EFTA01462246.pdf

GRAB <Menu> to Return Buy ,SPXSKEW U Inc) Or Sell SPX 3M 100 V0L Regression Analysiss" Last Price Last Price 09/24/2013 n - 09/24/2014 n 6M YTD 1Y 2Y Ft Max Daily • -3 REGRESSION STATISTICS V=-0.059X-4.381 Linear Raw BETA -0.059 • ALPHA(Intercept) -4.381 -4 — ! - RA2(Correlation"2) 0.017 _ 4:44 ***r. R(Correlation) -0.131 • OtiiSs* Std Dev of Error 0.534 ,i = .SPXSKEW U Index 4 4r 4. l et • Std Error of ALPHA 0.359 a • Ik• • ty* 41P .404 Std Error of BETA 0.028 - 5 - 0 t4.004+fro, t -Test -2.096 eat awl *ay% 41.4,s•str. 400-40 ve.tn; • 414fr• - s Significance 0.037 tz, 401 nr isi salka,.. -tam 1TIlier kr- • " it. lel 7. S . 4* Last T -Value -2.030 _ • .4.4kv • Last P -Value 0.022 * 4\ • * deli * • -6 — Number of Points 10.3 ♦ • • a • -7 9 10 11 12 13 14 15 16 17 18 Y - c ov " 4100 VOL Min' T...4 Australiel Brazil Europe (*rrnany Hong Kong Japan Singapore U.S. Copyright 2014 Bloomberg Finance L.F. SN 622439 H235-1719-1 24-Sep-14 18,26,34 BST GMT+1 ,00 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124709 CONFIDENTIAL SDNY_GM_00270893 EFTA01462246