EFTA01353524.pdf

expiration. Implied volatility index values will be affected by any factor that affects the component options series of the index. including, among other things. applicable laws. regulations and trading rules, the market-making and order processing systems of the markets on which the options are traded, and the liquidity and efficiency of those markets. 8. The first and second sentences of the ninth paragraph under the heading 'Variability Indexes," which is part of the discussion that was added on page 25 of the Booklet by the December 2009 Supplement, are replaced by the following: Investors should keep in mind that indicative values of an implied volatility Index can reflect changes in the implied volatility of the reference interest only to the extent that quotations of the component options of the index are current. Indicative values for an implied volatility index may be disseminated, and implied volatility options may be traded, during times when the reference security or one or more component securities In the reference Index are not trading, or when the quotations for the reference security or one or more of the options series comprising the Implied volatility index are not current. 9. The following caption and paragraphs are added to Chapter IV of the Booklet immediately following the section captioned "Strategy-Based Indexes," which is part of the discussion that was added onpage 25 of the Booklet by the December 2009 Supplement: RELATIVE PERFORMANCE INDEXES A relative performance index measures the relative performance — generally the relative total return — of two Index components. As of the date of this booklet, the only relative performance options approved for trading are options on indexes of which both index components are equity securities (one of which could be a fund share). One of the components in each pair is referred to as the target component and the second is referred to as the benchmark component. The index is calculated by measuring the total return of the target component relative to the total return of the benchmark component. The index will nse as and to the extent that the target component outperforms the benchmark component, and will fall as and to the extent that the opposite occurs. The value of the relative performance index will be set to a base value (e.g., 100) initially. Investors should be certain that they understand the method of calculation of any relative performance index and the uses for which relative performance options are suited before buying or selling such options. Different relative performance indexes may measure relative performance in different ways. Investors should contact the listing options market for information on the method of calculation of a particular relative performance index. In the event that one of the index components in an underlying relative performance index is eliminated as the result of a cash-out merger or other event, the reporting authority may cease to publish the value of the index. In that 178 CONFIDENTIAL - PURSUANT TOCRESCIMIRW939 P. 6(e) CONFIDENTIAL SDNY_GM_00184123 EFTA01353524