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EFTA Document EFTA01456541
Title Matchefta-efta01456541
Case Filesd-10-EFTA01456541Dept. of JusticeEFTA Document EFTA01456541
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Case File
sd-10-EFTA01456541Dept. of JusticeEFTA Document EFTA01456541
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Historical Average Realized Dispersion 60.00% 50.00. 40.00% 30.00% 20.00% 10.00% 0.00% - _ AS' Nr t• ot> .41 ss' t -Current Strike Price of Dec15 Calls on Dispersion 1 y Average Realized Dispersion (SX5f, HSCEt, NKY, 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 Dispersio
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Unknown
Source
Dept. of Justice
Reference
sd-10-EFTA01456541
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