EFTA01469802.pdf

Subject: Fw: Fw: For Approval [I] From: Nav Gupta <ffi Date: Wed, 30 Jul 2014 01:46:55 -0400 To: VS Vinit Paul Morris Classification: For internal use only To keep u in the loop. Tazia still working w/ compl on language to send JE my s+p idea from last week Original Message From: Tazia Smith Sent: 07/29/2014 07:04 PM EDT To: Siri Cowden Cc: Zbynek Kozelsky; Vahe Stepanian; Nav Gupta Subject: Re: Fw: For Approval [I] Classification: For internal use only Hi Siri - Revised the point of view language: 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. Max loss is 100% downside exposure to the market from the strike of the sold put. These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls. EFTA01469802 Is 3:1 - 4:1 compelling enough? For investors who are long equities, or bullish going forward, using these risk reversals is attractive for equity replacement or participation. This is not an argument from the KCP Capital Markets Global team that the market will rise, or fall. Rather, this is an opportunistic entry point for a trading position in which you are well compensated with upside exposure (arguably over compensated) to take the risk that the market falls. Note that the options referenced here are priced are around the forward, not around spot, so we are looking at the true skew rather than the optics involving spot/forward spread. Please contact the desk for live pricing (Embedded image moved to file: pic31912.gif) Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue, 10154-0004 New York, NY, USA Tel. +1(212)454-2889 Fax +1(646)257-3131 Mobile Email (Embedded image moved to file: pic08457.gif) Fr m: EFTA01469803  Date: 07/29/2014 11:41 AM Subject: Fw: For Approval [I] Classification: For internal use only Hi Tazia: Unfortunately, there are the same issues with the document as we had last week. The same revisions regarding Nav's personalized comments and his contact information apply equally here when compared to the earlier communique. Please edit as you did previously. I understand that you wish to challenge that decision, but to get this piece out today we need to follow existing guidance and revise. I am in contact with Compliance, and either Ziggy or I will give you an update when available. Here is the correct disclosure to add: This material has been prepared solely for informational purposes only and is not an offer to buy or sell, or a solicitation of an offer to buy or sell any security or financial instrument, or to participate in any particular trading strategy. All rates are indicative and subject to change. The trading and investment ideas discussed herein are general and do not take into account an institutional client's particular circumstances (including tax situation), investment guidelines, investment goals, restrictions or needs. Deutsche Bank ("DB") is not acting as a legal, financial, tax or accounting adviser or in any other fiduciary capacity with respect to any proposed transaction(s) mentioned herein. This document does not constitute the provision of investment advice and is not intended to do so, but is only intended to be general information. This material is for our clients' informational purposes and is a general solicitation of derivatives business for the purposes of, and EFTA01469804 to the extent it is subject to, §§ 1.71 and 23.605 of the U.S. Commodity Exchange Act. This is not an offer, advice, recommendation or solicitation to buy or sell, nor is it an official confirmation of terms. Any offering or potential transaction that may be related to the subject matter of this communication will be made pursuant to separate and distinct documentation and in such case the information contained herein will be superseded in its entirety by such documentation in final form.We therefore strongly suggest that recipients seek their own independent advice in relation to any investment, financial, legal, tax, accounting or regulatory issues discussed herein. Analyses and opinions contained herein may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. Furthermore, past performance is not necessarily indicative of future results. Deutsche Bank may engage in transactions in a manner inconsistent with the views discussed herein. Deutsche Bank trades or may trade as principal in the instruments (or related derivatives), and may have proprietary positions in the instruments (or related derivatives) discussed herein, and these may be known to the author. Deutsche Bank may make a market in the instruments (or related derivatives) discussed herein. Assumptions, estimates and opinions expressed constitute the author's judgment as of the date of this material and are subject to change without notice. Information contained herein is subject to change without notice. Thanks. I will look for your revision. Kind regards, Siri (Embedded image moved to file: pic16341.gif) Siri Cowden Vice President I Head, Marketing Review Group Deutsche Bank Securities Inc. 1 South Street, 21202-3298 Baltimore, MD, USA Tel. +1(410)895-2596 Mobile Email (Embedded image moved to file: pic17942.gif) Forwarded by Siri Cowden/db/dbcom on 07/29/2014 11:14 AM EFTA01469805  To: "Siri Cowden" "Zbynek Kozelsky" Cc: "Nav Gupta" Date: 07/29/2014 09:06 AM Subject: Re: For Approval [I] Classification: For internal use only Siri/Ziggy - are we able to send the commentary on S&P skew if we include this disclaimer? This material has been prepared solely for informational purposes only and is not an offer to buy or sell, or a solicitation of an offer to buy or sell any swap, security or financial instrument, or to participate in any particular trading strategy. All rates are indicative and subject to change. Any terms and conditions included herein are to illustrate the logistics of a swap, and any offer of a swap eventually made may contain terms which are substantially different. Any decision to enter into a swap, such as those described herein, should only be made after reviewing the final swap confirmation and conducting such investigation in order to independently determine the suitability and EFTA01469806 consequences of participating in swaps. Any finalized terms and conditions of a prospective swap transaction will be subject to discussion and negotiation and will be evidenced by a formal agreement. Deutsche Bank is not acting and does not purport to act in any way as an advisor or in a fiduciary capacity. We therefore strongly suggest that recipients seek their own independent advice in relation to any investment, financial, legal, tax, accounting or regulatory issues discussed herein. Analyses and opinions contained herein may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. Furthermore, past performance is not necessarily indicative of future results. Deutsche Bank may engage in transactions in a manner inconsistent with the views discussed herein. Deutsche Bank trades or may trade as principal in the instruments (or related derivatives), and may have proprietary positions in the instruments (or related derivatives) discussed herein, and these may be known to the author. Deutsche Bank may make a market in the instruments (or related derivatives) discussed herein. Assumptions, estimates and opinions expressed constitute the author's judgment as of the date of this material and are subject to change without notice. Information contained herein is subject to change without notice. From: To: "Siri Cowden111119IIIIIIIIIIII"Zbynek Kozelsky" Date: 07/25/2014 07:13 AM Subject: For Approval EFTA01469807 Classification: External Communication Good Morning Siri - we'd like to send this obsevation of skew dislocation to Epstein (KCP) client as well. If we use your disclaimer that you sent for the JPY trade, can we send? Tazia Smith Director Key Client Partners - US Deutsche Bank Securities, Inc. Deutsche Asset & Wealth Management 345 Park Avenue - 26th Floor New York, NY 10154 Tel: (2.4‘,S3S Mobile Fax: (646) 257-3131 E-mail: From: Nav Gupta Sent: 07/23/2014 06:22 PM CET To: Subj111.1111,1,111Lets Trade Idea - Extreme demand for S&P Put options presents very interesting trades 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. EFTA01469808 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, Nav (Embedded image moved to file: pic14361.gif) Nav 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. +44 (20) 754-13613 Mobil Email 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 ("DB"). 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 EFTA01469809 any ideas proposed herein and will be able to evaluate it independently. 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