EFTA01048760.pdf

From: "Barrett, Paul S" < To: Brad Wechsler a CC: "Jeffre E 'stein (jeevacation(agmail.com)" <kevacation(gymail.com>, Richard Kahn < >, Barrett Team , "Fennessey, Stephanie" Subject: French Election Trades Date: Fri, 21 Apr 2017 14:28:27 +0000 Brad Ahead of the elections this weekend here are some trades based on different outcomes. Bullish: • Macron/Fillon both move to next round • Macron has > 40% of votes • Macron/Le Pen both move to next round with Le Pen below 20% (neutral to bullish) Trades: • Long 240 SPY May Calls o Cost: $0.79 (33 bps) • Long EuroStoxx Calendar Spread Risk Reversal o Client Short 1M 94.75% PUT (28.3% Delta), Client Long 3M 105% CALL (21.65% Delta) o Premium: Cashless • Long EuroStoxx Risky o Tenor: May 19, 2017 (Listed Expiry) o Short Put Strike: 95% o Long Call Strike: 101.75% / 102% o Premium: Cashless Bearish: • Le Pen/Melenchon both move to next round • Macron/Le Pen both move to next round, Le Pen > 40% of the votes Trades: • Short EUR Forward o 1mo Forward o Spot Ref: 1.07, Forward: 1.0708 [can buy a 1.10 EUR call option, expiring May 8th, for 40 bps, to limit downside] • Short EURCHF o 1mo Forward o Spot Ref: 1.069, Forward: 1.0682 • Buy Protection on French Banks o Buy 5 YR CDS on BNP or SocGen o BNP: 92 bps EFTA01048760  o SocGen: 93 bps Paul Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Securities LLC I 3.P. Morgan Private Bank I ).P. Morgan Chase Bank N.A. 320 Park Avenue, 14th Floor, New York, NY 10022 I T: I F: NOT AN OFFICIAL CONFIRMATION: For informational purposes only. This report does not represent an official account of the holdings, balances, or transactions made in your account and is being provided at your request. Please refer to your monthly account statement for the official record of all of your account activities. For question, please call your J.P. Morgan representative. In discussion of options and other strategies, results and risks are based solely on hypothetical examples cited; actual results and risks will vary depending on specific circumstances. Investors are urged to consider carefully whether option or option-related products in general, as well as the products or strategies discussed herein are suitable to their needs. In actual transactions, the client's counterparty for OTC derivatives applications is JPMorgan Chase Bank, N.A., and affiliates. For a copy of the "Characteristics and Risks of Standardized Options" booklet, please contact your JPMorgan Advisor. For clients domiciled in Australia, IP. Morgan Chase Bank, N.A. (ABN 43 074 112 011) holds an Australian Financial Services Licence No. 238367. It is subject to the supervision of the Australian Prudential Regulation Authority and the Australian Securities and Investments Commission. J.P. Morgan Securities LLC is a U.S. registered broker-dealer incorporated in Delaware, U.S.A. (ABRN #109293610) This email is confidential and subject to important disclaimers and conditions including on offers for the purchase or sale of securities, accuracy and completeness of information, viruses, confidentiality, legal privilege, and legal entity disclaimers, available at l- tp://www.ipmorgan.com/pages/disclosures/email. This message is confidential and subject to terms at: http://www.jpmorgan.com/emaildisclaimer including on confidentiality, legal privilege, viruses and monitoring of electronic messages. If you are not the intended recipient, please delete this message and notify the sender immediately. Any unauthorized use is strictly prohibited. EFTA01048761