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1.18 453,800 541,500 1.17 347,400 435,000 1.16 275,100 362,700 1.15 220,700 308,200 Regards, Daniel From: "Jeffrey E." <jeevacation@gmail.com> To: Daniel Sabbardb. Date: 10/24/2014 10.06 AM Subject: Re: Jeffrey, an idea for you - 10x payout EUR digital lets speak On Fri, Oct 24, 2014 at 8:57 AM, Daniel Sabba wrote: 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: USD1Omm 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) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056290 CONFIDENTIAL SDNY_GM_00202474 EFTA01365520