From: Jeffrey Epstein <jeevacation@gmail.com>
To: "Barrett, Paul S"
Subject: Re: Brent pricing
Date: Mon, 30 Apr 2012 20:57:51 +0000
lets start with 250.000. 140 ,100
On Mon, Apr 30, 2012 at 4:23 PM, Barrett, Paul S < > wrote:
Aug12 ref: 118.80
Sep12 ref: 118.32
Oct12 ref: 117.73
Client buys Brent calls
Offers in $/bbl 130 strike 140 strike
August 2012 1.37 0.50
September 2012 2.08 0.84
October 2012 2.58 1.15
Client sells Brent puts
Bids in $/bbl 110 strike 100 strike
August 2012 1.85 0.47
September 2012 2.96 1.11
October 2012 3.88 1.73
I like the combination of 1) buying Aug 130 calls and selling 110 puts for a net credit of $0.48 2) buying 140 calls and
selling 100 puts for a net credit of $0.27. We can always spend the net credit to increase the notional on the calls such
that it is cashless. For example we buy 1.35x notional on the topside on the August contract.
Paul
Paul Barrett, CFA
EFTA00933685
Managing Director
Global Investment Opportunities Group
JPMorgan Private Bank
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