EFTA01145402.pdf

From: Daniel Sabba To: "Jeffrey E." <[email protected]> Cc: Paul Morris Stewart Oldfield , Vahe Stepanian Subject: Re: Jeffrey, an idea for you - 10x payout EUR digitals [C] Date: Mon, 27 Oct 2014 12:38:15 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Jeffrey, Per our conversation, please see below bid/offers for EUR 10mm puts expiring 02-Feb-2015. EURUSD spot ref = 1.2675 Strike Bid (USD) Offer (USD) 1.22 46,800 53,800 1.21 34,600 41,600 1.2 25,500 32,500 1.19 18,600 24,600 1.18 13,600 19,600 1.17 9,700 15,700 1.16 6,900 12,900 1.15 4,700 10,700 Regards, Daniel From Daniel Sabba/db/dbcom To: -Jeffrey E. <jeevacation©gmail.com>®DEUBAINT. Cc: Paul Mortis he Stepanian Stewart Oldrield/db/dbcom Date: 10/24/2014 10:34AM Subject: Re: Jeffrey. an idea for you - 10x payout EUR digitate (CI 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 EFTA01145402 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©gmail.corn> To: Daniel Sablaa/db/ Date: 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 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) EFTA01145403  EURUS01/311 7.1575 8Gli 7.0350/7.2800 8611 At 8:36 Op 7.3225 1 342S / ISIS Close 7.2975 El/FLU( • .11 E SL .ur Save As 90 Octions• BM !Mt - 16, gam ISEUEE00 Cann 11::;==. 1" • d Cetutv/Study • Evart 0 •18.0000 Oblast Price 7.1575 T High on 09/26/11 17.6100 .16.0000 F -9- Average 10.2742 1. low on 07/14/14 4.7800 ..14.0000 .12.0000 -10.0000 - 8.0000 ..6.0000 ki4.0000 2010 2011 2012 2013 2014 404 4041144 ' 9777 9( 040411 550 301. CO3 4.0444 44.20 7330 7X0 044402 43 49 9014 121010v von9 an aro el 3 2201 S9 $094300/ 0 C212 IC03 V a I 212 319 MD Copyr101 2014 1114444144.• riratio• 04 0001 CDT 041-4 001002-935-3 24-00-2014 Ov 444 Please note all prices are indicative and subject to change without notice. Regards, Daniel L. Daniel Sabba Director I Key Client Partners Deutsche Bank Securities Inc Deutsche Asset 8 Wealth Management 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 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. 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