French Election Trades

Brad

Ahead of the elections this weekend here are some trades based on different outcomes.

Bullish:

• Macron/Fillon both move to next round

• Macron has > 40% of votes

• Macron/Le Pen both move to next round with Le Pen below 20% (neutral to bullish)

Trades:

• Long 240 SPY May Calls

• o Cost: $0.79 (33 bps)

• Long EuroStoxx Calendar Spread Risk Reversal

[ ] o Client Short 1M 94.75% PUT (28.3% Delta), Client Long 3M 105% CALL (21.65% Delta)

[ ] o Premium: Cashless

• Long EuroStoxx Risky

[ ] o Tenor: May 19, 2017 (Listed Expiry)

[ ] o Short Put Strike: 95%

[ ] o Long Call Strike: 101.75% / 102%

[ ] o Premium: Cashless

Bearish:

• Le Pen/Melenchon both move to next round

• Macron/Le Pen both move to next round, Le Pen > 40% of the votes

Trades:

• Short EUR Forward

[ ] o 1mo Forward

[ ] o Spot Ref: 1.07, Forward: 1.0708 [can buy a 1.10 EUR call option, expiring May 8th, for 40 bps, to limit downside]

• Short EURCHF

[ ] o 1mo Forward

[ ] o Spot Ref: 1.069, Forward: 1.0682

• Buy Protection on French Banks

[ ] o Buy 5 YR CDS on BNP or SocGen

[ ] o BNP: 92 bps

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[ ] o SocGen: 93 bps

Paul

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. 320 Park Avenue, 14th Floor, New York, NY 10022 | T: [Redacted] | F: [Redacted]

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