EFTA02569980.pdf

From: Barrett, Paul S Sent: Tuesday, May 28, 2013 3:39 PM To: Jeffrey Epstein Cc: Barrett Pod Subject: Trade Idea: Take Advantage of NKY/ SPX Vol Spread Jeffrey The spread between NKY implied vol and SPX implied vol is as wide as it was during the earthquake in 2011 --> take advantage & sell volatility on Japan and buy volatility in the US. Indicative costless strategy: Sell $2MMof a 3mth 90% Put on NKY Buy $20MM of a 3mth 110% Call on SPX » be ready to unwind quickly should SPX rally back to the recent high What do you think? Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Private Bank I 320 Park Avenue, 14th Floor, New York, NY 10022 I T: (212) 622-2770 I F: (212) 310-0108 I paul.s.barrett@jpmorgan.com <mailto:paul.s.barrett@jpmorgan.com> I NM LS IDS 853441 EFTA_R1_01737556 EFTA02569980 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. 2 EFTA_R1_01737557 EFTA02569981