1 212 218 2600 Copyright 2015 Blomberg P/MOVOO L 2015 91'93r, 10 11 2‘. EDT pert-4 Please let us know if you would like to discuss. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email 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 trades) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0079505 CONFIDENTIAL SDNY_GM_00225689 EFTA01380926