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

Option 2
=div>buy 17 puts 1.35
sell 22 calls for .60
net cost 0.=S

<=iv>
Richard Kahn
HBRK Associates Inc.

New <u>York, NY 10022</u>
tel
fax
cell

Begin forwarded message:

From: "Ens, Amanda" &l=;a

<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</span><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

•=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.

best-of-put (eg. Best-of-put If there on =s Russia another and market China). that Digitals you're and also cont=ngent bearish, we options could didn't look to price cheape= well the due premium to liquidity. with a

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)

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

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