EFTA02391868.pdf

From: Ens, Amanda Sent: Wednesday, April 19, 2017 7:41 PM To: jeffrey E.; Richard Kahn Subject: Tactical USO call spread Buy USO May 26th expiry 11x 11.50 call spreads for $0.15 going into OPEC (3.3x max gross payout) Another idea: VIX. We can't trade this in your account here at BAML since we don't have margin, but I like this trade going into event risk over the next month, in case you'd like to trade it away. Sell lx the VIX 17-May-17 15 straddle to buy 1.35x the 17 calls, collecting -$2.00. You lose if VIX falls resets lower below 13 (we think this is less likely as we expect VIX stay supported going into event risk over the next month.) If there is a tail event and VIX really spikes, the payoff potential is significant. If you think VIX stays around 14-15, you earn some premium. Illustrative payoff: Source: BAML, Bloomberg Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated One Bryant Park, 5th Floor, New York, NY 10036 EFTA_R1_01418318 EFTA02391868 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. 2 EFTA_R1_01418319 EFTA02391869