<table><tr><th>From:</th><th>Barrett, Paul S &lt;</th></tr><tr><td>Sent:</td><td>Wednesday, April I , 201 / 4: 1b PM</td></tr><tr><td>To:</td><td>Brad Wechsler</td></tr><tr><td>Cc:</td><td>Jeffrey Epstein (jeevacation@gmail.com); Richard Kahn; Barrett Team; Fennessey,
Stephanie </td></tr><tr><td>Subject:</td><td>Ideas around Europe</td></tr></table>

Brad

Two things of note:

- 1 Vol skew on the SXSE is the most extreme it has been in 5 years.

- 2 Implied vol for May ATM calls on SX7E has spiked vs the June expiry.

Trade 1:

SX5E

Ref: 3419.60

Client Long Ratio Risk Reversal

Tenor: May 19, 2017 (Listed Expiry)
Short 1.0x Put Strike: 95.04% (3250)
Long 4.50x Call Strike: 105.00% (3600)
Premium: Cashless
Delta: 82.99%

Trade 2:
Trade Idea: Calendar Call Spread

* Sell May17 SX7E 120 Call

* Buy Jun17 SX7E 120 Call

* Cashless

* Ref. 120.27

In this trade you are short the high-demand ATM contract and long the same strike with a longer tenor.

Source Bloomberg 19Apr17

Paul Barrett | Managing Director | Global Investment Opportunities Group | J.P. Morgan Securities LLC | J.P. Morgan
Private Bank | J.P. Morgan Chase Bank N.A.
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