The document outlines the terms for a financial transaction where the client buys a European Call on Dispersion, with a dispersion basket including SPX, EEM, SXSE, HSCEI, and NKY. The expiry date is set for 18 Dec 2015, with a strike at ATMF (11.2%) and an offer of 2.4%. The final payout is calculated based on the average realized dispersion and the strike price.
documents/vol00010-efta01456539-pdf.pdf
{"title":"Indicative Transaction Terms for European Call on Dispersion","key_people":["Daniel Sabba"],"document_type":"correspondence","document_subtype":"financial transaction terms","key_organizations":["Deutsche Bank Securities Inc."]}