From: Barrett, Paul S
Sent: Thursday, October 13, 2011 2:12 PM
To: Jeffrey Epstein
Cc: Giuffrida, David J; Ens, Amanda
Subject: Middle East Ideas
Jeffrey
Please see pricing of the ME Hedges. FX vol has come off but still up=on average 3% vs June. I think you should buy
combination of 5% out of t=e money 2 month puts and 10% out of the money 4 month puts. Not sure how=much you
want to spend.
Oil implieds are still 15% higher than in=June — so the options are still expensive providing less leverage.=o:p>
Bren= calls
Jan12 contract
Contract ref: 106.7
31%OTM (140):0.34
40= OTM (150): 0.26
March12 contract
31%OTM (140): 0.83
40%OTM =150): 0.52
=/p>
Gold calls
Spot ref: 1,670
2 months<=o:p>
20%OTM (2000): 0.65%</=>
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30% OTM (2175): 0.30%
4 months<=p>
20% OTM (2000): 1.73%
30% OTM (2170): 0.94%
40% OTM (=340):0.55%
USD calls/TRY puts
Spot ref= 1.8350
2 months<=p>
10% OTM (2.02): 0.88%
20% OTM (2.20): 0.35%
4 months
10% OTM (2.02): 1.94%
2=% OTM (2.20): 1.00%
USD calls/ILS puts</=>
Spot ref: 3.66
2 months
5% OTM (3.84): 0.56%=o:p>
10% OTM (4.02): 0.24%<=span>
=span style=lont-size:11.0ptfont-family:"Calibri","sans-serifm>4 mon=hs
5% OTM (3.84): 1.07%
10% OTM (4.02): 0.55%</=>
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USD calls/INR puts</=pan>
Spot ref: 49.25
2 months
5% OTM (51.71)= 0.87%
10% OTM (54.17): 0.43%
4 months
5% OTM (51.71): 1.71=
10% OTM (54.17): 1.00%
&n=sp;
Buy sovereign protect=on with 5 year CDS
Abu Dhabi=128
Qatar 128
class=MsoNormal>Saudi 129
Bahrain 430
Dubai 475
Egypt 470
Lebanon 460
=p class=MsoNormal>Paul Barrett, CFA
Mana=ing Director
Global Investment Opport=nities Group
WMorgan Private Bank
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