From: Daniel Sabba >
Sent: Thursday, Jan , .
To: Jeffrey Epstein
Cc: Vahe Stepanian
Subject: quick update - crude vol + Brazil CDS [C]
Classification: Confidential
Jeffrey — see cr=de oil trading commentary below.
Implied vols are up si=nificantly.
Mar15 WTI vol (which e=pires in Feb15) up to 53.70% (up 5.9%). More info below.=/p>
Brazil Sy CDS closed a= 211 / 215. When you entered the trade it was 201/205. The 10bps widening =ith a spread DV01
of approximately 4.5k should lead to approximately +=5k PnL on the position.
My CDS trader sees thi= as a bear reversal. Oil failed to hold, pushing most EM names wider with =razil
underperforming. This was positive to your position.
Stavros Valavanis
Sent: Thursday, January 15, 2015 3:53 PM
Subject: EOD Commodities Note - 15 Jan
Classification: Public
OIL
&nbs=;
A Picture is worth 1000 words about the action since=yesterday in crude. We rallied 14% from yesterday's lows (a
massive =topout) and then sold off 10% from today's highs. There was some bea=ish news today in the morning; the
OPEC report was bearish as it reduced the call on its own crude to 28.8 for 2015= and H1 especially down to 27.8. Also,
Iraqi Feb exports are planned to be=a record high (up by 600kbd) according to "sources". Also, YPF=apparently had a 9%
output growth in 2014. However, the market shrugged this bearish news off initially as we rallied massivel= and broke
51$ in WTI and 52$ in BRE. Nothing specific happened to cause t=e selloff after, and overall it seems that the market is
violent and it se=ms like a good time to be on the sidelines; on a normal day the above new would have caused a selloff,
but =he fact that we rallied 4$ and then sold off is classic indication of an e=tremely short market. Perhaps the rally was
somehow related to the wild FX=moves as Macro clients had gotten very short, and perhaps stopping out of losing fx
positions caused them to=take profit on profitable positions as well? Apart from flatprice, one int=resting thing was the
arb today, which sold off aggressively after reports=that 10M bbls of WAF crude are heading for storage in the USGC.
This happened faster than I would have ex=ected...Perhaps it is time to sell HIM boxes now...
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OIL VOLS
&nbs=;
Vols skyrocketed in calls today as we had tremendous=intraday moves. Gamma was bid even during the morning
upswing, and only go= more bid as we came off. We saw interest in buying WTI put spreads in cal=5. There was some
interest to sell variance swaps in mar-may 2015 at some point in the day, but not much seem=d to go through as people
got spooked by the continuing rally. Interesting=y, ca116 was much more tame, w z6 vols up only .55 and .35 in wti and
bre =espectively. Again there has been no producer flow to note of...M5/Z5 is almost at +10% in WTI, pret=y amazing!
&=bsp; &nbs=; =nbsp; WTI (/change) &=bsp; &nb=p; BRE (/change)=/span>
H15 &nbs=; =nbsp; 53.70% +5.90%&n=sp; = 51.30% +6.20%</=pan>
M15 &nbs=; =nbsp; 46.00% +3.90% = =2.35% +3.75%
Z15 &=bsp; &nbs=; 36.30% +2.15% &n=sp; 34.25% +1.80%4=pan>
Z16 &nbs=; &=bsp; 27.55% +0.55% = 26.90% +0.35%
&nbs=;
&nbs=;
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