EFTA02372606

From: Barrett, Paul S Sent: Wednesday, May 9, 2012 7:32 PM To: Jeffrey Epstein Cc: Giuffrida, David J; Ens, Amanda Subject: RE: Calendar Spreads =OA CSCO is at 18.70 </=pan>Sell 19.00 May =all for 44c (implied vol 49%) Buy 19.00 June ca=l for 64c (implied vol 33%) PCLN is at 713.00 =OD - &nb=p; Sell 720 May call for 29.30 (implied vol 74%) =OD - &nb=p; Buy 720 May call for 40.10 9implied vol 48%) =OD On PCLN we would sell the May 720 Calls and buy the June 720 Calls for a =et cost of $12.00 Would look to spend $50,000 in premium per name=/p> &=bsp; Next Earnings Date =td width="67" style="width:50.55pt;border:solid windowtext 1.0pt;b=rder-left:none;background:ftFFFFCC;padding:0in 5.4pt 0in 5.4pt;min-heig=t:.75in"> Implied 1 day move on earnings =OA EFTA_R1_01376728 EFTA02372606 1st Mo=th ATM Implied Vol 2nd Month ATM Implied Vol 1st/2nd ATM Vol spread Averag= historical Implied Vol 1=t month Vol/historic Vol Options Volume </=> CSCO <=span> Cisco Systems Inc<=o:p> 05/09/2012 6.16 =OD <=o:p> 47.9 32.0 =OD 15.9=/o:p> 32.1 =OD 15.9=/o:p> 88,023 <=b> =OA PCLN priceline.com <http://priceline.com> Inc 9.13 46.9 2 EFTA_R1_01376729 EFTA02372607 46.9 <=span> 51,647 <= class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-al=:auto"> =OA MCP</=> 05/10/201= =p class="MsoNormal" align="center" style="mso-margin-top-alt:auto;ms=-margin-bottom-alt:auto;text-align:center"> =OD =td width="81" nowrap="" valign="bottom" style="width:61.0pt;bord=r:solid windowtext 1.0pt;border- top:none;background1D7E48C;padding:Oin =.4pt Oin 5.4pt;min-height:19.5pt"> 87.0 18.2 =OD 68.9 =OD 18.1 <=:p> &n=sp; 14,156 =OD NVDA </a 05/11/2 =OA 7.67 =OD =td width="81" nowrap="" valign="bottom" style="width:61.0pt;bord=r:solid windowtext 1.0pt;border- top:none;background1D7E48C;padding:Oin =.4pt Oin 5.4pt;min-height:19.5pt"> 64.4 17.1 =OD 47.5 =OD 16.9 <=:p> 3 EFTA_R1_01376730 EFTA02372608 &n=sp; 17,665 Managing Directorchpan> Global Investment Opportunities Group<=:p> JPMorgan Private Bank [email protected], and destroy this commu=ication and all copies thereof, including all attachments. copy=ight -all rights reserved 4 EFTA_R1_01376731 EFTA02372609