EFTA01365520.pdf
dataset_10 PDF 85.7 KB • Feb 4, 2026 • 1 pages
1.18 453,800 541,500
1.17 347,400 435,000
1.16 275,100 362,700
1.15 220,700 308,200
Regards,
Daniel
From: "Jeffrey E." <jeevacation@gmail.com>
To: Daniel Sabbardb.
Date: 10/24/2014 10.06 AM
Subject: Re: Jeffrey, an idea for you - 10x payout EUR digital
lets speak
On Fri, Oct 24, 2014 at 8:57 AM, Daniel Sabba wrote:
Jeffrey,
This is a trade that is getting a lot of attention from hedge fund principals. Paul told me you have an
options background and we thought this might be interesting for you.
We solved for the expiries European put digitals on EURUSD would need to have for the structure to
have 10x payout at expiry.
Buy European digital puts in EURUSD
Spot Ref: 1.2655
Strike: 1.2000
Payout: If EURUSD at or below 1.2000 at expiry: USD1Omm
If EURUSD above 1.2000 at expiry: USD 0
Expiry: 02/01/15
Premium Offer: USD1mm (10x payout)
While implied vol in EURUSD has gone up a bit since the summer, it is still very low for historical
standards. Many catalysts for why a EUR sell-off could happen, from renewed ECB monetary
expansion, weak data out of Germany and faster US recovery leading to a stronger USD, between
others.
3m ATMF implied vol in EURUSD (source: Bloomberg)
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056290
CONFIDENTIAL SDNY_GM_00202474
EFTA01365520
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