From: Vahe Stepanian < IMa> To: [email protected] Cc: , Paul Morris cca> Subject: GBP + AAPL [C] Date: Tue, 03 Dec 2013 15:20:58 +0000 Inline-Images: unnamed; unnamed(1) Classification: Confidential Good Morning Jeffrey, Hope you had a great holiday weekend. As you have likely seen, GBP is currently at a 2 yr. high vs. USD (@ —1.64; see graph below). The most recent move up has been attributed to a rise in construction activity for a seventh month, the fastest pace since August 2007. I recall you mentioned in our meeting that your view is to sell GBP if it approaches 1.65. For what it's worth, our DB analysts have a bearish view on the pound. A recent (DB) FX note discusses reasons why it's tough to build a fundamentally bullish case for sterling with the market pricing the first BoE hikes by mid-2015 (well ahead of the ECB and even the Fed). We see potential for GBP to reverse to the mid-1.50s by year-end. With that said, we priced up a few options that I've included below - consider selling a call, buying a put or a risk reversal. Recognize that GBP vol. is currently relatively low (vs. historical levels). Spot ref = 1.6397 1) Sell European GBP Call on GBP/USD Strike: 1.67 Notional: GBP 5,988,023.95 (or -$10mm) Expiry: Tue 03-Jun-2014 (6m) Settlement: Thu 05-Jun-2014 Premium: USD -103,400 2) Sell European GBP Call on GBP/USD Strike: 1.70 Notional: GBP 5,882,352.94 (or —$10mm) Expiry: Wed 03-Dec-2014 (12m) Settlement: Fri 05-Dec-2014 Premium: USD -123,900 3) Buy European GBP Put on GBP/USD Strike: 1.6376 (ATMF) Notional: GBP 5,988,023.95 (or -$10mm) Expiry: Tue 03-Jun-2014 (6m) Settlement: Thu 05-Jun-2014 Premium: USD 219,365.27 Also worth mentioning —AAPL has run up quite a bit in the past few days (currently trading @ -$560; up from $519.80 on 11/22). I know you're looking to sell calls, will provide levels if still interested. Recall you're long 2k AAPL @ —$529.06. Have a great day. Thank you, Vahe EFTA01140586