Epstein File EFTA01472193: Structuring and Envelope (DS10)

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💨IMPACT LEVEL 1 — MEH

Epstein File EFTA01472193: Structuring and Envelope (DS10)

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This email, addressed to Jeffrey Epstein and copied to Paul Morris, Vahe Stepanian, and Richard Kahn, discusses structuring of a short crude volatility strategy with back-of-the-envelope financial analysis. The analysis references a 34% implied-realized difference and expected losses of 17% based on index vega calculations.

👤 Named in This Document

Jeffrey Epstein

🔑 Evidence Keywords

structuring envelope

📋 Key Excerpts2

PersonKeyword

Excerpt 1

Cc: Paul Morris; Vahe Stepanian; Richard Kahn Subject: RE: short crude vol strategy - follow-up analysis Classification: Public Jeffrey, Our **structuring**

Excerpt 2

Back of the **envelope**, with a 34% implied-realized difference, one can expect a loss of 17% because the index has a vega of, on average 0.5% of index notional