EFTA01148562.pdf

From: "Giuffrida, David J" To: "jeevacation®gmail.com" <jeevacation®gmail.com> CC: "Barrett, Paul S" Subject: EUR parity puts Date: Mon, 19 Dec 2011 20:04:15 +0000 Attachments: jpm_Answers20_10_common_2011-12-09_739987[1]-pdf.zip Jeffrey, We continue to tactically play short term downside via 1 month EURUSD puts. We have been cheapening these up significantly by using "Knock-outs" to take advantage of large put volatility smiles. While it is not our base case, interest in longer tenor EURUSD parity puts has been increasing exponentially as a play on potential EMU break-up. Vanilla put pricing looks rich, as the option market has been pricing in a chance of parity for some time. We like cheapening up the thesis by overlaying EURUSD puts with 1 month Windows, where the option knocks out if EURUSD breaches either 1.24 or 1.37 within the next month. Additionally, you can use accumulators to increase the notional on your 1.20 strike EURUSD puts as long as EURUSD is trading between 1.40 and 1.00. Please see pricing details below. Additionally, please find attached John Normad's "Answers to 10 common questions on EMU breakup" Please call to discuss if you have any questions. Pricing is indicative. Client buys EUR put USD call 1.3030 spot ref Strike: 1.00 Expiration: 3 years Cost: 4.20% USD Expiration: 5 years Cost: 5.75% USD Expiration: 7 years Cost: 6.90% USD Client buys EUR put / USD call with window knock-outs 3 year expiry 1.3030 spot ref 1 month window knock-out at 1.24 and 1.37 (continuous observation) Strike: 1.00 Offer: 2.65% USD Client buys EUR put / USD call accumulator 3 year expiry 1.3030 spot ref Strike: 1.20 Accumulation range: 1.00-1.40 (weekly observations) Offer: 4.25% USD EFTA01148562 David J. Giuffrida J.P. Morgan I Global Investment Opportunities Group 320 Park Avenue, 14th Floor New York, NY 10022 T: F: This communication is for informational purposes only. It is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates. This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you. Please refer to http://www.jpmorgan.com/pages/disclosures for disclosures relating to European legal entities. EFTA01148563