From: Ariane Dwyer Sent: 12/7/2015 9:19:27 AM To: Richard Kahn CC: Daniel Sabba ; Paul Morris ; Stewart Oldfield ; Vahe Stepanian Subject: RE: Dispersion Call Option ICI Good morning Rich, Per your request please find below the details from the trader: Underlying Spots .HSCE N225 19,749.28 .SPX STOXX50E 2,086.14 3 379 00 33.59 Realized dispersion: —9.97% (using above spot references) Indicative bid: 0.60% Best, Ari From: Vahe Stepanian Sent: Monday, December 07, 2015 8:56 AM To: Richard Kahn Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield Subject: RE: Dispersion Call Option [C] Classification: Confidential Good morning Rich - yes, I will request from traders and be back to you. Thank you, Vahe From: Richard Kahn [mailto Sent: Monday, December 07, 2015 8:52 AM To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield Subject: Re: Dispersion Call Option [C] Can you please have traders provide me with a bid I can present to mr Epstein. Thank you. Sent from my iPhone On Dec 4, 2015, at 1:56 PM, Vahe Stepanian < > wrote: Classification: Confidential One more point worth mentioning - the realized dispersion when we spoke on Wednesday was - 9.95%. This decline from 9.95% to 9.41% would also affect the indicative bid of the option. CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0088989 CONFIDENTIAL SDNY_GM_00235173 EFTA01387000