Epstein Files Search

EFTA02343682Set 11

2016-07-264p1,579w

Sent: Tuesday, July 26, 2016 5:20 PM To: jeffrey E. Subject: Fwd: Buy VIX options for vol replacement trades i reviewed trade idea as BAC and others ... highest since Nov 2001 long term there are concerns about 2017 projected =arnings Spot Vix today per Amanda was 13.00 amanda=said that you can adjust Aug 15/21 call spread ... York, NY 10022 Begin forwarded message: From: =/b>"Ens, Amanda' Subject: =/b>Buy VIX options =or vol replacement trades Date: =/b>July

https://www.justice.gov/epstein/files/DataSet%2011/EFTA02343682.pdf

EFTA01363043Set 10

1p648w

REFERENCE DATA (CYES - SPX - VIX) [YES (N)' 0.44% -0.37% 0.24% 0.30% 0.24% 0.09% 0.14% 0.21% 0.06% -0.33% -0.31% 0.01% 0.71% SPX Close ... Range 2.5% 4.4% 3.3% 2.9% 2.8% 2.0% 3.2% 3.0% 2.9% 2.5% 3.9% 3.4% 14.2% VIX Close 12.0 12.9 12.4 10.8 10.4 11.2 10.3 10.6 9.5 10.2 11.3 11.0 11.0 VIX ... Change -14.6% 7.8% -4.3% -12.5% -3.8% 7.4% -8.2% 3.2% -10.2% 7.0% 10.8% -2.1% -21.4% VIX % Range

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01363043.pdf

EFTA01362947Set 10

1p656w

REFERENCE DATA (CYES - SPX - VIX) CYES(N)' -0.13% 0.16% -0.23% 0.15% -0.98% 0.20% -0.02% -0.13% 0.30% -0.12% 0.11% 0.10% -0.61% SPX Close ... Range 5.9% 3.1% 4.5% 3.9% 6.6% 5.8% 5.9% 4.9% 5.9% 7.7% 3.8% 4.5% 29.7% VIX Close 14.3 15.5 12.7 13.5 16.3 16.9 13.5 17.0 16.6 13.8 13.7 13.7 14.8 VIX ... Change -20.8% 8.6% -18.1% 6.5% 20.6% 3.4% -20.2% 26.5% -2.4% -17.2% -0.4% 0.1% -23.9% VIX % Range

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362947.pdf

EFTA01363044Set 10

1p639w

REFERENCE DATA (CYES - SPX - VIX) CYES(N)' 0.13% -0.01% 0.00% 0.27% 0.46% 0.14% 0.29% 0.33% 0.00% 0.27% 0.35% 0.06% 2.31% SPX Close ... Range 5.9% 5.0% 5.8% 4.6% 8.8% 7.4% 4.9% 5.2% 5.5% 4.7% 6.4% 3.5% 17.1% VIX Close 19.4 18.4 15.5 17.2 24.1 17.1 18.9 17.5 15.7 18.6 15.9 18.0 18.0 VIX ... Change -16.9% -5.2% -15.9% 10.6% 40.3% -29.0% 10.8% -7.7% -10.0% 18.2% -14.7% 13.5% -23.0% VIX %Range

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01363044.pdf

EFTA01362946Set 10

1p607w

REFERENCE DATA (CYES - SPX - VIX) CYES(N)' -1.15% -0.63% -0.62% 0.96% 0.26% 0.05% SPX Close 2824 2714 2641 2648 2705 2718 2718 SPX %Change ... Range 7.1% 10.7% 8.0% 6.2% 5.6% 3.7% 12.7% VIX Close 13.5 19.9 20.0 15.9 15.4 16.1 16.8 VIX %Change 22.6% 46.6% 0.6% -20.2% -3.1% 4.3% 45.7% VIX %Range ... Range 2.5% 4.4% 3.3% 2.9% 2.8% 2.0% 3.2% 3.0% 2.9% 2.5% 3.9% 3.4% 20.1% VIX Close

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362946.pdf

EFTA01405764Set 10

2015-09-04147p21,516w

ETFs failed to do so, while no issues were reported in credit space. The VIX index has closed at above 3Opts for three days in a row early last week ... years). The graphs seem to suggest that once volatility jumps to 3Opts on the VIX scale, it tends to stay there for at least a few weeks or even months ... late 2007/early 2008. So technically speaking, even periods of quick reversal from a 3Opt VIX levels have previously proven to be prescient indicators of more volatility to come down

