RE:

I think we should prepare to short the isracli 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 = 0.67%

12 month 10% OTM ILS put = 1.33%

Israel CDS

Syr CDS at 150bps

Was at 115bps last week. Hit 290bps in Mar09.

EFTA_R1_00212418
EFTA01833828

Stock Market Puts

Market down 3% since last week

Up 14% last 12 months

Indicative:

23junll 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
40W 57th Street, 33rd Floor, New York, NY 10019