Dual Directional Note on Euro Stoxx Index

Looking for a good Structured note deal. You can refer to the note issued by . This note belongs to the class of products that pay in both rising and falling environments. Interesting. Lets look into some details. On August 30,2013, Citigroup issued notes to its investors that pay uncapped market performance with leverage on upside.For every point rise in Euro Stoxx 50 index, investor will receive 1.25 units. On the down side up to 35% fall in the market, investor will receive absolute performance. That is if market falls by 10 units, investor will receive 10 units. Beyond 35%, investor will participate in 1:1 downside performance. Payoff and return performance of this note can be replicated using 3 different options, Investor is Long 1) 1.25 units of Call option at Strike 2721.37 2) 1 unit of put option at strike 2721.37 Investor is Short 1) 2 unit of Knockout put option at strike of 2721.37 and Barrier level of 1768 Call option and put option together replicate the positive performance of the Note. Knockout option simulates the downside performance of the note. Only issue with this note is it expires in 2019. Now this horizon of 6 years is long for tactical investors. But if you are long term investor you can enter into this note and juice the market returns. Since Euro Stoxx is quoted in euros and the Note is priced in dollars therefore we need to consider correlation between Euro Stoxx Index and EURUSD Currency. Dual Digital Plus Note Performance

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