From: Vahe Stepanian [vahe.stepanian@db.com]
Sent: 12/7/2015 8:56:25 AM
To: Richard Kahn fisichardkahn12@gmail.corni
CC: Daniel Sabba Waniel.sabba@db.cornj; Ariane Dwyer [ariane.dwyer@db.com]; Paul Morris [paul.morris@db.com);
Stewart Oldfield [stewart.oldfield@db.coml
Subject: RE: Dispersion Call Option [CI
Classification: Confidential
Good morning Rich - yes, I will request from traders and be back to you.
Thank you,
Vahe
From: Richard Kahn [mailto:richardkahnl2@gmail.com]
Sent: Monday, December 07, 2015 8:52 AM
To: Vahe Stepanian
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield
Subject: Re: Dispersion Call Option [C]
Can you please have traders provide me with a bid I can present to mr Epstein. Thank you.
Sent from my iPhone
On Dec 4, 2015, at 1:56 PM, Vahe Stepanian <vahe.stepanian@db.com> wrote:
Classification: Confidential
One more point worth mentioning - the realized dispersion when we spoke on Wednesday was - 9.95%.
This decline from 9.95% to 9.41% would also affect the indicative bid of the option.
From: Vahe Stepanian
Sent: Friday, December 04, 2015 1:09 PM
To: Richard Kahn
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield
Subject: Dispersion Call Option [C]
Classification: Confidential
Rich - please note that Southern Financial did not unwind the dispersion option today as we were away
from the 2.00% limit per my conversation with you and Darren.
The indicative bid is currently 0.90% since there is little time left to expiry and the time decay is
significant.
Realized dispersion is - 9.41% given the following spot references:
UndetlyIngs Spots
.HSCE 9.886.39
N225 19.628.76
.SPX 2081 58
STOXXSOE 3.346.93
33 79
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0049710
CONFIDENTIAL SDNY_GM_00195894
EFTA01360997