Epstein Secrets

ted loss way of fading elevated MXN volatilities and buying cheap EURUSD volatility, which could perform in the event of rising Italian election and Catalonia independence concerns Graphs Graph 1: KIRMXN-USDMXN implied correlation at highs IDON 90% toe -at 7056 r EON SON a 3016 2096 EURMXN.USOMX

pliedcar 2007 3301 2003 2010 2011 2012 2013 2014 2015 2016 2017 Graph 3: 1v realized correlation vs. strike Graph 2: MXN vols elevated compared to EURUSO vols 5 0 -s -10 -15 -20 —EUMISO-EURMXN ly implied vol spread -25 EURUS0USOMX14 ly irroied yolspead 2007 2003 2009 2010 3311 2012 2013 2014 201

ted loss way of fading elevated MXN volatilities and buying cheap EURUSD volatility, which could perform in the event of rising Italian election and Catalonia independence concerns Graphs Graph 1: EI,IRMXN-USDNIXN implied correlation at highs /OM 9034 toe -at 7056 r 1034 5036 401 3016 2096 1 EuR1

mpel car 2OO7 3301 2003 2010 2011 2012 2013 2014 2015 2016 2017 Graph 3: 1v realized correlation vs. strike Graph 2: MXN vols elevated compared to EURUSO vols 5 0 -s -10 -15 -20 —EUR1150-EURMXN ly implied spread -25 EURUS0USONECN ly irroied yolspead 2007 20W 2009 2010 3311 2012 2013 2014 2015 3

ted loss way of fading elevated MXN volatilities and buying cheap EURUSD volatility, which could perform in the event of rising Italian election and Catalonia independence concerns Graphs Graph 1: EURMXN-USDMXN implied correlation at highs 100% 803£ A -Axe 1- 60% 50% 43% 30% Xs% 2207 2336 2009 —

Zeman Sent: Tuesday, November 28, 2017 12:42 PM To: Paul Barrett Cc: Stewart Oldfield < ; ham Osullivan < Graph 2: MXN vols elevated compared to EURUSO vols 0 -5 -ID -15 -20 -25 • 2007 2008 2013 2010 2011 2012 2013 2014 2315 2016 2017 Eu gt.5O6 WM% ly inwlSd e$ spend EtiRUSD-USINAM iY impied vial