EFTA01472293.pdf

Subject: Follow-up stock screen for Twitter-style trade [C] From: Daniel Sabba ‹ > Date: Tue, 10 Feb 2015 19:32:02 -0500 To: jeffrey E. <[email protected]> Cc: Vahe Stepanian cffi, Jay Lipman Paul Morris Richard Kahn 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. 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] EFTA01472293 As a result of these fluctuations, listed premiums are now as follows: fcid:[email protected] {cid:[email protected]} (Note: Pricing as of close 02/09/2015) (*Premium (%) = Bid/Price (Sh.)) Regards, Daniel EFTA01472294