From: Ens, Amanda

From: Ens, Amanda Sent: Thursday, April 20, 2017 1:59 PM To: jeffrey E.; Subject: Buy FB and AAPL puts before earnings (or replace stock with options) The implied 1-day move=for FB earnings on May 3rd is 4.3%. You can buy the FB May=5th expiry 143 call for $3.30 (ref $143.06) - only 2.3% The implied 1-day move=for AAPL earnings on May 2nd is 3.2%. You can buy the AAPL M=y 5th expiry 140 put for $2.00 (ref $141.65)— 1.4%. The =TM costs 2.0%. Or replace stock with =alls. The AAPL May 5th expiry 150 calls cost $0.42. The AAPL Ma= 19th expiry 150 calls cost $0.59. From: Ens, Amanda Sent: Thursday, April 13, 2017 9:24 AM To: 'jeffrey E' <[email protected]> Subject: Buy FB puts before earnings We generally view single stock implied vol as underp=icing earnings this season. FB in particular screens cheap. Our research's 1= internet preview includes sentiment rankings, with FB ranked #1 out=of 25 internet stocks with highest positive sentiment, driven by its lowes= short interest as % of float, 2nd highest yoy revenue growth expectations, and 21% YTD stock performance.&nb=p; FB reports May 3rd, and we view 5May2=17 puts as priced attractively low, given FB's extremely high positi=e sentiment/long positioning and high rev expectations going into Q1 it's. The 5May2017 ATM put costs 2.8% =s an avg 6% realized daily move over the past 6 earnings. Additional=y, 5May2017 expiration captures the April 18th-19th F8 developer conferenc=, an event that has historically been a catalyst for the stock.</=pan> =span style="color:#000A23">Buy FB 5May2017 ATM put for 2.8% premium=/0:p> EFTA_R1_01386429 EFTA02376618 =span style="color:#000A23">FB vol screens as cheap across the curve; hap=y to price longer dates as well. Report link =span style="font-size:20.5pt;color:#000A23">Sentiment Ranking Update We are updating our sen=iment ranking index on 25 stocks in our Internet coverage universe (as of =/4/17). We have aggregated six different indicators we think are relevant =o gauge sentiment and have generated an overall "sentiment" score for each company. This sentiment an=lysis is intended to be informative and should not be used to form an inve=tment opinion; for example our model does not factor in valuation or manag=ment quality. Of our company coverage universe, we have excluded four game publisher companies as well as two recent IPO's=from this analysis as data may not be comparable. <=p> Table 6: 1Q16 change in sentim=nt ranking Ticker Rank Pre 4Q A Score Pre4Q FB 1 +3 4 +2 TREE</=pan></=pan> 3 -1 2 EFTA_R1_01386430 EFTA02376619 8 +4 NFLX 5 -2 9 +1 PCLN 7 +1 9 +2 CRCM 8 +9 11 +3 EXPE 9 +5 12 +2 IAC 10 3 EFTA_R1_01386431 EFTA02376620 +5 12 +2 RATE 11 -4 13 -2 EBAY 12 +4 13 +1 ONDK 13 +5 14 +1 ZG 14 -9 14 -5 4 EFTA_R1_01386432 EFTA02376621 YHOO 15 +6 14 +3 GPRO 16 +8 14 +5 YELP 17 -7 16 -4 W 18 -5 16 -3 P 19 NA 16 5 EFTA_R1_01386433 EFTA02376622 NA GRUB 20 -9 16 -4 MTCH 21 +1 17 +1 QUOT 22 -10 17 -4 FIT 23 +2 19 +1 TRIP 24 -1 6 EFTA_R1_01386434 EFTA02376623 20 -2 TWTR 25 -5 21 -5 Source: BofA =errill Lynch Global Research, Bloomberg, as of 4/4/2017 =Investor sentiment categories We assembled data