EFTA01454856.pdf

Intended for Non-Advisory Clients since the Malaysian airline disaster and rising tensions with Russia, the put skew on s&P equity options has richened. Investors bought equity puts for protection and dealers who were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes 5% either side of the forward. Buy 3 to 3.25 calls for every 1 put sold Trade 2 6mth Expiry, strikes 10% either side of the forward. That ratio becomes 4 to 4.35. These are big numbers - even if you are slightly bearish on the market there's always a price at which you'd sell puts to buy calls. Is 3:1 - 4:1 compelling enough? if on the other hand you're long equities or bullish this looks way better to me. I'm not arguing that the market rises or falls, just that you are (overly I believe) well compensated to take the risk it falls. Also the options i've priced are around the forward not around spot so we are looking at the true skew not optics involving spot/forward spread. Call with any qns or for live pricing best, Nay (Embedded image moved to file: pic14361.gif) Nam Gupta managing Director Deutsche Bank AG, Filiale London Deutsche Asset & wealth Management 105/108 Old Broad St (Pinners Hall), EC2N lEN London, united Kingdom Tel. Mobi Emai Any proposed ideas are being delivered to you by the DeAwm Key client Partners ("KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("Ds"). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by miFID), who understand the strategy, characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. (Embedded image moved to file: pic03501.gif) This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. Please refer to http://www.db.com/en/content/eu_disclosures.htm for additional CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 113248 CONFIDENTIAL SDNY_GM_00259432 EFTA01454856