From: "Barrett, Paul S" To: Jeffrey Epstein <[email protected]>, "Staley, Jes" Subject: RE: Date: Mon, 31 Jan 2011 17:48:40 +0000 Jeffrey Ideas: Israeli Shekel: % return since 15Jan11 = -5% % return last 12 months = +0.50% Indicative Pricing: 3 month ATM ILS put = 1.90% 6 month ATM ILS put = 2.65% 12 month ATM ILS put = 3.85% Alternatively if you wanted disaster insurance I would recommend buying 10% out the money puts: 3 month 10% OTM ILS put = 0.30% 6 month 10% OTM ILS put = 0.67% 12 month 10% OTM ILS put = 1.33% Israel CDS 5yr CDS at 150bps Was at 115bps last week. Hit 290bps in Mar09. Stock Market Puts Market down 3% since last week Up 14% last 12 months Indicative: 23jun11 5% out of the money European Puts @ 3.13% 23jun11 100%/93% European Put Spreads @ 2.42% We have the oil call options in place so alternatively we should consider buying protection on Turkey. Their 5yr CDS is at 168bps (was 135bps in early December). We are also looking at Indonesia at 173bps. Paul Paul Barrett, CFA Managing Director Global Investment Opportunities Group JPMorgan Private Bank 40W 57th Street, 33rd Floor, New York, NY 10019 (W) (F) EFTA00697062