RE: One idea for diverging policies - calls on global dispersion [C (Daniel Sabba, January 30, 2015)EFTA Document EFTA01456550
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EFTA Document EFTA01456549
Title Matchefta-efta01456549
Case Filesd-10-EFTA01456549Dept. of JusticeEFTA Document EFTA01456549
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Case File
sd-10-EFTA01456549Dept. of JusticeEFTA Document EFTA01456549
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Historical Average Realized Dispersion 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% ,s4 1 e) 3:, 4) Nti~ N 1, \t' <c '0 -Current Shiite Price of Dec15 Calls on Dispersion ply Average Realized Dispersion {5X5E, HSCEI, NKY, EE M, SPX) (fr 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(Averag
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Dept. of Justice
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sd-10-EFTA01456549
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