Epstein Secrets

eap Date: July 19, 2016 at 10:07:27 AM EDT To: "Rich Kahn" Reply-To: "Ens, Highlights from this week

.1% 21.1% 87.9% 76.3% 71.9% ASS1 3.2% 13.8% 84.4% 701% 61.6% HSI 4.2% 17.7% 83.6% 692% 64.0% WISE 3.4% 13.2% 83.3% 69.7% 60.5% KOSPI2 2.8% 11.9% 78.1% 71.1% 71.6% NIFTY 3.4% 14.0% 72.6% 71.6% 73.6% NKY 62% 26.2% 71.6% 50.3% 47.0% S&P500 at all-time highs but net 'b

ade for you - buy cheap RTY/SPX outperformance** Rich I would like to do $10MM notional on this trade.

gain long EM exposure with limited downside given that these markets have outperformed YTD and they face continued geopolitical risks • Buy HSCEI, KOSPI2, TWSE Jun-18 105%-120% call spreads funded by selling ASX200 (DM) and NIFTY (high valuation, weak earnings) 105%-120% call spreads for 0 upfront cos

la variance as investors can avoid paying for the rich HSCEI convexity below the 70% barrier. The trade

% 2M 25d-Call KOSPI2 (14.2%) NIFTY (12.2%) 1.16 98% ° Source: BofA Merrill Lynch Global Research 5% * Index universe includes the ASX200, HSCEI, HSI, KOSPI2, NIFTY, NKY, TWSE, SPX and SX5E a a oo a a a ee mid level implied vol ise] iss} o oO D o ise] D o ise] D o ise] oO > Sao 7 SYN FT EH FEY FOS Source:

in July and August as ~US$4.0bn of legacy products may knock-out in Jul-17 with an average HSCEI knock-out level of 9665 (Chart 43). e — Issuance in KOSPI2-linked products (up from US$840mn to US$846mn) remained steady in May-17; HSI-linked products fell 66% from US$360mn to US$120mn as investors prefere

ation trade. Cheapen Financials upside by selling rich Utilities and Staples vol & expensive correl. Hi

via bullish X-market risk reversals Steet Selling rich USO (WTI tracker) 3M 25d puts to fund cheaper SXE

t Level Table 5: Volatility measures of major Asian indices (data as of 5-Aug-16) Korean structured product issuance increased to US$1.9bn in July: KOSPI2-linked products dominated Korean auto-callable product issuance ticked up last month, with a total of USS 1.9bn notional issued, vs. USS 1.6bn total