EFTA01380929.pdf

From: Nadean Novogratz Sent: 8/20/2018 2:31:05 PM To: Paul Barrett CC: Martin Zeman S ' Xavier Avila ; Davide-A Sferrazza ; Devin Anderson Subject: RE: Follow-up Hi Paul, I hope all is well. Below is our latest upside commentary. • Upside implieds have dripped lower with 1M buckets in the high 7s despite 5-day realized hitting 12.3v on Thursday, the highest reading since late June. • We continue to suggest avoiding end-of-summer gamma buckets given light calendar and possibility of November Trump/Xi meeting perhaps cooling down trade rhetoric. • 28Sep 289s capture Sep FOMC, PCE, GDP, and Italian Budget deadline for 8.1v. o Higher implied forward of 9.4v is justified given that week's busy schedule. SOY 286 Straddle vs. 229.60 Price Tenor S Vol InterPer lad ford Vol Economic Events Cumulative (12 Earnings Reported ili) Friday, August a, 2018 1.03 030% 7.6 FOMC minslAug) 92% Friday, August 31, 2018 1.71 0.60% 8.2 8.6 PCE 94% Friday, September 07, 2018 2.18 0.76% ILA 84 SSM (both), APP. NFP 9416 Friday, September 14, 2018 2.64 0.93% 9.5 8.9 DPI, CPI 94% Friday, September 21, 2018 2.98 LOS% 135 84 OMI 95% Friday, September 28, 2018 3.25 1.14% 8.9 10.3 FOMC DOCittOTF, Pa GDP 97% friday. October 05, 2018 338 1.25% 9.2 10.6 ISM lbotht, ADP. NFP 99% WY MCA' et 215.60 Price Tenor S Vol Inter-Period had Vol Economic Events Cumulative 4,2 Earnings Reported (%) Friday, August 24, 2018 0.16 0.06% 7.2 FOMC mins (Aug) 9716 Friday, August 3,1, 1016 0.51 0.18% 7.4 7.6 Pa 94% Friday, September VI, 2018 043 0.29% 7.6 7.S 151141tioth), AOP, NM* 94% Friday, September 14, 2018 1.18 0.41% 7.7 7.9 PPI, CPI 94% Friday. September 21, 2018 1.50 0.53% 7.8 8.4 PMI 95% Friday, September 28, 2018 1.72 0.60% 8.1 9.4 FOMC Decision, PCE, GDP 97% Friday, October 05,2018 2.00 0.70% 8.3 9.2 1W lboth), A0P, NFP 99% Kind regards, Nadean From: Nadean Novogratz Sent: Monday, July 30, 2018 12:46 PM To: 'Paul Barrett' Cc: Martin Zeman; Stewart Okifield; Xavier Avila; Davide-A Sferrazza; Devin Anderson Subject: RE: Follow-up Thank you, Paul. Off of the inexpensive upside discussion last week. We had a client come in and initiate a new trade with this theme. Client here bought SPX Nov18 2950 calls paying 11.55. Currently, 3mo 105% implied vols is trading below realized vol... CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0079508 CONFIDENTIAL SDNY_GM_00225692 EFTA01380929