EFTA Document EFTA01451183

Consider a 10year expiry SY call option struck at 85 (spot bc 105. lowed fx 77.70). Pnce 4.7% of USD notional This option has four notable charactenstics • If SY stays at these levels the option decays positively by approx 15-20% per year • If SY trades 90.00 at any time (arguably a scenario in winch the option is no longer warded) the option "knocks-out" and becomes worthless. While SY might decline to 90. our quanbtative analysis indicates the probability of such a decline is significant