From: Daniel Sabba
To: "Jeffrey E." <jeevacation@gmail.com>
CC: Vahe Ste anian , Ja Li man , Paul Morris
, Richard Kahn
Subject: Follow-up stock screen for Twitter-style trade [C]
Date: Wed, 11 Feb 2015 00:32:02 +0000
Attachments: oledata.mso
Inline-Images: imageOO7.png; image014.png; image002.png; image004.png
Classification: Confidential
Jeffrey,
Jay and Vahe from my team put this together to follow-up on lower priced equities for which we can implement the TWTR equity
structure in either a listed or OTC structure. To start, we screened the S&P 500 with the following criteria:
Share Price ($10-$20 range)
Market Cap (>$10bn)
- Covered by DB Research
The following 5 names fit the criteria:
;Licid:image007.png@0lD04554.C14EA2F0
(Note: Pricing as of close 02/09/2015)
As demonstrated below, all S names remained in a narrow band for the earlier part of 2014.
In the latter months of the year, FCX, BAC and FITB saw a significant increase in implied volatility, most notably Freeport-McMoRan
(FCX).
;Licid:image002.png@0lD04591.3FE28A50
As a result of these fluctuations, listed premiums are now as follows:
EFTA00864773
Le-icid:image014.png@OlD04554.C14EA2F0
;L'cid:image004.png@OlD04591.3FE28A50
(Note: Pricing as of close 02/09/2015)
(•Premium (%) = Bid/Price (Sh.))
Regards,
Daniel
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EFTA00864774