Subject: Fw: Follow-up stock screen for Twitter-style trade [C]
From: Paul Morris ‹ >
Date: Tue, 10 Feb 2015 19:55:54 -0500
To: Stewart Oldfield ‹ >
Classification: Confidential
From: Daniel Sabba
Sent: Tuesday, February 10, 2015 07:32 PM
To: jeffrey E. <jeevacation@gmail.com>
Cc: Vahe Stepanian; Jay Lipman; Paul Morris; Richard Kahn
< =.>
Subject: Follow-up stock screen for Twitter-style trade [C]
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:
{cid:image007.png@OlD04554.C14EA2F0}
(Note: Pricing as of close 02/09/2015)
As demonstrated below, all 5 names remained in a narrow band for the earlier
part of 2014.
EFTA01412964
In the latter months of the year, FCX, BAC and FITB saw a significant
increase in implied volatility, most notably Freeport-McMoRan (FCX).
fcid:image002.png@OlD04591.3FE28A501
As a result of these fluctuations, listed premiums are now as follows:
fcid:image014.png@OlD04554.C14EA2FOlv
Icid:image004.png@OlD04591.3FE28A501
(Note: Pricing as of close 02/09/2015)
(*Premium (%) = Bid/Price (Sh.))
Regards,
Daniel
EFTA01412965