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01405764.pdf

EFTA01389110Set 10

2018-02-071p452w

pages/ 532 kb) Recent move in US equities was technical. fundamentals still constructive • With VIX at all-time lows, short vol ETPs effectively became highly leveraged with a large asymmetric ... risk profile. The rebalancing requirements of VIX ETPs exacerbated Monday's vol spike. On Monday's VIX spike, vol ETPs would have needed to buy $230mn+ vega ... VIX futures volume traded on the day. This dynamic led to the NAVs of 2 major short vol ETPs to fall —95%. • Vol spikes may be longer-lived with

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01389110.pdf

EFTA01097815Set 9

2015-09-0447p20,445w

poor summer liquidity contribute? What part did new regulations play? Did Figure 1: VIX index 1997-2003 markets "overreact", or was the move supported by deteriorating macro so fundamentals? Will ... often happens, this surprise development exposed how far off the reality perceptions stood on VIX index 2006-2011 the topic of liquidity. Whereas so many pundits predicted the day when ... while no issues 45 were reported in credit space. 35 The VIX index has closed at above 30pts for three days in a row early last 30 week, and returned

https://www.justice.gov/epstein/files/DataSet%209/EFTA01097815.pdf

EFTA01101980Set 9

2014-06-24123p41,127w

quarter. Volatility: Volatility, as measured by the Chicago Board Options Exchange Volatility Index ("VIX")," indicated that investors remained relatively confident that the equity market would remain stable. The index averaged ... quarter. • During Q3, the VIX ranged from 11.8 to 17.0. The VIX closed at 16.6 at the end of September 2013, in line with ... second quarter. • For comparative purposes, the VIX rose above 80 during the depths of the financial crisis in November 2008, but resettled below 25 for most of the periods since

https://www.justice.gov/epstein/files/DataSet%209/EFTA01101980.pdf

EFTA01101857Set 9

2014-06-24123p41,119w

quarter. Volatility: Volatility, as measured by the Chicago Board Options Exchange Volatility Index ("VIX")," indicated that investors remained relatively confident that the equity market would remain stable. The index averaged ... quarter. • During Q3, the VIX ranged from 11.8 to 17.0. The VIX closed at 16.6 at the end of September 2013, in line with ... second quarter. • For comparative purposes, the VIX rose above 80 during the depths of the financial crisis in November 2008, but resettled below 25 for most of the periods since

https://www.justice.gov/epstein/files/DataSet%209/EFTA01101857.pdf

EFTA01435023Set 10

2018-11-0426p2,241w

Treasuries. Over the following month, smallcaps have outperformed on average. Lastly, as expected VIX futures fell the day after the election, but also remained lower in the following moth ... VIX Future EFTA01435027 Source: DB, Bloomberg L.P. Our Macro Strategy teams are out with their midterm preview and one thing they have seen is dollar strength surrounding US elections. fcid ... anticipate vols meaningfully drop off only slightly, we are not going back to VIX sub 16 world any time EFTA01435030 soon o 17-25 VIX level range into

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435023.pdf

EFTA01478561Set 10

2013-10-1711p2,506w

because the Fed will be able to issue debt without approval well into May § VIX (S&P volatility) has dropped back to 14.52 from Tuesday's recent high ... recovery in capex. S&P 500 volatility has dropped back to normal levels (VIX closed at 14.71 on 10/16; 1-year average is 14.95) on reports of a fast-tracked ... debt ceiling until February 7. This theme can be re-explored in February. § Sell VIX calls to buy crash protection in gold, the Euro Stoxx 50, and U.S. financials

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01478561.pdf

EFTA00788475Set 9

2017-07-2429p16,328w

pnce flLcuations before 2011 Sitcom's Is also uncorrelated to Treasury securities or the VIX Lastly, we test the correlation of bitcoin to other liquid markets such as Treasuries ... VIX and our own BofA Merrill Lynch GFSIIU. Once more, the correlation between bitcoin and both near-term and long-term Treasury bonds and breakevens is near zero BankorAmenca ... Merrill Lynch EFTA00788483 (Table 5). Interestingly, the correlation of bitcoin to the VIX and to other risk indicators such as the BofAML GFSI is also very low, near zero

