Subject: Fw: One idea for diver in policies - calls on global dispersion [C] From: Paul Morris Date: Fri, 30 Jan 2015 10:26:26 -0500 To: Stewart Oldfield ‹ > Classification: Confidential From: Daniel Sabba Sent: Friday, January 30, 2015 10:23 AM To: jeffrey E. <[email protected]> Cc: Vahe Stepanian; Richard Kahn Paul Morris Subject: RE: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, Our London desk was able to improve the ATMF strike to 11.15% and their offer still at 2.4% (1.9% mid) on this trade. Given the trade has little delta at inception, our desk is able to set the initial strikes for the structure at market on close today for all markets (SPX, EEM, SXSE, HSCEI, NKY), even though Asia has already closed. Attached is a draft term sheet for the trade. Regards, Daniel From: Daniel Sabba Sent: Thursday, January 29, 2015 5:12 PM To: Daniel Sabba; jeffrey E. Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: RE: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, EFTA01432580