Epstein Files Search

EFTA01469802Set 10

2014-07-309p1,877w

Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls. EFTA01469802

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01469802.pdf

EFTA01469831Set 10

2014-07-3010p1,977w

Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01469831.pdf

EFTA01469814Set 10

2014-07-308p1,931w

Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01469814.pdf

EFTA01469822Set 10

2014-07-309p1,954w

Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01469822.pdf

EFTA01104892Set 9

30p6,348w

Positive Months 87.84% 70.27% Kurtosis 11.70 4.38 Average Positive Month 2.52% 1.37% Skewness 2.45 -1.61 Average Negative Month -1.14% -1.88% 'Comparative ratios and annualized statistics are calculated utilizing both ... Therefore, a $100 million loss should be expected to occur once every 20 months. Skewness A statistical measure to describe asymmetry from the normal distribution in a set of statistical ... data. Skewness can come in the form of "negative skewness" or "positive skewness", depending on whether data points are skewed to the left (negative skew) or to the right (positive

https://www.justice.gov/epstein/files/DataSet%209/EFTA01104892.pdf

EFTA00610276Set 9

2014-01-0926p14,709w

steepness 1200 extremes. On the one hand, this means that the risks 1000 are skewed towards flattening, historically one of the 800 most supportive yield curve environments (chart ... close to the medium-term average (chart 0.7 3). The odds therefore seem skewed towards higher -80% equity inflows into the US, which combined with a 0.6 flatter US curve ... first time since 2008 (chart 1). For this year, the risks are skewed the other way. There is less than IPortfolio Inflows Into Euro-Area Peaked 200bn EUR of excess

https://www.justice.gov/epstein/files/DataSet%209/EFTA00610276.pdf

EFTA01148564Set 9

2010-02-1910p8,351w

Markets Weekly, November 4, 2011. currencies given current levels of FX volatility and options skew. Long-dated (3Y-5Y) AUD puts/USD Euro: the make-or-breakup year, Normand, Global ... over those that are historically effectiveness of hedges from current levels of volatility and skew. expensive. We measure historical rich/cheap through the 2-yr z-score of option premia (number ... most efficient hedges given current paying away carry primarily through time-decay — volatility and skew across currencies? especially for shorter-dated options — for the right to Hedging EMU risk

https://www.justice.gov/epstein/files/DataSet%209/EFTA01148564.pdf

EFTA01454875Set 10

2014-07-231p316w

Classification: External Communication Good Morning Siri - we'd like to send this obsevation of skew dislocation to Epstein (KCP) client as well. If we use your disclaimer that you sent ... Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01454875.pdf

EFTA01437035Set 10

2018-03-15116p7,186w

Forecasts Q2 2018 2018 2019 DB 4.00 4.26 4.50 EFTA01437036 Carry, volatility and skew dynamics Although carry remains punitive and near all time highs, volatility and skew have all moved ... volatilities have sold off, approaching to average levels over last 6 years Implied volatility skew has decreased in favor of USD call buyers Implied volatilities have sold-off to average ... levels are now trading close to their average for past few years USDTRY skew has become more favorable to a USD-based hedger but still remain expensive to USD puts

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01437035.pdf

EFTA01475956Set 10

2015-12-08298p51,111w

year Treasury yield ending the year at 2.5% with risks skewed to the upside -- as the market prices a tightening Fed. US credit spreads are likely to widen further ... support a stronger recovery on the demand side of the economy. Risks are also skewed to the upside of our US economic outlook. The rebound in business fixed investment from ... demand side of the economy. In addition, the risks to our US outlook are skewed to the upside: the peak drag on business investment from the sharp drop

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01475956.pdf

EFTA01464418Set 10

2013-05-1660p12,430w

combined with the huge decline in Eurozone risk premia, we see the risks as skewed towards an unwind of the more than 150bn of safehaven inflow that went into Switzerland ... transform foreign "safe haven" inflows into higher-yielding foreign assets. Finally, the risks are skewed towards higher "political" and "policy" premia on GBP. The continued dramatic decline in Eurozone risk ... shorts at this point. Indeed we are more inclined to take advantage of the skew in AUD/USD options to buy a vanilla AUD/USD 1.01 3-month call for around

