From: Jeffrey M Matusow

From: Jeffrey M Matusow To: Jeevacation Subject: Dividends/Eurostoxx 50 index correlation Date: Thu, 27 May 2010 20:06:34 +0000 Attachments: sg2010052756988.gie sg2010052756952.git sg2010052756988(1).gif Jeffrey, Attached is a regression analysis of the dividend futures to the Eurostoxx 50 index from June-08 to today. The first chart is 2011 (DEDZ1) and the second is 2012 (DEDZ2). For both years the beta to the index is approx. 66%, suggesting a hedge ratio of 1.5x the notional. A 3 month 90%/75% put spread on the Eurostoxx 50 costs about 2.3% A 6 month 90%/75% put spread on the Eurostoxx 50 costs about 3.25% The third chart graphs the index vs the 2011 and 2012 dividends. Until a week ago the 2011 and 2012's traded almost completely in tandem. I attribute the recent divergence to liquidity issues. The dividends underperformed the index by about 14%. Let's discuss. Jeff Jeffrey M. Matusow JPMorgan Private Bank I 40 West 57th Street, 33rd Floor, New York, NY 10019 Work: 212.622.7053 I Fax: 212.310.0108 I Email: IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties. This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at http://www.jpmorgan.com/pages/disclosures/email. EFTA00752106