From:

Barrett, Paul S

Sent: Friday, January 6, 2012 4:55 PM
To: Jeffrey Epstein
Cc: Giuffrida, David
Subject: Oil Options

=0A

=effrey

Barri=rs and digitals are observed off of Daily Settlement Prices, not continuou= during Nymex hours

Apr12 WTI Contract

<= class="MsoNormal">Expire 15 Mar 2012</=>

=0D

102.10 reference rate

=/span>

Upside=/span>

$140 digital cos=s 15% (this means you spend $1.SMM with a $10MM pay-out; $8.50MM net p=ofit)

$16= digital 7.00% (this means you=spend $700,000 with a $10MM pay-out; $9,300,000 net profit)

$180 digital 5.00% (th=s means you spend $500,000 with a $10MM pay-out; $9,500,000 net profit)

$200 digital=4.75% (this means you spend $475,000 with a $10MM pay-out; $9,525,000 ne= profit) =o:p>

$15= WTI Vanilla Call Option costs 40c/bbl or 27bps

=0A

=p class="MsoNormal">Downside

=0D

Buy $200 put; continuous KI @ 1=0 @ 2.10%

Buy $200 put; continuous KI @ 175 @ 0.95%

=p class="MsoNormal">

Will call you to discuss.</=pan>

Paul

=0D

=0A

Paul Barrett, CFA
Ma=aging Director
Global Investm=nt Opportunities Group
<=pan style="font-size:10.5pt;font-family:Consolas;color:#1F497D">JPMorg=n Private Bank
320 Park Avenu=, 14th Floor, New York, NY 10022
███████████████████████
=0A
███████████
██████████████████████████████████████████████████████

This email is confidential and subject to im=ortant disclaimers and conditions including on offers for the purchase or =ale of securities, accuracy and completeness of information, viruses, conf=dentiality, legal privilege, and legal entity disclaimers, available at ht=p://www.jpmorgan.com/pages/disclosures/email.