EFTA01471167.pdf

Subject: Re: Key themes & trades From: Vinit Sahni ‹ > Date: Thu, 25 Sep 2014 11:35:29 -0400 To: Paul Morris ‹ > Cc: Uzair Ageel ere., Caroline Kitidis Nav Gupta Tazia Smith Market clearly starting to get more tactical we will see more relative movements. Vinit On 25 Sep 2014, at 16:29, Paul Morris wrote: thanks, let's try to get some folks engaged on these Paul Morris Managing Director Deutsche Bank Private Bank 345 Park Avenue, 27th Floor New York, NY 10154 Office: Cell: Uzair Ageel---09/25/2014 08:07:15 AM---Hi Tazia, Here are some trades we're thinking about that Nav suggested you may wish to highlight to From: Uzair Acieel/db To: Tazia Smith/db/ Cc: Nav Gupta/db Vinit Sahni db Paul Morris/db/- Caroline Kitidis/db/ Date: 09/25/2014 08:07 AM Subject: Key themes & trades Hi Tazia, Here are some trades we're thinking about that Nav suggested you may wish to highlight to Jeffrey Epstein. Key themes: Divergence in monetary policy between the Fed & Bank of England EFTA01471167 on the one hand and ECB & Bank of Japan on the other Continued capital inflows into Asian countries where financial conditions are easing (eg, Japan) and/or structural reforms are being implemented (eg, India) US recovery - buying into dips as US anchors global growth EURUSD continues to break down -- if you're looking to reload: Trade: A ly EURUSD 1.25 put financed by selling the 1.30 call has zero net premium (spot ref: 1.2740) EURUSD has broken below 1.28 during the last 24 hours With US data continuing to firm, the market is recalibrating when the Fed will deliver hikes - earlier rather than later On the other hand, given the ECB's stated determination to spur inflation in the Eurozone, full-blown QE looks likely next year This chart shows the correlation between EURUSD and the spread between EUR and US interest rates (yellow) <0.1018.gif> Source: Bloomberg 25-Sep-2014 EURINR lower as a combined play on continued inflows into India and ECB activism: Trade: A 6m EURINR 78 put (at-the-money spot) financed by selling the 83 call has zero net premium (spot ref: 77.95, forward: 80.50) With the Modi government showing decisiveness in pursuing its reform agenda, capital inflows into India look likely to continue for the foreseeable future Indian equities are at all-time highs and the entry point is not very attractive The rupee also embeds carry of 7%/year, cheapening risk reversals Chart of EURINR spot <1.3788.gif> Source: Bloomberg 25-Sep-2014 S&P 500 Put options dislocated relative to Call options Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium (spot ref: 1998) Very high demand for SPX puts makes it possible to buy multiple calls for each call sold Across major indices, the ratio of calls-to-puts is highest for US equities EFTA01471168 Skew (y-axis) vs ATM vol (x-axis) is stretched <4.4B90.gif> Source: Bloomberg 24-Sep-2014 Renewed interest in Japanese equities ahead of GPIF re-allocation and policy momentum Trade: A 6m 110% call financed by 6m 90% put has zero net premium (spot ref: 16374) Investors are waiting for the giant Japanese pension funds to re-allocate away from bonds to equities The Abe administration is looking for additional ways to stimulate the economy Nikkei vols are high and skew is poor -- no easy way to get into the trade, best to do calls vs puts 1-to-1 struck around major technical levels Chart showing NKY history with strike of 90% put highlighted <8.3312.gif> Source: Bloomberg 25-Sep-2014 Past performance is not a reliable indicator of future results. Best regards, <12.3FEA.png> Uzair Aqeel Investment Specialist Key Client Partners Deutsche Bank AG, Filiale London 105/108 Old Broad St (Pinners Hall), London EC2N lEN, United Kingdom Email <12.4944.gif> THIS MATERIAL IS INTENDED FOR INSTITUTIONAL CUSTOMERS ONLY AS DEFINED BY FINRA 4512(c). The trading and investment ideas discussed herein are general and do not take into account an institutional client's particular circumstances (including tax situation), investment guidelines, investment goals, restrictions or needs. Deutsche Bank ("DB") is not acting as a legal, financial, tax or accounting adviser or in any other fiduciary capacity with EFTA01471169 respect to any proposed transaction(s) mentioned herein. This document does not constitute the provision of investment advice and is not intended to do so, but is only intended to be general information. 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