EFTA02446645.pdf

From: jeffrey E. <jeevacation@gmail.com> Sent: Friday, October 14, 2016 6:15 PM To: Richard Kahn Subject: Re: Russia what are 18 puts? On Fri, Oct 14, 2016 at 2:12 PM, Richar= Kahn < mailto: > wrote: i spoke with Paul B=rrett and he proposed two ideas on Russia: Ruble / USD Put Spreads - 63.017 at 2pm Option 1 buy 63 x 70 spread which will cost 4%=to make 11% - 2.75x your premium ex: 100,000,000 x 4% = 4,000,=00 premium max profit 4,000,000 x 2.75 = 11,000,000 Option 2 buy=65 x 75 spread which will cost 4% to make 16% - 4x your premium =x: 100,000,000 x 4% = 4,000,000 premium max profit 4,000=000 x 4 = 16,000,000 Option 3 buy 70 x 80 spread which will cost 2%=o make 14% - 7x your premium ex: 100,000,000 x 2% = 2,000,000 =remium max profit 2,000,000 x 7 = 14,000,000 =/div> RSX - at 18.44 at 2pm do a risk reversal with the=following 2 levels for may 2017: Option 1<=div> buy 18 puts 1.75 sell 21 calls for .75 net co=t 1.00 paul believes that if RSX goes up 15% to 2= or so then S&P and oil will rally and potentially your underlying equities will offset any exposure paul also asked if he can review your equities as well and offer hi= advice EFTA_R1_01543251 EFTA02446645 Option 2 =div>buy 17 puts 1.35 sell 22 calls for .60 net cost 0.=S <=iv> Richard Kahn HBRK Associates Inc. New York, NY 10022 tel fax cel Begin forwarded message: From: "Ens, Amanda" 8.1l=; <mailto Subject= Russia Date: October 14, 2016 at 10:48:29 AM =DT To: =span style="font-family:-webkit-system-font,Helvetica Neue,Helvetica,san=-serif'>Richard Kahn <mailto: Ri=h, For a bearish Russia view in the medium term (without havin= an ISDA), you could buy puts on RSX — VanEck Vectors Russia ETF. =ussian equities are highly correlated to RUB (chart below).<=p> Bu= a RSX vanilla put * *=A0 RSX 19-May 2017 expiry ATM strike costs about - 12.4% p=emium Buy a RSX put spread 2 EFTA_R1_01543252 EFTA02446646 •=B7 •=A0 RSX 19-May-2017 18x12 put spread (97% x 65% strikes) c=sts —$1.60 or 8.9% on the 18- strike leg (3.75x max gross payoff). You =80 re not saving that much by spreading it, so I prefer the vanilla. We =coked at pricing contingent options but liquidity is poor. If there =s another market that you're also bearish, we could look to cheape= the premium with a best- of-put (eg. Best-of-put on Russia and China). Digitals and cont=ngent options didn't price well due to liquidity. While optionality isn't cheap, the trade looks inter=sting as this is not yet a consensus view. Our strategists and much =f the Street is constructive RUB given a hawkish central bank, decent carr= and stronger oil. Russia's central bank governor reiterated that monetary policy should be focused on maintaining =ositive real rates, with equilibrium she says around 2.5-3% in the longer =erm. Before achieving 4% inflation target, she says real rates will be kep= higher. Reads as hawkish and supportive for RUB in the short term, as positive real rates should support capital f=ows. RUB vs MICEX (R=ssian equity index) =A0 Russia is - 4% of EM ETF= VWO and EEM More EM Inflows: A large creation =n Vanguard FTSE EM ETF (VWO) Source: Bloomberg=u> Amanda Ens Director Bank of America Merril= Lynch Merrill Lynch, Pierce, Fen=er & Smith Incorporated One Br=ant Park, 5th Floor, New York, NY 10036 Phone: The power of global connections." <tel 3 EFTA_R1_01543253 EFTA02446647 This message, and any attachments, is for the intended recipient(s) onl=, may contain information that is privileged, confidential and/or propriet=ry and subject to important terms and conditions available at http://www.b=nkofamerica.com/emaildisclaimer. If you are not the intended re=ipient, please delete this message. =C2 please note The information contained in this communication =s confidential, may be attorney-client privileged, may constitute in=ide information, and is intended only for the use of the addressee. It =s the property of JEE Unauthorized use, disclosure or copying of thi= communication or any part thereof is strictly prohibited and may be=unlawful. If you have received this communication in error, please noti=y us immediately by return e-mail or by e-mail to jeevacation@gmail.com <mailto:jee=acation@gmail.com> , and des=roy this communication and all copies thereof, including all attachment=. copyright -all rights reserved 4 EFTA_M_01543254 EFTA02446648