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01464418.pdf

EFTA01456566Set 10

1p190w

lyskeW irebti*loicp vdi COP ly skew (retanweto impl wok 55% CLP 1y skew (re*tve to 'owl vci) LIXN Iy skew(relathe ... skew (rebtstetond vo) 45% 40% 35% 30% 25% 20% Jun-14 Aup-14 Sep-14 Oc1-14 Nor -14 Dec-I4 Jan-15 Spot ref: USDBRL: 2.6991 USDCOP: 2373.07 USDCLP

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01456566.pdf

EFTA01454863Set 10

2014-07-291p281w

Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01454863.pdf

EFTA00631668Set 9

2017-06-204p757w

Tech positioning is still overweight, so hedge longs with point spreads to monetize steep skew in the QQQs (lm 90/100 skew is in the 78th %-ile over the last ... discount). The trade prices attractively today due to exceptionally steep SPX put skew, which is near its highs established since 2004 . With steep SPX put skew, the market is implicitly

https://www.justice.gov/epstein/files/DataSet%209/EFTA00631668.pdf

EFTA01454869Set 10

1p391w

Advisory Clients since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... around the forward not around spot so we are looking at the true skew not optics involving spot/forward spread. Call with any qns or for live pricing best, Nay (Embedded

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01454869.pdf

EFTA00704480Set 9

2017-05-035p1,167w

vulnerable to a FB negative earnings surprise and/or bearish Macro data. Vol Story: Put skew is elevated with 2M 90-97.5 skew in the 96th%-ile over a 2yr lookback ... take advantage of this elevated skew via put spreads Trade: Buy the QQQ June (6/30) 127-134 put spread for $1.10 (ref 137.13, 5.4x net payout, 21 delta ... Skew Elevated (2yr Lookback): EFTA00704481 Source: Bloomberg Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated One Bryant Park, 5th Floor, New York

https://www.justice.gov/epstein/files/DataSet%209/EFTA00704480.pdf

EFTA01454856Set 10

1p421w

Advisory Clients since the Malaysian airline disaster and rising tensions with Russia, the put skew on s&P equity options has richened. Investors bought equity puts for protection and dealers ... were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes ... around the forward not around spot so we are looking at the true skew not optics involving spot/forward spread. Call with any qns or for live pricing best, Nay (Embedded

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01454856.pdf

EFTA01394933Set 10

4p911w

currency — PPP awereg e Deutsche Bank 15 Corporate & Investment Banking EFTA01394934 Carry, volatility and skew dynamics Due to high interest rate — Although carry remains punitive and near all time highs ... Implied volatilities have sold-off to average levels differentials, carry is volatility and skew have all moved in favor of USD call historically elevated levels buyers: for USDTRY iy4 — Carry ... last 6 years months and levels are now trading close to their — Implied volatility skew has decreased in favor of USD call buyers average for past few years

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01394933.pdf

EFTA00625129Set 9

335p135,307w

normal or log-normal distribution. A power law distribution however is very much more skewed than even a log-normal distribution, so it is not obvious why individual skills should ... week, there is a characteristic bulge or hump of individuals, with a skew in the hump towards the right hand side. In the days since Pareto the distribution of income ... detail. The distribution of income for this main group of individuals shows the characteristic skewed humped shape similar to that of the log-normal distribution, though many other distributions have

https://www.justice.gov/epstein/files/DataSet%209/EFTA00625129.pdf

EFTA00531924Set 9

2012-02-083p615w

second photo, this is of the adjacent wall to the cabinets, it is also skewed; the black diamonds are gradually getting smaller against the wall. So, if it's crooked ... cabinets, it would be safe to conclude that the flooring is indeed skewed itself, not that the cabinets or wall is skewed. There are tears in the material in several

https://www.justice.gov/epstein/files/DataSet%209/EFTA00531924.pdf