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EFTA Document EFTA01461325Case File
efta-efta01461325DOJ Data Set 10CorrespondenceEFTA Document EFTA01461325
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Notes:
premium decays positively if spot is unchanged
the premium is sensitive to moves in spot - much more than a regular l0y
option
the mid price for a lOyear expiry 85 strike USD)PV call (without any KO
feature) is 10.5% and the mid price for a lyear 102.51 strike call is 4%
and compared with either of these the option with the KO feature has better
risk:reward in Nav's opinion
we suggest sizing it to worst loss
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Tazia smith
Director I Key client Partners - us
Deutsche Bank Securities Inc
Deutsche Asset & wealth Management
345 Park Avenue, 26th Floor
New York NY 10154
Tel.
Fax
Mobi
Email
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CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0 123297
CONFIDENTIAL
SDNY_GM_00269481
EFTA01461325
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