do nav trade On Thu, Mar 13, 2014 at 9:24 AM, wrote: Classification: Confidential Jeffrey - Consider the USDRUB 1-mo binary for —25.5% (very sensitive to spot, so indicative levet, we'd work an order 26% or better). vanilla talls for comparison, lmth 3% OTM vanilla tall is —0.57°4/0.67% (12.4% / 13.25% vol) 2mth 4.25% OTM vanilla tall is — 0.96°4/1.08% (12.2% / 13% vol) Nav highlights the binary below, where the payout is much cleaner. Ruble weakens 3% (european observation)in this example, and payout is SI mm for $255k invested: I-MONTH USD/RUB 3% OTM BINARY CALL costs 25.4% of payout European Digital on USD/RUB Strike: 37.55 Payout: USD 1,000,000 Payout Ccy: USD Expiry: Fri 11-Apr-2014 Settlement: Mon 14-Apr-2014 ZoneCut: MO Premium: USD 255,000 Premium Date: Fri 14-Mar-2014 This Digital pays the owner USD 1,000,000 if USDRUB is above 37.55 at the time of expiry. Deutsche Bank Securities, Inc. Deutsche Asset & Wealth Management 345 Park Avenue - 26th Floor New York, NY 10154 Tel: Mobile: Fax: E-mail: CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0710865 CONFIDENTIAL SDNY GM_00257049 EFTA01453326