d call volatility: Implied 6m correlation: KCP Capital Markets European call subject to contingency FTSE 100 Index 19-Dec-14 7000 (3% OTMspot) EURGBP FX less than or equal to 0.785 (1.9% from spot) at expiry 0.66% of GBP notional FTSE 100: 7000, EURGBP: 0.800 11.2% -12.0% Apurva Gupta Associate