<table><tr><th>From:</th><th>Barrett, Paul S</th></tr><tr><td>Sent:</td><td>Tuesday, May 28, 2013 3:39 PM</td></tr><tr><td>To:
Cc:</td><td>Jeffrey Epstein
Barrett Pod</td></tr><tr><td>Subject:</td><td>Trade Idea: Take Advantage of NKY/ SPX Vol Spread</td></tr></table>

Jeffrey

The spread between NKY implied vol and SPX implied vol is as wide as it was during the earthquake in 2011 --> take advantage & sell volatility on Japan and buy volatility in the US.

Indicative costless strategy:

Sell $2MMof a 3mth 90% Put on NKY

Buy $20MM of a 3mth 110% Call on SPX >> be ready to unwind quickly should SPX rally back to the recent high

What do you think?

Paul Barrett I Managing Director I Global Investment Opportunities Group I J.P. Morgan Private Bank I

320 Park Avenue, 14th Floor, New York, NY 10022 I T: (212) 622-2770 I F: (212) 310-0108 I paul.s.barrett@jpmorgan.com <mailto:paul.s.barrett@jpmorgan.com> I NM LS IDS 853441

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