EFTA Document EFTA01453127

From: Tazia Smith SeM: 3/13/2014 9:24:29 AM To: jeffrey epstei n I [email protected]; Paul Morris CC: Sahni Nav Gupta subJect: Re: ICI Classification: Confickntial Jeffrey - ; Vahe Stepanian Consider the USDRUB 1-mo binary for -253% (very sensitive to spot, so indicative level, we'd work an order 26% or belter). vanilla talls for comparison. Imth 3% OTM vanilla call is -0.57%/0.67% (12.4% / 13.25% vol) 2inth 4.25%OTM vanilla call is -0.96%/1.08% (12.2% / 13% vol) Nav highl