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From: Barrett, Paul S Sent: Wednesday, May 9, 2012 7:10 PM To: Jeffrey Epstein Cc: Ens, Amanda; Giuffrida, David Subject: Calendar Spreads Calendar Spreads — would do CSCO and PCLN as they report tonight. On CSCO we would sell the May 19 Calls and buy the June 19 Calls for a net cost of $0.21 On PCLN we would sell the May 720 Calls and buy the June 720 Calls for a net cost of $12.00 Would look to spend $50,000 in premium per name Next Earnings Date Implied 1 day move on earnings 1st Month ATM Implied Vol 2nd Month ATM Implied Vol 1st/2nd ATM Vol spread Average historical Implied Vol 1st month Vol/historic Vol Options Volume CSCO Cisco Systems Inc 05/09/2012 1 EFTA_R1_01376602 EFTA02372527
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