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9 results for “
"Ref SPX"
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EFTA01380926
Dataset 10
1p
252w
Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref 10y fwd: 2.54% SPX Implied volatility levels close to historical lows GRAB 99 Aalft; 941Iniir kn. 24, -761D u$Tame 02-lnn-ZOI5 Volatility Comparison Ti fl Tog fl it^Ha 10004 at Soniadratralvte, n ■ (1.) 6M 105% Mny 12.104 35 if (2.) 6M 95% Mny 16.839 • 30 25 •• 20 -15 • 10 Mny -4.735 -4.00 Low: 5. 1 2011 2012 2013 2014 AUslrolto 61 2 9777 am…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01380926.pdf
EFTA01377588
Dataset 10
2015-06-03
1p
302w
…5% sell-off in SPX and higher l0y US swap rates (CMS, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105°4/95% Put Spread contingent on l0y USD CMS > atmf+25bps at expiry Notional: USDS0mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref l0y fwd: 2.54% SPX Implied volatility levels close to historical lows CONFIDENTIAL - PURSUANT TO FED…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01377588.pdf
EFTA01789461
Dataset 10
2015-06-03
3p
707w
Subject:
RE: Idea for US equity hedging... [CJ
From:
Daniel Sabba
To:
jeffrey E.
…swap rates (CMS, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 10S%/95% Put Spread contingent on l0y USD CMS > atmf+25bps at expiry Notional: USD50mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref l0y fwd: 2.54% SPX Implied volatility levels close to historical lows Please let us know if you would like to discuss. Best regards, Daniel…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01789461.pdf
EFTA01358059
Dataset 10
2015-06-03
1p
371w
…a 5% sell-off in SPX and higher l0y US swap rates (CMS, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent on l0y USD CMS > atmf+25bps at expiry Notional: USD50mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref l0y fwd: 2.54% SPX Implied volatility levels close to historical lows GRAB riActiOns 9trremplatei…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01358059.pdf
EFTA01401386
Dataset 10
2015-06-09
4p
681w
Subject:
RE: Idea for US equity hedging... [C]
From:
Paul Morris a>
To:
Daniel Sabba
…CMS, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent on lOy USD CMS > atmf+25bps at expiry Notional: USD50mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref lOy fwd: 2.54% SPX Implied volatility levels close to historical lows {cid:
[email protected]
} Please let us know if you would like to discuss…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01401386.pdf
EFTA01424763
Dataset 10
2015-06-09
4p
738w
Subject:
RE: Idea for US equity hed in ... [C]
From:
Daniel Sabba
To:
Paul Morris
…25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent on lOy USD CMS > atmf+25bps at expiry Notional: USD5Omm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref lOy fwd: 2.54% SPX Implied volatility levels close to historical lows fcid:
[email protected]
EFTA01424765 Please let us know if you would like to discuss…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01424763.pdf
EFTA02501299
Dataset 11
2015-06-03
3p
612w
Subject:
Re: Idea for US equity hedging... [C]
From:
jeffrey E. <
[email protected]
>
To:
Daniel Sabba
…06/03/2015): Client buys: =AO OTC SPX 105%/95% Put Spread contingent o= l0y USD CMS > atmf+25bps at expiry Notional: =C2 =AO USD50mm EFTA_R1_01628736 EFTA02501299 Expiry: =AO =C2 18 Dec 2015 Offer (mid): =AO =C2 =A0 2.00% (1.60%) Ref vanilla: =AO =C2 4.30%
Ref SPX
future: =C2 2115 Ref 10y fwd: =A0 2.54% SPX Implied volatility levels close to historica= lows Please =et us know if you would like to discuss…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02501299.pdf
EFTA01192950
Dataset 9
2015-06-03
2p
632w
Subject:
Idea for US equity hedging... [C]
From:
Daniel Sabba
To:
"jeffrey E." <
[email protected]
>
…25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent on l0y USD CMS > atmf+25bps at expiry Notional: USD50mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref l0y fwd: 2.54% SPX Implied volatility levels dose to historical lows EFTA01192950 GRAB n Actions • 90 TemplateF: 91) Hide 9S Table Volatility Compariso—n-7 Daily 02…
https://www.justice.gov/epstein/files/DataSet%209/EFTA01192950.pdf
EFTA01193030
Dataset 9
2015-06-09
3p
797w
Subject:
RE: Idea for US equity hedging... [C]
From:
Daniel Sabba
To:
"Jeffrey E." <
[email protected]
>
…25bps over its forward level). EFTA01193030 Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent on 10y USD CMS > atmf+25bps at expiry Notional: USDS0mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30%
Ref SPX
future: 2115 Ref 10y fwd: 2.54% SPX Implied volatility levels close to historical lows GRAB 99 Actions • 98 Templates 911 Hide Volatility Comparison-1 Daily 02-Dec-2010 02…
https://www.justice.gov/epstein/files/DataSet%209/EFTA01193030.pdf
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