RE: One idea for diverging policies - calls on global dispersion [C (Daniel Sabba, January 29, 2015)McDonalds Indications: long ly TRS + short 100% European call (CI (Daniel Sabba, 1/30/2015)
1 duplicate copy in the archive
EFTA Document EFTA01456546
Title Matchefta-efta01456546
Case Filesd-10-EFTA01456546Dept. of JusticeEFTA Document EFTA01456546
Unknown1p
Case File
sd-10-EFTA01456546Dept. of JusticeEFTA Document EFTA01456546
Other
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 v Average Realized Dispersion (SX'SE, HSCEI, 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 Dispersi
Date
Unknown
Source
Dept. of Justice
Reference
sd-10-EFTA01456546
Pages
1
Persons
0
Integrity
Loading document viewer...
Forum Discussions
This document was digitized, indexed, and cross-referenced with 1,800+ persons in the Epstein files. 100% free, donor-supported, and independent. Donors see no ads.
Support This ProjectSupported by 1,550+ people worldwide
Annotations powered by Hypothesis. Select any text on this page to annotate or highlight it.