From: Barrett, Paul S Sent: Tuesday, May 28, 2013 3:39 PM To: Jeffrey Epstein Cc: Barrett Pod Subject: Trade Idea: Take Advantage of NKY/ SPX Vol Spread Jeffrey The spread between NKY implied vol and SPX implied vol is as wide as it was during the earthquake in 2011 --> take advantage & sell volatility on Japan and buy volatility in the US. Indicative costless strategy: Sell $2MMof a 3mth 90% Put on NKY Buy $20MM of a 3mth 110% Call on SPX » be ready to unwind quickly should SPX rally back to the recent high What do you think? Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Private Bank I 320 Park Avenue, 14th Floor, New York, NY 10022 I T: (212) 622-2770 I F: (212) 310-0108 I [email protected] <mailto:[email protected]> I NM LS IDS 853441 EFTA_R1_01737556 EFTA02569980

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