From: Tazia Smith
To: jeevacation(kgmail.com
Cc: Paul Morris < , Vinit Salmi < >, Nay Gu to
>, , Vahe Stepanian
Subject: B XLK Calls - low implied vol [I]
Date: Wed, 22 Jan 2014 16:46:43 +0000
Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6)
Classification: For internal use only
Jeffrey -
Nav highlights XLK OTC calls below; we like this big-cap US tech underlier. The listed market offers comparable low implied
vol entry point. The March $37 strike calls are offered —72bps (offer vol: 11.9%). Jun $38 calls are offered —1% (offer vol:
11.8%). Spot reference of $35.88 on XLK.
Meanwhile, your AAPL shares are up —1.1% ahead of earnings on Monday, largely due to Ichan tweeting today that he has
been buying (source: Bloomberg, 1/22/14). January implied vol on AAPL shares is over 40% ahead of the earnings
announcement (skew is fairly flat between 80-120%). Note: Jan31 $575 strike are presently $7.35 (-1.3%) bid (vol offer:
43.3%, $555.35 spot ref). You could sell those if you're more bearish than Ichan into earnings! (i suggest that tongue-in-
cheek, i suspect you'd rather just keep the upside potential in your shares, but let us know).
Let us know your thoughts on XLK.
Best Regards,
Tazia
Indicative levels only. Subject to market movement. Source: Bloomberg, 1/22/14.
Tazia Smith
Director I Key Client Partners - US
Deutsche Bank Securities Inc
Deutsche Asset 8 Wealth Management
345 Park Avenue. 26th Floor
New York. NY 10154
Email
Passrio-frPe✓ftnit.
-- Forwarded by Tazia Smith/db/dbcom on 01,22/2014 10:45 AM ---
From: Nav Gupta/db/dbcorn@DBEMEA
To:
Date: 01(22(2014 09:43 AM
Subject: OTC Call options on XLK US (tech) look good value at 13-14% vol [I)
EFTA01148055
Classification: For internal use only
XLK is a $13.7bn tech sector ETF.
Investors bullish tech should consider short dated OTM calls on XLK which combine low levels of implied vol and an efficient
underlying
Trades:
Buy 3m expiry XLK 3% OTM call @ 1.24% (offer vol: 12.8)
Buy 6m expiry XLK 6% OTM call @ 1.44% (offer vol: 13.6)
Spot ref: XLK Index = 35.85
XLK top 10 Holdings
AAPL 14%
GOOG 9.3%
MSFT 8%
IBM 5.6%
T 5.1%
VZ 4%
QCOM 3.7%
CSCO 3.5%
V 3.4%
Past Returns and Implied Vol
Return Implied Vol
ly 2y 3y 2month
XLK US EQUITY 22% 34% 38% 13%
AAPL US Equity 9% 28% 63% 28%
GOOG US EQUITY 66% 99% 90% 24%
MSFT US EQUITY 33% 22% 27% 25%
IBM US EQUITY -4% -1% 18% 19%
T US EQUITY 0% 10% 18% 14%
VZ US EQUITY 11% 24% 35% 18%
ORCL US EQUITY 9% 34% 18% 21%
QCOM US EQUITY 17% 30% 47% 18%
CSCO US EQUITY 9% 15% 8% 24%
V US EQUITY 46% 133% 223% 23%
Compared to most of its components, XLK has relatively low implied volatility vs returns
XLK Price
EFTA01148056
■ last Price 35.93
Mph an 01/15/14 35.96
•Average 25.654
I Law en 03/09M 13.22
2009 2010 7011 2012 2013 20
910/111401WITIOUNIbilv MOOCH/ NORM 001,11.11101:041.1410M WOOS WO PCOMmoiro Roma . 2242n.204111217
Short dated implied volatility is low
i: 52932
■ Hist Vol (500) 9.113
SO
■ Implied Vol 12.34it Sal
40
30
20
ow. 1034 10
UM: 8. . :
2009 2010 2011 2012 2013 201
mb.rg Finance . n -An-2014 12:50:25
Blue Line Implied Vol I White Line Delivered vol
KCP Capital Markets London
Vinit Sahni I Nav Gupta I Vanshree Verma
Nav Gupta
Managing Director
Deutsche Bank AG. Filiale London
Deutsche Asset & Wealth Management
1051108 Old Broad St Pinners Hall). EC2N tEN London, United Kingdom
Email
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