From: Tazia Smith < a> To: "Jeffrey epstein" <jeevacation®gmail.com> Cc: "Rich Kahn" , >, "Nav Gu ta" Ste anian" "Paul Morris" Subject: Fw: KCP Capital Markets Flash - You can buy 3x 105 S&P Call money out Date: Tue, 10 Jun 2014 16:05:25 +0000 Importance: Normal Sahni" , "Vahe vs sell lx 95Put - and still take Classification: External Communication Jeffrey - Consider taking advantage of the skew that Nay identifies in his email below in the LISTED market (clearly, you can see levels on exchange) depending on your bull/bear views over next 3mos (or longer tenor - express or replace long risk). Example at current levels 3x1 —105/95 3mo risk reversal: SPX Spot ref 1949.40 Sep Future ref 1948.50 SPX Sep 2050 call: $6.50x$7.50 (bbg) SPX Sep 1850 put: $20.50x$22.50 (bbg) Buy 3 SPX Sep 2050 calls, Sell 1 SPX Sep 1850 put = Net Credit $0.50/sh Quote from exchange trader, not DB (Subject to market movement As of 6/10/14) Let us know your thoughts, Tazia * Non-Advisory Clients Only Like the risk:reward here of this 1x3 - better than running outright long in S&P Underlying : S&P Expiry : 3mth 105 call is 9.1% vol mid ie 0.29% of notional (0.30% offer) 95 put is 13.5% vol mid ie 0.95% of notional (0.95% bid) Mid Forward 99.60 Buy three 105 Calls against selling one 95 Put, net take out 5bp I'd switch S&P longs into this - Worst case S&P tanks and you have the same delta exposure as outright long. But if S&P rallies materially you have 3x the delta risk. Upfront rec a few bp. Pls show to your clients - happy to price variations of this - let us know Best, Nav EFTA00706853