EFTA00660652.pdf

From: "Barrett, Paul S" To: Undisclosed recipients:; Subject: JPM European Equity Derivatives Weekly Outlook - Eurostoxx Dividend Idea Date: Wed, 15 Feb 2012 13:35:55 +0000 Our Equity research team is recommending buying 105 -125 call spreads on 2014 Euro STOXX 50 dividend futures, financed by selling 75 puts. European Equity Derivatives Weekly Outlook Introducing the cross-asset volatility monitor The Document can be downloaded from the link below: https://mm.Thmorgan.com/PubServlet?action=open&doe PS-786018-0.pdf • After the lifting of the short ban on French financials, we would sell BNP and ACA calls against buying calls on ISP, SX7E or SX7P given the headwinds linked to the presidential elections and their rich volatility. • Buy 105-125 call spreads on 2014 Euro STOXX 50 dividend futures, financed by selling 75 puts to monetise the rich implied vol and attractive valuation of the 2014 dividends. • We recommend selling strangles on Deutsche Telekom ahead of the earnings release, to play the rich vol and rangebound nature of the stock. • We introduce the cross-asset volatility monitor and the cross asset correlation table, which allow investors the relative pricing of risk across asset classes. Regards, J.P. Morgan European Equity Derivatives and Delta One Strategy Team Davide Silvestrini I Executive Director l Equity Derivatives Strategy I J.P. Morgan l 10 Aldermanbury, London, EC2V 7RF l T: +44 207 777 1018 l davide.sitvestrinlejpmorqan.com Bram Kaplan l Vice President I Equity Derivatives Strategy l J.P. Morgan l 10 Aldermanbury, London, UK EC2V 7RF l T: +44 207 325 8183 I bram.kaplanajpmoman.com Peng Cheng l Equity Derivatives Strategy I J.P. Morgan l 10 Aldermanbury, London, UK EC2V 7RF I T: +44 207 325 6935 peng.cheng2jpmoman.com 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 http://wwwjpmorgan.com/pages/disclosures/email. EFTA00660652