50 12M ATM Call Implied Volatility
45
\I
4.
-r
35 «•-BAC
—F a
30
—FIT))
25
BSX
20
15 •
2/10/2014 5/10/2014 W10/2014 11/1W2014
As a result of these fluctuations, listed premiums are now as follows:
r
Premium (%)
16.00%
14.00% 4
12.00%
10.00%
8.00% -I
6.00%
4.00% I
2.00%
I I
F BAC FCX FITB BSX I
Iv
American Call Option Structure
Company Price (5h.) Strike Expiry Premium Bid *Premium (%)
F $ 3532 $ 15.00 1/15/201% $ 322 113%
BAC $ 16.35 $ 1100 visrznfi $ 120 7.34%
FCX $ 1151 $ 20.00 1/15/2016 $ 2.80 14.35%
Fin $ 1879 $ 20.00 1/151/20116 $ 0.87 463%
BSX $ 1445 $ 15.00 1/15/7016 $ 133 12016
(Note: Pricing as of close 02/09/2015)
('Premium %) = Bid/Pri e (Still
Regards,
Daniel
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 116046
CONFIDENTIAL SDNY_GM_00262230
EFTA01456759