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From: Vahe Stepanian To: "jeffrey E." <[email protected]> CC: Richard rK , Paul Morris < Sabba Subject: RE: Trade Recap - 01.30.2015 - Call options on dispersion
Offer: 2.4% where Final Payout = Notional * max(Average Realized Dispersion — Strike,0) Average Realized Dispersion = Average(absolute value of Individual Dispersion for each Index i) Individual Dispersion for Index i = Final Performance for Index i — Average Performance Average Performance = average (Final Perf
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From: Daniel Sabba Sent: Thursday, January 29, 2015 2:54 PM To: 'Jeffrey E.' Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, As we
Offer: 2.4% where Final Payout = Notional • max(Average Realized Dispersion — Strike,0) Average Realized Dispersion = Average(absolute value of Individual Dispersion for each Index i) Individual Dispersion for Index i = Final Performance for Index i —Average Performance Average Performance = average (Final Perfo
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n whether the transaction has been executed. Thank you, Daniel From: Daniel Sabba Sent: Thursday, January 29, 2015 2:54 PM To: 'Jeffrey E.' Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, As we
) Offer: 2.4% where Final Payout = Notional' max(Average Realized Dispersion — Strike,0) Average Realized Dispersion = Average(absolute value of Individual Dispersion for each Index i) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051193 CONFIDENTIAL SDNY_GM_00197377 EFTA01361917
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