EFTA01453908

Background Sv is near the middle of a 5mth 101-105 range Implied vol is low, 1w 6.3, lm 7.3, 3m 7.5, 6m, 8.4, ly 9.25, but appropriate as Sv hardly moves. The Government is pressuring the BoJ to add additional QE in July. Over the weekend the Government shook up the investment committee members of the governments pension fund (GPIF) with the hope of stimulating pension allocation from bonds into equities. Pricing i priced a dozen option variations. still, the are only two ways I'd play Sv right now (this view hasnt changed in 2014) 1. wait for some new catalyst to emerge then buy spot or call options after its moved 1-2 points, rather than paying decay while it goes nowhere 2. buy a 10y call with an ITM american style knockout which a) has some gamma and b) decays positively if nothing happens je indicated lOy options arent his thing. also, the option he bought has already decayed. he can rescue whats left (40-50k) or let it expire. given where spot is relative to his strike, personally id let it run off and hope Sv rallies 50-100pips over the next 9 days then lock in the gain. If he really needs to buy something i suggest a 3mth OTM call - thats the sweet spot in the vol curve. vols are too low for me to suggest selling OTM puts. Nay Tazia Smith---22/04/2014 16:57:06---Classification: For internal use only From: Tazia Smith To: Nav Gupta , Date: 22/04/2014 16:57 subject: Reminder: send idea to 3E on 3PY (i] classification: For internal use only Tazia Smith---04/21/2014 03:03:44 PM---classification: For internal use only thx ;) From: Tazia Smi' To: Nav Gupta , Cc: Paul Morris , Vinit Date: 04/21/2014 03:03 PM Subject Re: Jeffrey - latest prices with suggested sizes - Nav [I] classification: For internal use only CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 111762 CONFIDENTIAL SDNY_GM_00257946 EFTA01453908