EFTA Document EFTA01771913

From: Barrett, Paul S Sent: Tuesday, Decem er , : To: Epstein, Jeffrey ([email protected]) Cc: Giuffrida, David Subject: WTI Pricing <=iv class="WordSectionl"> Jeff=ey Barriers and digitals are observed off of Rolling Front Month, Good Du=ing NYMEX Hours: =span style="font-size:11.0pt;font-family:"Calibri","san=-serif—>Apr12 WTI Contract Expire 15 Mar 2012 =OA =p class="MsoNormal">Upside =OD 140 One Touch (OT) costs 10.5=% (this means you spend $1.05MM with a $10MM pay-out; $8.950MM net pro=it) 160 0= 6.75% (this means you spend $=75,000 with a $10MM pay-out; $9,325,000 net profit) =OD 180 OT 5.50% (this means you =pend $550,000 with a $10MM pay-out; $9,450,000 net profit) 200 OT 5.25% (this mean= you spend $525,000 with a $10MM pay-out; $9,475,000 net profit) </=pan> 150 WTI Vanilla Call 0=tion costs 40c/bbl or 27bps Downside EFTA_R1_00083778 EFTA01771913 Buy At Expiry 100 put Digital; continuous KI @ 200 @ 3=.2E50% Buy=European 200 put; continuous KI @ 150 @ 1.25% =OA Buy European 200 put; continuous K= @ 175 @ 0.75% Paul <=pan style="font-size:11.0pt;font-family:"Calibri","sans=serif""> 212-622-2770 (W) 212-310-0108 (F) =p class="MsoNormal">NMLS ID# 853441 <mailtoa <=b> =OA =his email is confidential and subject to important disclaimers and conditi=ns including on offers for the purchase or sale of securities, accuracy an= completeness of information, viruses, confidentiality, legal privilege, a=d legal entity disclaimers, available at http://www.jpmorgan.com/pages=disclosures/email. 2 EFTA_R1_00083779 EFTA01771914