EFTA02372527.pdf

From: Barrett, Paul S Sent: Wednesday, May 9, 2012 7:10 PM To: Jeffrey Epstein Cc: Ens, Amanda; Giuffrida, David Subject: Calendar Spreads Calendar Spreads — would do CSCO and PCLN as they report tonight. On CSCO we would sell the May 19 Calls and buy the June 19 Calls for a net cost of $0.21 On PCLN we would sell the May 720 Calls and buy the June 720 Calls for a net cost of $12.00 Would look to spend $50,000 in premium per name Next Earnings Date Implied 1 day move on earnings 1st Month ATM Implied Vol 2nd Month ATM Implied Vol 1st/2nd ATM Vol spread Average historical Implied Vol 1st month Vol/historic Vol Options Volume CSCO Cisco Systems Inc 05/09/2012 1 EFTA_R1_01376602 EFTA02372527 6.16 47.9 32.0 15.9 32.1 15.9 88,023 PCLN priceline.com Inc 05/09/2012 9.13 70.7 46.9 23.8 46.9 23.8 51,647 MCP Molycorp Inc 05/10/2012 2 EFTA_R1_01376603 EFTA02372528 9.52 87.0 68.9 18.2 68.9 18.1 14,156 NVDA NVIDIA Corp 05/11/2012 7.67 64.4 47.3 17.1 47.5 16.9 17,665 3 EFTA_R1_01376604 EFTA02372529 Paul Barrett, CFA Managing Director Global Investment Opportunities Group JPMorgan Private Bank 320 Park Avenue, 14th Floor, New York, NY 10022 212-622-2770 (W) 212-310-0108 (F) NMLS ID# 853441 This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email. 4 EFTA_R1_01376605 EFTA02372530