RE:

I think we should prepare to short the israeli market.. lets find a good way to play the uncertainty in the area

Jeffrey

Ideas:

Israeli Shekel:
% return since 15Jan11 = -5%
return last 12 months = +0.50%

Indicative Pricing: 3 month ATM ILS put = 1.90% 6 month ATM ILS put = 2.65% 12 month ATM ILS put = 3.85%

Alternatively if you wanted disaster insurance I would recommend buying 10% out the money puts:

3 month 10% OTM ILS put = 0.30% 6 month 10% OTM ILS put = (167% 12 month 10% OTM ILS put = 1.33%

Israel CDS 5yr CDS at 150bps Was at 115bps last week. Hit 290bps in Mar09.

Stock Market Puts
Market down 3% since last week
Up 14% last 12 months

Indicative: 23jun11 5% out of the money European Puts @ 3.13% 23jun11 100%/93% European Put Spreads @ 2.42%

We have the oil call options in place so alternatively we should consider buying protection on Turkey. Their 5yr CDS is at 168bps (was 135bps in early December). We are also looking at Indonesia at 173bps.

Paul

Paul Barrett, CFA
Managing Director
Global Investment Opportunities Group
JPMorgan Private Bank