https://www.justice.gov/epstein/files/DataSet%209/EFTA00788475.pdf

EFTA01108985Set 9

2014-06-30112p35,472w

last year. Volatility: Volatility, as measured by the Chicago Board Options Exchange Volatility Index ("VIX"),10 indicated that investors remained relatively confident that the equity market would remain stable. • During ... first quarter of 2014, the VIX ranged from 12.1 to 21.4. The VIX closed at 13.9 on the last day of the first quarter. The average in the first quarter ... slightly higher than the fourth quarter 2013 average of 14.2. • For comparative purposes, the VIX rose above 80 during the depths of the financial crisis in November 2008, but resettled

https://www.justice.gov/epstein/files/DataSet%209/EFTA01108985.pdf

EFTA02391868Set 11

2017-04-192p222w

call spreads for $0.15 going into OPEC (3.3x max gross payout) Another idea: VIX. We can't trade this in your account here at BAML since ... next month, in case you'd like to trade it away. Sell lx the VIX 17-May-17 15 straddle to buy 1.35x the 17 calls, collecting ... lose if VIX falls resets lower below 13 (we think this is less likely as we expect VIX stay supported going into event risk over the next month.) If there

https://www.justice.gov/epstein/files/DataSet%2011/EFTA02391868.pdf

EFTA01362027Set 10

2016-09-041p671w

much did poor summer liquidity contribute? What part did new regulations play? Did Figure VIX index 1997-2003 markets "overreact", or was the move supported by deteriorating macro 50 fundamentals ... often happens, this surprise development exposed how far off the reality perceptions stood on VIX index 2006-2011 the topic of liquidity. Whereas so many pundits predicted the day when ... failed to do so, while no issues iS were reported in credit space. The VIX index has closed at above 30pts for three days in a row early last week

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362027.pdf

EFTA00665021Set 9

2017-09-1911p2,641w

first time on Friday, a new milestone * Outstanding vega of both levered and inverse VIX ETPs has climbed to a staggering $375mn vega, an all- time high as well. While ... trade, we reiterate our view<http://researchl.ml.corn/C?q=i9tY31A81!17P!W1FcWvbQ> that a short cover in the VIX space is unlikely to trigger an outsized move in equities [Chart 1, 2] * Call skew ... likelihood of a tax reform ultimately getting done [Chart 4] Positioning in levered long VIX ETPs has climbed to its highest level since July 2016 ($150mn vega

https://www.justice.gov/epstein/files/DataSet%209/EFTA00665021.pdf

EFTA01433771Set 10

2018-03-144p879w

first 10% correction since 2015) coupled with a surging VIX (we don't like the spike on the way up but prefer the more elevated levels going forward). YTD, trailing ... annualized since inception numbers are provided below: fcid:image001.png@OlD3B7CD.42BDF3C01 Monthly Metrics (SPX and VIX): The SPX closed the prior month at 2824 -> after peaking at 2873 intra-month ... from the prior month close (but much larger intra-month swings). EFTA01433771 The VIX closed the prior month at 13.5 -> surged to multi-year highs (as the SPX was bottoming

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01433771.pdf

EFTA01362948Set 10

1p166w

REFERENCE DATA (CYES - SPX - VIX) CYES(ry)1 0.02% 0.92% -0.05% 0.06% 0.02% -0.97% -2.83% 516 3.06% SPX Close ... Range 13.7% 5.8% 7.7% 6.1% 4.8% 9.4% 7.2% 5.2% 15.3% 28.1% 27.5% 11.5% 49.8% VIX Close 26.2 26.5 25.6 20.8 17.8 24.0 22.9 20.7 39.4 59.9 55.3 40.0 31.6 VIX ... Change 16.4% 1.3% -3.5% -18.8% -14.2% 34.3% -4.2% -10.0% 90.8% 52.0% -7.7% -27.6% 77.8% VIX %Range 68.7% 30.8% 50.2% 25.0% 24.7% 37.7% 42.1% 22.8% 135.3% 127.3% 62.2% 54.1% 377.6% Data

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362948.pdf

EFTA01460452Set 10

2013-10-011p496w

debt ceiling until February 7. This theme can be re-explored in February. § sell vix calls to buy crash protection in gold, the Euro stoxx 50, and U.S. financials ... ger.gm.cib.intranet.db.com/ger/document/pdf/0900b8c08761blee.pdf § option premiums on vIx and GLD fell on 10/16 (Nov-13 VIX 22 call fell 0.56, Nov-13 GLD 108 put fell 0.21) in the wake of Washington ... dissipated, causing a drop in volatility. § Original trade with updated pricing § Sell Nov-13 VIX 22 calls for 0.55 (current: 14.71, 6-month closing high

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01460452.pdf