EFTA02592330

From: jeffrey E. <[email protected]> Sent: Saturday, October 25, 2014 12:04 AM To: Daniel Sabba Subject: Re: Jeffrey, an idea for you - 10x payout EUR digitals [C) sorry i asked for put prices . not digit=l 10 prices. just ordinary put prices. thanks On Fri, Oct 24, 2014 at =0:34 AM, Daniel Sabba > wrote: Classification: Confi=ential Jeffrey, Per our phone conversation, please find mids and offers below. Please note these offers work for one transaction at EUR10mm payout - one offer done at this size with you cancel= the other offers. Each digital payout : EUR10mm Expiry 2-Feb-2015 Strike Mid (EUR) Offer (EUR) 1.22 1,330,900 1,419,200 1.21 1,003,800 1,091,900 1.20 762,400 850,400 1.19 583,500 671,300 1.18 453,800 541,500 1.17 347,400 435,000 1.16 275,100 362,700 1.15 220,700 308,200 Regards, Daniel From: "Jeffrey E." <jeevacation@gmail.=om <mailto:[email protected]» To: Daniel Sabba/db/dbcom@DBAMERI=AS, Date: 10/24/2014 10:06 AM Subject: Re: Jeffrey, an idea for you = 10x payout EUR digitals lets speak EFTA_R1_01775209 EFTA02592330 On Fri, Oct 24, 2014 at 8:57 AM, Daniel Sabba e wrote: Jeffrey, <=r> This is a trade that is getting a lot of attention from hedge fund principa=s. 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 =font face="sans-serif" size="3"> Spot Ref: 1.2655 =font face="sans-serif" size="3"> 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 monetary expansion, weak data out of Germany and faster US recovery leading to a stronger USD, between others. 3m ATME implied vol in EURUSD (source: Bloomberg) Please note all prices are indicative and subject to change without notice.=/font> Regards, Daniel Daniel Sabba Director Key Client Partners Deutsche Bank Securities Inc Deutsche Asset & Wealth Management Derivatives are financial transactions based upon one or more predetermined market factors where periodic payments (or a one-time lump-=um payment) are made by each of the parties 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 fluctuations; for example, interest rates, currency exchange rates, assets, stock prices, stock index levels, commodit=es 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-t=e-counter (OTC) derivative transactions involve numerous risks including, among other=, market, counterparty default and illiquidity risk. In certain transactions, you could lose your entire investment or incur unlimited loss. 2 EFTA_R1_01775210 EFTA02592331 This communication may contain confidential and/or privileged information.ar> If you are not the intended recipient (or have received this communication<=r> 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=/font> 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]=m <[email protected]=> , and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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 thear> 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. it>=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 3 EFTA_R1_01775211 EFTA02592332 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 4 EFTA_R1_01775212 EFTA02592333