Epstein Secrets

inflation) but inter-sector correlation now seems supported likely driven by the unwind of reflation trades (Chart 18). Bankof America <> ariective Merrill Lynch Global Equity Volatility Insights | 20 June 2017 11 HOUSE_OVERSIGHT_014982 --- PAGE BREAK --- Chart 18: European intra-sector realised correlation is near a 10-year Table 3: Person

strangles by selling 1x 19- Aug-16 2950-3000 strangles Sell NKY Aug16 15500 puts, Buy Sep16 15500-14500 put spreads Buy TLS 25-Aug16 95% puts Buy Newcrest 25-Aug-16 105/115% call spreads Buy CSL 25-Aug-16 95% puts Buy BHP 25-Aug-16 105/115% call spreads Buy HSCEI Aug16 9400 call, Short Oct16 10000 ca

to 2-Jun-17. m 3yr %-ile of average 12m ATMF implied vol © Sector market cap as a %-age of total SPX Top50 market cap Bankof America <> ; dee Ios Merrill Lynch Global Equity Volatility Insights | 06 June 2017 7 HOUSE_OVERSIGHT_023581 --- PAGE BREAK --- Chart 18: Long SPX Top50 dispersion strategies performed the best during the dotcom bub

strangles by selling 1x 19- Aug-16 2950-3000 strangles Sell NKY Aug16 15500 puts, Buy Sep16 15500-14500 put spreads Buy TLS 25-Aug16 95% puts Buy Newcrest 25-Aug-16 105/115% call spreads Buy CSL 25-Aug-16 95% puts Buy BHP 25-Aug-16 105/115% call spreads Buy HSCEI Aug16 9400 call, Short Oct16 10000 ca

eft sections) are dominated by scenarios of greater than 50% deleveraging. On the other hand, the second and fourth quadrants Bankof America <> ; re Merrill Lynch Global Equity Volatility Insights | 09 August 2016 5 HOUSE_OVERSIGHT_025982 --- PAGE BREAK --- have episodes of more benign model-driven deleveraging. In each quadrant exists examp

, STAN LN and MUV2 GY Buy an Oct16 110%F call on an equally weighted basket (quanto EUR) Buy TLS 25-Aug16 95% puts Buy CSL 25-Aug-16 95% puts Buy Newcrest 25-Aug-16 105/115% call spreads Buy BHP 25-Aug-16 105/115% call spreads Replace T long position via 3M ATM calls Replace LOW long position via 3M ATM