To: Jeffrey epstein (jeevacation@gmail.com)peffrey epstein (jeevacation©gmail.com));
jeevacation@gmail.com(jeevacation@gmail.com)
From: Jeffrey M Matusow
Sent: Mon 9/27/2010 6:03:58 PM
Subject: S+P 500
Jeffrey,
You are long the S+P via a structured note maturing in Jan-12. The index is up 5% since we bought the
note. The market has rallied —10% in Sept.
I think we should sell covered calls against the position. The Nov-11 1170 calls bring in 2% of premium
(13.5% annualized). If we get called away it is 4% of additional return (26.9% annualized). If we end up
above the strike we can roll the options forward and take in more premium.
Jeff
Jeffrey M. Matusow
JPMorgan Private Bank 140 West 57th Street, 33rd Floor. New York. NY 10019
Work
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