From: Barrett, Paul S <
Sent: Monday, January 31, 2011 5:49 PM
To: Jeffrey Epstein; Staley, Jes
Subject: RE:
Je=frey
<=span>
Ideas:
=span style=lont-size:11.0ptfont-family:"Calibri","sans-serif";color:=1F49701>Israeli Shekel:
% return since 15Jan11 = -5%
% return last 12 months = +0.50%
<=pan style=lont-size:11.0ptfont-family:"Calibri","sans-serir;color:#=F497D5Indicative Pricing:
3 month ATM ILS put = 1.90%
6 month ATM ILS put = 2.65%
12 month ATM ILS put = 3.85%
Alternatively if you wanted disaster insurance I would recomm=nd buying 10% out the money puts:
3 mont= 10% OTM ILS put = 0.30%
6 month 10% OTM ILS put = 0.67%
12 month 10% OTM ILS put = 1.33%
Israel CDS
<=pan style=mfont-size:11.0pt;font-family:"Calibri","sans-serir;color:#=F497D5Syr CDS at 150bps
23junll 5% ou= of the money European Puts @ 3.13%
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23jun11 100%/93% European Put Spreads @ 2.42%
We have the oil call options in place so alternatively we should consi=er buying protection on Turkey. Their Syr CDS is at
168bps (was 135bps i= early December). We are also looking at Indonesia at 173bps.
Paul
=aul Barrett, CFA
Managing Director
Global Investment Opportunities Group
JPMorgan Private Bank<=p>
40W 57th Street, 33rd Floor, New York, NY 10019
(W) (F)<= P>
<mailto:paul.s.barrett@j=morgan.com>
<= class=MsoNormal>
From: Jeffrey Epstein (mailto:jeevacation@gmail.coml Sent: Sunday, January 30, 2011 6:53 AM
To: Barrett, Paul=S; Staley, les
Subject:
I think we should prepare to short the israeli market.. lets f=nd a good way to play the uncertainty in the area
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