EFTA01773270

From: Barrett, Paul S Sent: Thursday, October 13, 2011 2:12 PM To: Jeffrey Epstein Cc: Giuffrida, David J; Ens, Amanda Subject: Middle East Ideas Jeffrey Please see pricing of the ME Hedges. FX vol has come off but still up=on average 3% vs June. I think you should buy combination of 5% out of t=e money 2 month puts and 10% out of the money 4 month puts. Not sure how=much you want to spend. Oil implieds are still 15% higher than in=June — so the options are still expensive providing less leverage.=o:p> Bren= calls Jan12 contract Contract ref: 106.7 31%OTM (140):0.34 40= OTM (150): 0.26 March12 contract 31%OTM (140): 0.83 40%OTM =150): 0.52 =/p> Gold calls Spot ref: 1,670 2 months<=o:p> 20%OTM (2000): 0.65%</=> EFTA_R1_00085962 EFTA01773270 30% OTM (2175): 0.30% 4 months<=p> 20% OTM (2000): 1.73% 30% OTM (2170): 0.94% 40% OTM (=340):0.55% USD calls/TRY puts Spot ref= 1.8350 2 months<=p> 10% OTM (2.02): 0.88% 20% OTM (2.20): 0.35% 4 months 10% OTM (2.02): 1.94% 2=% OTM (2.20): 1.00% USD calls/ILS puts</=> Spot ref: 3.66 2 months 5% OTM (3.84): 0.56%=o:p> 10% OTM (4.02): 0.24%<=span> =span style=lont-size:11.0ptfont-family:"Calibri","sans-serifm>4 mon=hs 5% OTM (3.84): 1.07% 10% OTM (4.02): 0.55%</=> 2 EFTA_R1_00085963 EFTA01773271 USD calls/INR puts</=pan> Spot ref: 49.25 2 months 5% OTM (51.71)= 0.87% 10% OTM (54.17): 0.43% 4 months 5% OTM (51.71): 1.71= 10% OTM (54.17): 1.00% &n=sp; Buy sovereign protect=on with 5 year CDS Abu Dhabi=128 Qatar 128 class=MsoNormal>Saudi 129 Bahrain 430 Dubai 475 Egypt 470 Lebanon 460 =p class=MsoNormal>Paul Barrett, CFA Mana=ing Director Global Investment Opport=nities Group WMorgan Private Bank 3 EFTA_R1_00085964 EFTA01773272 This email is confidential and subje=t to important disclaimers and conditions including on offers for the purc=ase or sale of securities, accuracy and completeness of information, virus=s, confidentiality, legal privilege, and legal entity disclaimers, availab=e at http://www.jpmorgan.com/pages/disclosures/email. =/p 4 EFTA_R1_00085965 EFTA01773273