From: Stewart Oldfield [stewart.oldfield@db.coml
Sent: 1/20/2015 2:10:48 PM
To: Paul Morris Ipaul.morris@db.cornl
Subject: Re: Twitter follow-up - TRS + short calls [CI
Classification: Confidential
Thanks. Would be easier if he would just copy me ..,
From: Paul Morris
Sent: Tuesday, January 20, 2015 12:18 PM
To: Stewart Oldfield
Subject: Fw: Twitter follow-up - TRS + short calls [C]
Classification: Confidential
From: Daniel Sabba
Sent: Tuesday, January 20, 2015 09:44 AM
To: Jeffrey Epstein <jeevacation@gmail.com>
Cc: Vahe Stepanian; Richard Kahn <richardkahn12@gmail.com>; Paul Morris
Subject: RE: Twitter follow-up - TRS + short calls [C]
Classification: Confidential
Jeffrey,
Wanted to follow-up with refreshed pricings for ly options. TWTR Spot Ref: 36.56.
TRS: Previous levels still apply.
European Call options on TWTR:
Option Seller: Southern Financial LLC
Option Buyer: DB
Notional: 250,000 OTC Call
Expiry: 20-Jan-16
Strike: 100% of spot
Bid: 19.30% (Mid 19.50%)
Vol: 48.46%
Delta: 60%
Expiry: 20-Jan-16
Strike: $40
Bid: $5.67 (Mid $5.74)
Vol: 47.68%
Delta: 53%
Note: The IA for long TRS and selling a $40 call would be 38% instead of the 30% of the at the money call.
Best regards,
Daniel
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