EFTA01454863

From: Molt Sahni Sent: 7/30/20141:59:19 AM To: Nay Gupta CC: Paul MoM Subject: Re: For Approval Ill We need to fix this these are non advisory clients Vinit On 30 Jul 2014, at 06:47, "Nav Gupta" wrote: Classification: For internal use only To keep u in the loop. Tazia still working w/ comp) on language to send JE my s+p idea from last week Tazia Smith --- Original Message -- From: Tazia Smith Sent: 07/29/2014 07:04 PM EDT To: Siri Cowden Cc: Zbynek Kozelsky; Vahe Stepanian; Nav Gupta Subject: Re: Fw: For Approval (I) Classification: For internal use only Hi Siri - Revised the point of view language: Intended for Non-Advisory Clients Since the Malaysian airline disaster and rising tensions with Russia, the put skew on S&P equity options has richened. Investors bought equity puts for protection and dealers who were already short the put skew had to short cover. Result - the skew has widened to levels where calls appear really quite inexpensive to puts. Trade 1 3mth Expiry, strikes 5% either side of the forward. Buy 3 to 3.25 calls for every 1 put sold Trade 2 6mth Expiry, strikes 10% either side of the forward. That ratio becomes 4 to 4.35. Max loss is 100% downside exposure to the market from the strike of the sold put. These are big numbers - even if investors are slightly bearish on the market, skew makes an attractive relative-value entry to sell puts to buy calls. Is 3:1 - 4:1 compelling enough? For investors who are long equities, or bullish going forward, using these risk reversals is CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0113257 CONFIDENTIAL SONY GM_00259441 EFTA01454863