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EFTA Document EFTA01456539
Title Matchefta-efta01456539
Case Filesd-10-EFTA01456539Dept. of JusticeEFTA Document EFTA01456539
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Case File
sd-10-EFTA01456539Dept. of JusticeEFTA Document EFTA01456539
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Historical Average Realized Dispersion 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% • oe r>" erg x.% fs, 4b N° Cfr - Current StrlkePrke of Dec15 Calls on Dispersion - ly Average Realized Dispersion (SXSE, HSCEI. MY, EEM, SPX! Indicative Transaction Terms: Client buys: European Call on Dispersion, quanto USD Dispersion Basket: SPX, EEM, SXSE, HSCEI, NKY Expiry: 18 Dec 2015 Strike: ATMF (11.2%) Offer: 2.4% where Final Payout = Notional • max(Average Realized Disper
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Unknown
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Dept. of Justice
Reference
sd-10-EFTA01456539
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