tha= measures investor sentiment across six categories. These metrics include =atest short interest (as a % of float), change in short interest as a % of float over the last 90 days, current stock per=ormance over the last 90 days, current average sell side ratings, forward =ear EPS estimate revisions over last 90 days, and expected FY17 revenue gr=wth. While there are no perfect indicators of average investor sentiment, we believe these metrics provide=a helpful framework of investor sentiment in our sector. In our analysis, =acebook, WIX, and LendingTree had the highest sentiment in 1Q, while Fitbi=, Trip and Twitter had the lowest sentiment. Care.com had the most improved ranking, moving up 9 points to 8=sup>th, while Quotient had the biggest decline moving down 10 spots =n our ranking to 22nd. Methodology Our methodology consi=ted of: 1) gathering financial data across six categories that we believe =re relevant to measuring investor sentiment, 2) ranking companies on each attribute using a scale of 1 to 29, with 1 highe=t and 29 the lowest, and 3) ranking the companies based on the avg. score =f the six metrics. Highest sentiment: FB, W=X, and TREE; Lowest: FIT, TRIP, and TWTR Based on our sentimen= ranking index, Facebook, Wix, and LendingTree have top investor sentiment=pre 1Q earnings. Facebook moved into first place from fourth due to the lowest short interest as % of float, second highest=FY17 revenue growth, sixth highest sell side FY16 EPS estimate revisions, =nd third best stock performance in the last 90 days. Wix came in second pl=ce with top stock performance in the last 90 days, top expected FY17 revenue growth and second best sell-si=e FY16 EPS estimate revision, despite ranking ninth for current sell side =anking and seventh for short interest ratio. LendingTree placed third with=best current sell side ranking and best change in short interest ratio. Fitbit had third wors= investor sentiment with the worst stock performance in the last 90 days, =he worst expected FY17 revenue growth and the second largest change in short interest in the period. TripAdvisor, had the secon= lowest sentiment with the third worst sell side ranking and fifth worst s=ll side EPS estimate revision. Twitter, our lowest sentiment stock pre 1Q =arnings, had second to worst sell side ranking and expected FY17 revenue growth, along with third to worst s=ll side estimate revisions and was below average in all of our categories.=/span> 7 EFTA_R1_01386435 EFTA02376624 Score Ranking vs. Invest=ent Rating Our sentiment analysi= is independent of our investment rating system, and our investment rating=may or may not factor in positive or negative sentiment. This scorecard analysis includes only data currently up to the last 90 day=, and our investment rating opinion takes into consideration potential sto=k price fluctuations, attractiveness for investment relative to other stoc=s within our Coverage Cluster, business model quality, and valuation. Please see our Fundamental Equity R=ting Opinion Key at the end of the report for more details. <=p> Table 7: Combined Metric List &n=sp;Company Short Interest % float a