EFTA00636006.pdf

From: "Ens, Amanda" To: Richard Kahn <I Cc: "Jeffrey E." Subject: RE: Position for EM Upside Date: Tue, 07 Feb 2017 20:34:48 +0000 Thank you. Agreed. The first two are from over 3 months ago and on the XLF call spread, I included in the below from the date when I first recommended it. Yours is marked at $196,790.43 as of yesterday's close. Regards, Amanda From: Richard Kahn [mailto: Sent: Tuesday, February 07, 2017 3:33 PM To: Ens, Amanda Cc jeffrey E. Subject: Re: Position for EM Upside thank you for sending i have not yet reviewed in detail but after initial glance the 3 positions we purchased were not included: 1)Teva - down 32% as of 1-31-2017 2)Allergan - down 10% as of 1-31-2017 3) XLF - purchased at around 23.75 and position it flattish however we are 3 months into our 6 month option -> i have not seen pricing on our option but would assume it is down please send value of 250,000 cost option we purchased thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 tel fax cell On Feb 6, 2017, at 2:01 PM, Ens, Amanda <I wrote: Please see below from what I could find in my records of sending to you. Average is +1.7% in notional terms and +81% in premium terms. Date Trade PA. (Notional) PA_ (Premium) 2/2/2017 Buy EEM June 39 calls for $1.03 -flat —flat 2/2/2017 Buy FXI June 38 calls for $1.10 -flat —flat 2/1/2017 Buy 3m 95% best-of-put on XLY and XLP for 0.55% -flat —flat 1/13/2017 Buy 6m XOP appearing call spread (110%/117.5%/125%) for 2.45% •1.2% -37% 1/10/2017 Buy HES A Pfd at 73.50 (5.5% yield) -12.0% WA 12/15/2016 Buy 1y best-of-put on XLK, XLY. XLU for 1.8% as a hedge -0.3% -17% 12/6/2016 Buy WFC 7.5% mandatory convert pfd at 1197.50 1.0% WA 11/17/2016 Buy DXJ Jan 50/52 call spread for $0.35 7.8% 226% 11/17/2016 Buy XLF Mar17 $22 call with $26 KO for $0.87 7.5% 115% 11/11/2016 Buy XLF Mar17 appearing call spread (105%I110%/115%) for 1.75% 9.1% 120% Average 1.7% 81% EFTA00636006 Regards, Amanda Amanda Ens Director I Global Equities Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated One Bryant Park 15th Floor I New York, NY 10036 Phone: Mobile: <image001.jpg> From: Ens, Amanda Sent: Thursday, February 02, 2017 6:46 PM To: 'Jeffrey E.' Cc: Richard Kahn Subject: RE: Position for EM Upside I will come back on that. From: jeffrey E. (mailto: Sent: Thursday, February 02, 2017 6:05 PM To: Ens, Amanda Cc: Richard Kahn Subject: Re: Position for EM Upside i woud like to see the hypothetical resultso of the trade ideas presented to us over the past three months. assume we entered into each. return as of today or loss etc. On Thu, Feb 2, 2017 at 5:58 PM, Ens, Amanda < Position for EM Upside > wrote: RAMI continues to believe in the reflation trade which should lead EM to outperform With US equities selling off in the last week of January. stabilization in US rates and a struggling USD. the reflation theme is currently taking a break. Longer term, BAML continues to believe in the reflation trade, stemming from strong US macro and fiscal stimulus. Reflation will lead EM to outperform. Between 2001 and 2011, both US and EM equities have been highly correlated with US inflation. US equities have since broken away from this relationship amid OE2IRP and the search for growth/quality. That suggests that some catch-up is in order and EM can outperform as the global macro cycle improves. Strong USD remains a risk, but we expect only single-digit retums on DXY in 2017 vs 30% from 2014 to the end-16 peak. (Hauner) EEM has rallied 10% since Dec 22nd yet evidence continues to point to light positioning. --EEM Shares Outstanding have roughly flat-lined since November (EEMSO Index on Bloomberg) --The Fund Manager Survey highlights the first investor EM equity UW in 9 months, with a current allocation 1.1 st dev below its long term average (Hartnett) --HSCEI delta-adjusted open interest is currently at US $7bn. which is over 50% below the Sep-16 and Nov-16 highs while HSCEI was trading around current levels (GEVI) Interestingly as EEM has rallied fixed strike downside vol has been stable while upside vol has come in substantially. --Jun'17 33 strike down 25 bps --Jun'17 37.5 strike down 110 bps --Jun'17 41 strike down 200 bps Technically. EEM faces strong resistance at 37.95/38.00. HSCEI and FXI face analogous resistance at 10.000 and 38.00. respectively. Should EM break above its current trading range upside option premium holds substantial value. Structures we like• Buy the EEM Jun 39 Calls for $1.03 (ref 37.50) - (iShares MSCI EM ETF) Buy the EXI Jun 38 Calls for $1.10 (ref 36.64) - (iShares China ETF) Please note we would need to book these as OTC listed option lookalikes. Reps link: Reps link: Reps link: EFTA00636007 Amanda Ens Director I Global Equities Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated One B ant Park 5th Floor I New York, NY 10036 Phone: Mobile: This material was prepared by Americas Equity-Linked Personnel of Merrill Lynch, Pierce, Fenner & Smith, Incorporated ("ML"). The material is not a publication of BofA Merrill Lynch Global Research, and it has not been reviewed or approved by BofA Merrill Lynch Global Research. 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