EFTA01365048.pdf

Apple stock price performance (continued) I Value of Monday's outperformance vs S&P 500 Value of Friday's underperforrnance vs S&P 500 Trading this pattern would 900 -- 900 have resulted in 800 800 -4 significant gains with 700 700 -4 limited downside risk 600 - 600 500 - 500 w.,,9kly options in This analysis looks at Weer-al Options sa 400 - kst 400 i .4APL t trading AAPL stock and 1,1c ;re 20W9 2010) an equivalent value of the 300 - 300 S&P 500 beginning in 200 - 200 - Ar .,..orr~•••• 2008 100 100 0 0 Going long AAPL / short A p tb sp .) 5) c5 N14 / .39 S&P 500 only on OeP Veci Oeci eci Oect I\ CPCP 4O1 C if Ott C ZP Mondays produces the largest gain — over 2x a long/short strategy held Combined Friday / Monday performance vs S&P 500 Long AAPL and short S&P 500 over all days and over 3x 900 - 900 a short AAPL/long S&P 800 800 500 strategy on Fridays 700 700 600 600 Combining the two strategies (Monday and 500 - 500 - Awl* op6ons iA Friday) results in even 400 AAPL hst 400 Ormel 20 10) 300 greater returns 300 200 - 200 100 100 0 0 Al °lb 5)c) p\O !•q• A t 0C ' es' .O6; O6' 1 OP ge° o ef ee Vie? O#1\ Deutsche Bank This analysis looks at trading equal amounts of AAPL and S&P 500 from January 2, 2008 till November 3, 2014. The returns of each strategy are compounded 3 (ie. returns are reinvested back into the strategy) and both stock and index returns are calculated on a total return basis (ie. assuming dividends are reinvested). Assumes no friction costs. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055651 CONFIDENTIAL SDNY_GM_00201835 EFTA01365048