EFTA02654443.pdf

From: Ens, Amanda < > Sent: Thursday, March 30, 2017 2:18 PM To: Jeffrey E. Cc: Richard Kahn Subject: RE: AAPL trade recap Jeffrey, We still have high conviction on replacing long AAPL stock positions with calls or call spreads. Buy May 19th $150 call for $2.15 or Buy May 19th $150/$160 call spread for $1.70 or Buy May 19th $150 call /sell a $160 call with a continuous knock-in at $170 for $2.15 (pay $0.45 more to get an extra $9.99 potential upside participation) Buy June 16th $150 call for $2.90 or Buy June 16th $150/$160 call spread for $2.05 or Buy June 16th $150 call /sell a $160 call with a continuous knock-in at $170 for $2.60 (pay $0.55 more to get an extra $9.99 potential upside participation) Buy July 21st $150 call for $3.75 or Buy July 21st $150/$165 call spread for $3.00 From our derivatives strategist: Since its pre-election lows on 4-Nov, AAPL has gone up 30%, climbing last week to its all-time highs and recording the second best performance among the 50 largest stocks in the S&P 500 (albeit at almost half the volatility). With 3m ATM implied volatility having trended lower for the past two years and currently sitting at its 6th %-ile, we favor replacing long stock positions via cheap calls to maintain upside exposure while limiting losses to the (low) upfront premium paid. EFTA_R1_01898873 EFTA02654443 For investors looking to reduce the upfront premium, we suggest selling short dated OTM calls to help fund short dated ATM calls, which levers the relatively flat upside skew (Chart below) Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated Phone > From: Ens, Amanda Sent: Wednesday, March 29, 2017 11:47 AM To: 'jeffrey E.' <jeevacation@gmailcom <mailto:[email protected]»; 'Richard Kahn' < <mailto:la Subject: AAPL trade recap Jeffrey, 2 EFTA_R1_01898874 EFTA02654444 Southern Trust Sold 100,000 shares AAPL at $143.55 Bought AAPL $150 19-May-2017 expiry calls on 2,500 contracts at $1.95 ($2.01 net of $6/contract commission) Premium: $502,500 Options will be booked OTC as listed option look-alikes Please let me know if you'd like to work an order on the balance. Thanks, Amanda Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated Phone: Mobile <mailto This message, and any attachments, is for the intended recipient(s) only, may contain information that is privileged, confidential and/or proprietary and subject to important terms and conditions available at http://www.bankofamerica.com/emaildisclaimer. If you are not the intended recipient, please delete this message. 3 EFTA_R1_01898875 EFTA02654445