EFTA01461291.pdf

Classification: For internal use only XLK is a $13.7bn tech sector ETF. Investors bullish tech should consider short dated OTM calls on XLK which combine low levels of implied vol and an efficient underlying Trades: Buy 3m expiry XLK 3% OTM call @ 1.24% (offer vol: 12.8) Buy 6m expiry XLK 6% OTM call 1.44% (offer vol: 13.6) Spot ref: XLK Index = 35.85 XLK top 10 Holdings AAPL 14% GOOG 9.3% MSFT 8% IBM 5.6% T 5.1% VZ 4% QCOM 3.7% CSCO 3.5% V 3.4% Past Returns and Implied Vol Return Implied Vol, ly 2y 3y 2month XLK US EQUITY 22% 34% 38% 13% -1 AAPL US Equity 9% 28% 63% 28% GOOG US EQUITY 66% 99% 90% 24% MSFT US EQUITY 33% 22% 27% 25% IBM US EQUITY -4% -1% 18% 19% T US EQUITY 0% 10% 18% 14% VZ US EQUITY 11% 24% 35% 18% ORCL US EQUITY 9% 34% 18% 21% QCOM US EQUITY 17% 30% 47% 18% CSCO US EQUITY 9% 15% 8% 24% V US EQUITY 46% 133% 223% 23% Compared to most of its components, XLK has relatively low implied volatility vs returns XLK Price CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123247 CONFIDENTIAL SDNY_GM_00269431 EFTA01461291