We are recommending the following credit spreads to start out the MCM July 2012 expiration cycle.

We are recommending credit spreads for Portfolio #1in the following issues.

C - Citigroup Inc., a diversified financial services holding company, provides a range of financial products and services to consumers, corporations, governments, and institutions worldwide. The company operates through two segments, Citicorp and Citi Holdings. The Citicorp segment operates as a global bank for businesses and consumers with two primary businesses, Global Consumer Banking and Institutional Clients Group. The Global Consumer Banking business provides retail banking and Citi-branded cards in North America; Asia; Latin America; and Europe, the Middle East, and Africa (EMEA). The Institutional Clients Group business provides securities and banking services comprising investment banking and advisory services, lending, debt and equity sales and trading, institutional brokerage, derivative services, and private banking; and transaction services consisting of treasury and trade solutions, and securities and fund services. The Citi Holdings segment operates Brokerage and Asset Management, Local Consumer Lending, and Special Asset Pool businesses. The Brokerage and Asset Management business, through its Morgan Stanley Smith Barney joint venture, offers retail brokerage and asset management services.

ANF - Abercrombie & Fitch Co., through its subsidiaries, operates as a specialty retailer of casual apparel for men, women, and kids. The company sells various products, including casual sportswear apparel comprising knit and woven shirts, graphic t-shirts, fleece, jeans and woven pants, shorts, sweaters, and outerwear; personal care products; and accessories for men, women, and kids under the Abercrombie & Fitch, abercrombie kids, and Hollister brands. It also offers bras, underwear, sleepwear, and at-home products for girls under the Gilly Hicks brand. Abercrombie & Fitch Co. sells its products through its stores; direct-to-consumer sales; and Websites, such as abercrombie.com, abercrombiekids.com, hollisterco.com, and gillyhicks.com. As of February 29, 2012, the company operated 1,045 stores, including 280 Abercrombie & Fitch stores, 154 abercrombie kids stores, 494 Hollister Co. stores, and 18 Gilly Hicks stores in the United States; and 14 Abercrombie & Fitch stores, 5 abercrombie kids stores, 77 Hollister Co. stores, and 3 Gilly Hicks stores internationally. Abercrombie & Fitch Co. was founded in 1892 and is headquartered in New Albany, Ohio.

X - United States Steel Corporation engages in the production and sale of steel mill products in North America and Europe. The company operates in three segments: Flat-rolled Products (Flat-rolled), U. S. Steel Europe (USSE), and Tubular Products (Tubular). The Flat-rolled segment offers slabs, rounds, strip mill plates, sheets, and tin mill products. This segment serves customers in the service center, conversion, transportation, construction, container, appliance, and electrical markets. The USSE segment produces and sells slabs, sheets, strip mill plates, tin mill products, and spiral welded pipes, as well as heating radiators and refractory ceramic materials. This segment serves customers in construction, service center, conversion, container, transportation, appliance and electrical, oil, gas, and petrochemical markets. The Tubular segment produces and sells seamless and electric resistance welded steel casing and tubing; and standard, line pipe, and mechanical tubing products. This segment serves customers in the oil, gas, and petrochemical markets. United States Steel Corporation also provides transportation services, including railroad and barge operations. It also owns, develops, and manages various real estate assets comprising approximately 200,000 acres of surface rights primarily in Alabama, Illinois, Maryland, Michigan, Minnesota, and Pennsylvania, as well as approximately 4,000 acres of land in Ontario, Canada.

We are recommending the following specific credit spreads.

Call credit spreads = bearish call spreads.