From: Daniel Sabba <IMn

From: Daniel Sabba <IMn To: jeevacation@gmaiLcom Cc: Paul Morris , Stewart Oldfield <a>, Stepanian Subject: Long-dated SPX Options [C] Date: Tue, 18 Nov 2014 17:10:08 +0000 Attachments: 2013-12-03_US_Derivatives_Spotlight_-_The_Compelling_Casejor_Long-Dated_SPX_Calls.pdf Inline-Images: unnamed , Vahe Classification: Confidential Jeffrey, Per our conversation, we wanted to send more details on long dated SPX Options. The piece attached is a review by our research team on the value proposition we discussed - long dated options being structurally cheap. Currently, long dated volatility Is low for historical standards, around the 10%-ile (see graph/table below with data analysis for the last 7 years). We have quoted 3y SPX calls for you, for a $50mm notional - Spot ref: 2044 - 3y Forward Ref: 2003 (98% of spot) - 110% strike (2248.4) Is offered at 7.16% (mid 6.95%) - 120% strike (2452.8) is offered at 4.02% (mid at 3.83%) eDerivatives Historical Chart 42.50 40.00 37.50 35.00 32.50 30.00 27.50 25.00 22.50 20.00 17.50 15.00 12.50 hn OS ALIOS ion 09 11109 loo 10 hl 10 In 11 bill he 12 kl 12 ha 13 kl 13 ion 14 6114 Jan 1 Series Quanta's 6 Percentile Ranking %-iie Val. Rank 5% 25% 50% 75% 95% Legend a Cw. Mee 1124 17 55 1010 2305 25.91 34.29 3%SMMaiy ATM-Sake Innlie0Vobtity PlC) Sr..SPX 17.07 020 1818 1824 2131 2423 3210 — 32 snx3e1a4lauty I l0%- f%lmpied Vellelfr 0.%5) 1574 8W 1501 1705 10.76 2250 31.61 SPX 34M-Ma rriy 120%.Segie Indeed ValaellyRRS) 53 Source: DB eDerivatives Bost regards. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mob Email EFTA01206613 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. EFTA01206614