From: "jeffrey E." <jeevacation@grnail.com>
To: Daniel Sabba
Subject: Re: Levered plays on BASF, Allianz and Volkswagen [C]
Date: Thu, 23 Apr 2015 14:28:49 +0000
yes
On Thu, Apr 23, 2015 at 10:24 AM, Daniel Sabba < > wrote:
Classification: Confidential
Jeffrey,
Refreshed levels on the quanto-USD options are below. Would you have a moment to finish our conversation
from this morning? Also, would you like us to price listed look-alike OTC trades since listed trades can't
currently be cleared by DB to a US Person?
qUSD 100% Call
3m Offer Mid Level Spot
SASFn.DE 4.05% 3.74% 90.01
ALVG.DE 2.70% 2.40% 159.6
VOWG_p.DE 4.90% 4.59% 226.15
qUSD 90% Call 6m Offer Mid Level Spot
BASFn.DE 11.50% 11.16% 90.01
ALVG.DE 9.80% 9.46% 159.6
VOWG_p.DE 1235% 12.40% 226.15
Regards,
Daniel
From: Daniel Sabba
Sent: Tuesday, April 14, 2015 10:38 AM
To: 'Jeffrey E.'
Cc: Vahe Stepanian; Mane Dwyer; Paul Morris; 'Richard Kahn'
Subject: RE: Levered plays on BASF, Allianz and Volkswagen [C]
Classification: Confidential
Jeffrey,
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We received the quanto USD prices for 3m 100% calls and 6m 90% calls. They work for a notional of USD
5mm.
3m qUSD 100% Call Offer Mid Level Spot Ref
BASFn.DE 3.55% 3.22% 94.67
ALVG.DE 2.10% 1.78% 168.05
V0WG_p.DE 4.60% 4.25% 246.2
6m qUSD 90% Call Offer Mid Level Spot Ref
BASFn.DE 11.15% 10.82% 94.67
ALVG.DE 9.35% 8.99% 168.05
V0WG_p.DE 12.55% 12.16% 248.2
Looking forward to discussing.
Daniel
From: Daniel Sabba
Sent: Monday, April 13, 2015 2:41 PM
To: 'jeffrey E.'
Cc: Vahe Stepanian; Mane Dwyer; Paul Morris; Richard Kahn
Subject: Levered plays on BASF, Allianz and Volkswagen [C]
Classification: Confidential
Jeffrey.
This is a first cut of what we are looking at for you. We are pricing these alternatives tomorrow when
European markets reopen. Will also connect with European colleagues to explore other opportunities,
including credit.
A. Quanto call options (denominated in USD).
- The idea is to benefit on the performance in local currency in USD, without the need to hedge
for EUR FX.
B. In-the-money vanilla call-options (denominated in EUR).
- The goal is to purchase options whose premium is mostly composed by intrinsic value to
obtaining large embedded option leverage.
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Vol references (from Bloomberg):
3m BASF (VAS GR) 100% implied vol: 22.15%
3m Allianz (ALV GR) 100% implied vol: 15.35%
3m Volkswagen (VOW GR) 100% implied vol: 25.08%
We will revert tomorrow. Please let us know if anything else comes to mind.
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
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