short interest % of float Performance 90 days Sell Side Ranking EPS Estimate Revisions Expected FY17 Rev. Growth FB 1% 0% 21% 4.7 =/span> 4% 37% WIX 2% -1% 67% 4.4 =/span> 62% 43% 8 EFTA_R1_01386436 EFTA02376625 TREE 23% -20% 21% 5.0 =/span> -6% 34% AMZN 1% 0% 20% 4.8 =/span> -10% 21% NFLX 6% -1% 14% 4.1 =/span> 15% 27% GOOGL 1% 0% 6% 4.7 =/span> 9 EFTA_R1_01386437 EFTA02376626 0% 19% PCLN 3% 0% 20% 4.6 =/span> 0% 16% CRCM 3% 0% 42% 3.5 =/span> 28% 6% EXPE 8% -2% 11% 4.6 =/span> -12% 14% IAC 1% 0% 10 EFTA_R1_01386438 EFTA02376627 12% 4.4 =/span> -5% -1% RATE 2% 0% -13% 4.2 =/span> 2% 16% EBAY 2% 0% 14% 3.6 =/span> -3% 5% ONDK 12% 3% 1% 3.3 =/span> 34% 30% ZG 11 EFTA_R1_01386439 EFTA02376628 11% -2% -9% 3.9 =/span> -26% 24% YHOO 6% 1% 19% 3.8 =/span> 0% 2% GPRO 36% -3% -4% 2.3 =/span> 74% 7% YELP 10% 0% -14% 3.7 =/span> -2% 12 EFTA_R1_01386440 EFTA02376629 25% W 38% 2% 17% 3.9 =/span> -22% 25% P 30% 2% -7% 3.9 =/span> 2% 17% GRUB 18% 7% -11% 4.1 =/span> -5% 31% MTCH 27% 5% -4% 13 EFTA_R1_01386441 EFTA02376630 4.2 =/span> 1% 8% QUOT 8% 0% -13% 4.8 =/span> -56% 5% FIT 26% -4% -29% 3.1 =/span> NA -27% TRIP 16% 5% -12% 2.9 =/span> -21% 11% TWTR 11% 14 EFTA_R1_01386442 EFTA02376631 3% -11% 2.5 =/span> -55% -7% Source: BofA Merrill Lynch Global Research, Blo=mberg, as of 4/4/2017 <=p> <=p> <=p> Table 8: Combined metric ranki=gs &n=sp;Company Short Interest % float A short interest % of float Performance 90 days Sell Side Ranking EPS Estimate Revisions Expected FY17 Rev. Growth Average FB 1 8 3 4 6 2 15 EFTA_R1_01386443 EFTA02376632 4 =/span> WIX 7 6 1 9 2 1 4 =/span> TREE 20 1 4 1 17 3 8 =/span> AMZN 4 9 5 2 18 10 8 =/span> NFLX 16 EFTA_R1_01386444 EFTA02376633 10 7 10 13 5 6 9 =/span> GOOGL 2 12 13 5 12 11 9 =/span> PCLN 8 11 6 7 10 14 9 =/span> CRCM 9 14 17 EFTA_R1_01386445 EFTA02376634 2 20 4 19 11 =/span> EXPE 12 5 12 6 19 15 12 =/span> IAC 3 10 11 8 16 23 12 =/span> RATE 6 15 23 10 18 EFTA_R1_0 1386446 EFTA02376635 8 13 13 =/span> EBAY 5 13 9 19 14 20 13 =/span> ONDK 17 21 14 21 3 5 14 =/span> ZG 15 4 18 14 22 9 19 EFTA_R1_01386447 EFTA02376636 14 =/span> YHOO 11 18 7 17 11 22 14 =/span> GPRO 24 3 15 25 1 18 14 =/span> YELP 14 16 24 18 13 8 16 =/span> W 20 EFTA_R1_0 1386448 EFTA02376637 25 19 8 15 21 7 16 =/span> P 23 20 17 16 7 12 16 =/span> GRUB 19 25 20 12 15 4 16 =/span> MTCH 22 24 21 EFTA_R1_01386449 EFTA02376638 16 11 9 17 17 =/span> QUOT 13 17 22 3 24 21 17 =/span> FIT 21 2 25 22 N/A 25 19 =/span> TRIP 18 23 21 23 22 EFTA_R1_01386450 EFTA02376639 20 16 20 =/span> TWTR 16 22 19 24 23 24 21 =/span> Source: BofA Merrill Lynch Global Research, Blo=mberg, as of 4/4/2017 Amanda Ens Director Bank of America Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporat=d One Bryant Park, 5th Floor, New York, NY 10036 =/o:p> 23 EFTA_R1_01386451 EFTA02376640 This message, and any attachments, is for the intended recipient(s) onl=, may contain information that is privileged, confidential and/or propriet=ry and subject to important terms and conditions available at http://www.b=nkofamerica.com/emaildisclaimer. If you are not the intended recipient, =lease delete this message. 24 EFTA_R1_01386452 EFTA02376641