📄 Extracted Text (144 words)
We looked at data over the last 10_years and found the 3m 95% puts to be around the 3r° historical p_ercentile.
IWM 95% Put Premia as a '1, of Spot
0.0% •
28-1un.05 28-Jun-06 28..lurt.07 28-1un-011 28-Jun-09 28-Jun-10 28-Jun-11 28.Jun.12 28-Jun-13 28-Jun-14
-1m 3m —SID
Historical rolling 3-month performance of HYG US ETF and RTY Index.
The historical performance below illustrates that when large moves happened, they co-occurred in both RTY Index and
HYG US ETF (since 2007).
RTY and HYG Rolling 3 Month Performance
40.00% 60.00%
30.00%
40,00%
20.00%
20.00%
10.00%
0.00% .0 0.00%
-10.00%
-29.00%
-20.00%
-40.00%
-30.00%
4:10.(04 -60.00%
9/25/2007 9/25/2008 9/25/2009 9/25/2010 9/25/2011 9/25/2012 9/25/2013 9/25/2014
----HYG(IHS) ----RTY(RH5)
Russell vol in historical lows and historically cheap to S&P (in relative absolute terms for 95% strike 3m vols)
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0049182
CONFIDENTIAL SDNY_GM_00195366
EFTA01360678
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EFTA01360678
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