From: Daniel Sabba To: "jeffrey E.11 <[email protected]> Subject: RE: Jeffrey, an idea for you - 10x payout EUR digitals [I] Date: Mon, 02 Feb 2015 14:49:43 +0000 Inline-Images: image001.png; image002.png; image003.jpg; image004.gif Classification: For internal use only Looking back, this was a good trade. It would have realized 10x payout today. Your view was right. From: Daniel Sabbafdbfdbcom To: ieevacaticoRgmail.ccm. Cc: Paul Mords/db/dbcom DBAMERICAS. Vahe Stepanianklb/dbcom®DBAmericas. Stewart OldfielcVdb/dbcom@DBAMERICAS. Dale: 10/24/2014 08:57 AM Subject: Jeffrey, an idea for you - 10x payout EUR digitals Jeffrey, This is a trade that is getting a lot of attention from hedge fund principals. 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 Spot Ref: 1.2655 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 ATMF implied vol in EURUSD (source: Bloomberg) EURUSDV3t1 / . At 8:36 ; 7.3225 7.3425 la 7.1575 Close 7.2975 HGN 7.0350 / 2800 ilL% F1 1 l'A-1 -31 E:•-.11 COI 10/26/2009 10/14/1014 Line Chafe, =Ea corrq,me •••v-==lell=ralallal re .1., Uat'y N. rat...Tv/Study Y Event es 1 i IM Last Price 7.1575 T High on 09/26/11 17.6100 .40.- Average 10.2742 1 Low on 07/14/14 4,7800 )9 1 2010 1 2011 1 2012 1 2013 1 2014 • • • • A...relic GI 2 )777 0000 erassI 5511 2040 4500 Europe 44 29 733