EFTA02591699

From: jeffrey E. <[email protected]> Sent: Friday, October 24, 2014 2:07 PM To: Daniel Sabba Subject: Re: Jeffrey, an idea for you - 10x payout EUR digitals lets speak On Fri, Oct 24, 2014 at 8:57 AM, Daniel Sabba < Jeffrey, > wrote: This is a trade that is getting a lot of attention from hedge fund principals. Paul told me you have an options background and we thought this might be interesting for you. We solved for the expiries European put digitals on EURUSD would need to have for the structure to have 10x payout at expiry. Buy European digital puts in EURUSD=/b> Spot Ref: 1.2655</=ont> Strike: 1.2000 Payout: If EURUSD at or below 1.2000 at expiry: USD10mm If EURUSD above 1.2000 at expiry: USD 0 Expiry: 02/01/15 Premium Offer: USD1mm (10x payout) While implied vol in EURUSD has gone up a bit since the summer, it is still very low for historical standards. Many catalysts for why a EUR sell-off could happen, from renewed ECB moneta=y expansion, weak data out of Germany and faster US recovery leading to a stronger USD, between others. 3m ATMF implied vol in EURUSD (source: Bloomberg) Please note all prices are indicative and subject to change without notice. Regards, Daniel Daniel Sabba Director I Key Client Partners Deutsche Bank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue, 26th Floor EFTA_R1_01774337 EFTA02591699 New York, NY 10154 Tel. Mobile + Email Derivatives are financial transactions based upon one or more predetermined market factors where periodic payments (or a one-time lump-sum payment) are made by each of the pa=ties to the transaction based upon the value of the market factor or factors. The amount of the payment(s) will either be set at a fixed amount or fluctuate as the value of the underlying market factor fluctuates. The underlying market factors are items or variables which are subject to market fluctuati=ns; for example, interest rates, currency exchange rates, assets, stock prices, stock index levels, commodities or a combination of one or more of these factors. Derivatives are normally used either as a hedging device or as an investment vehicle. Over-the-counter (OTC) derivative tr=nsactions involve numerous risks including, among others, market, counterparty defaul= and illiquidity risk. In certain transactions, you could lose your entire investment or incur unlimited loss. This communication may contain confidential and/=r privileged information. If you are not the intended recipient (or have received this communicationar> in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the<=r> 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. 4,=A0 please note The information conta=ned in this communication is confidential, may be attorney-client privi=eged, may constitute inside information, and is intended only for th= use of the addressee. It is the property of JEE Unauthorized use, d=sclosure or copying of this communication or any part thereof is strict=y prohibited and may be unlawful. If you have received this communic=tion in error, please notify us immediately by return e-mail or by e-ma=l to [email protected] <mailto:[email protected]> , and destroy this communication and all copies thereof,<=r>including all attachments. copyright -all rights reserved 2 EFTA_R1_01774338 EFTA02591700