EFTA00859119.pdf

From: "jeffrey E." <[email protected]> To: Jeffrey Epstein <[email protected]> Subject: Fwd: Levered plays on BASF, Allianz and Volkswagen [C] Date: Fri, 17 Apr 2015 18:22:50 +0000 Forwarded message From: Daniel Sabba Date: Tue, Apr 14, 2015 at 10:38 AM Subject: RE: Levered plays on BASF, Allianz and Volkswagen [C] To: "jeffrey E." <jeevacation ail.com> Cc: Vahe Ste anian Ariane Dw er , Paul Morris , Richard Kahn Classification: Confidential Jeffrey, We received the quanto USD prices for 3m 100% calls and 6m 90% calls. They work for a notional of USD 5mm. 3m qUSD 100% Call Offer Mid Level Spot Ref BASFn.DE 3.55% 3.22% 94.67 ALVG.DE 2.10% 1.78% 168.05 VOWG_p.DE 4.60% 4.25% 246.2 6m qUSD 90% Call Offer Mid Level Spot Ref BASFn.DE 11.15% 10.82% 94.67 ALVG.DE 9.35% 8.99% 168.05 VOWG_p.DE 12.55% 12.16% 246.2 Looking forward to discussing, Daniel From: Daniel Sabba Sent: Monday, April 13, 2015 2:41 PM To: 'Jeffrey E.' Cc: Vahe Stepanian; Mane Dwyer; Paul Morris; Richard Kahn Subject: Levered plays on BASF, Allianz and Volkswagen IC) EFTA00859119 Classification: Confidential Jeffrey, This is a first cut of what we are looking at for you. We are pricing these alternatives tomorrow when European markets reopen. Will also connect with European colleagues to explore other opportunities, including credit. A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF WAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We will revert tomorrow. Please let us know if anything else comes to mind. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email EFTA00859120 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00859121