EFTA02388987.pdf

From: Barrett, Paul S < Sent: Wednesday, April I , 201 / 4: 1 b PM To: Brad Wechsler Cc: Jeffrey Epstein (jeevacation@gmail.com); Richard Kahn; Barrett Team; Fennessey, Stephanie Subject: Ideas around Europe Brad Two things of note: 1 Vol skew on the SXSE is the most extreme it has been in 5 years. 2 Implied vol for May ATM calls on SX7E has spiked vs the June expiry. Trade 1: SXSE Ref: 3419.60 Client Long Ratio Risk Reversal Tenor May 19, 2017 (Listed Expiry) Short 1.0x Put Strike 95.04% (3250) Long 4.50x Call Strike 105.00% (3600) Premium Cashless Delta 82.99% Trade 2: Trade Idea: Calendar Call Spread EFTA_R1_01412117 EFTA02388987  Sell May17 SX7E 120 Call Buy Jun17 SX7E 120 Call Cashless Ref. 120.27 In this trade you are short the high-demand ATM contract and long the same strike with a longer tenor. Source Bloomberg 19Apr17 Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Securities LLC I J.P. Morgan Private Bank I J.P. Morgan Chase Bank N.A. NOT AN OFFICIAL CONFIRMATION: For informational purposes only. This report does not represent an official account of the holdings, balances, or transactions made in your account and is being provided at your request. Please refer to your monthly account statement for the official record of all of your account activities. For question, please call your J.P. Morgan representative. In discussion of options and other strategies, results and risks are based solely on hypothetical examples cited; actual results and risks will vary depending on specific circumstances. Investors are urged to consider carefully whether option or option-related products in general, as well as the products or strategies discussed herein are suitable to their needs. In actual transactions, the client's counterparty for OTC derivatives applications is JPMorgan Chase Bank, N.A., and affiliates. For a copy of the "Characteristics and Risks of Standardized Options" booklet, please contact your JPMorgan Advisor. For clients domiciled in Australia, J.P. Morgan Chase Bank, N.A. (ABN 43 074 112 011) holds an Australian Financial Services Licence No. 238367. It is subject to the supervision of the Australian Prudential Regulation Authority and the Australian Securities and Investments Commission. J.P. Morgan Securities LLC is a U.S. registered broker-dealer incorporated in Delaware, U.S.A. (ABRN #109293610) 2 EFTA_R1_01412118 EFTA02388988 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. This message is confidential and subject to terms at: http://www.jpmorgan.com/emaildisclaimer <http://www.jpmorgan.com/emaildisclaimer> including on confidentiality, legal privilege, viruses and monitoring of electronic messages. If you are not the intended recipient, please delete this message and notify the sender immediately. Any unauthorized use is strictly prohibited. 3 EFTA_R1_01412119 EFTA02388989