EFTA01387049.pdf

• Manages a portfolio of short index option spreads (modified iron condors) on the S&P 500 to generate option premium with limited risk: o Market and collateral agnostic. o Maximum potential loss in any given month -5% of notional value (program size). o Conservative ongoing risk management. • Provides daily liquidity with no lock-up and Section 1256 tax efficiency. • Performs best when the equity market is generally range bound or trending at a moderate level (i.e., doesn't care whether the market goes up or down, but doesn't like extreme collapses (or surges) in the S&P 500). Additional CYES Performance Metrics: • Positive in 8 out of 10 years since inception (including 2008, 2009, 2010, 2011, 2012, 2015, 2016, 2017). • Best year +3.6% on notional; worst year -0.7% on notional. • Monthly return distribution (66% positive; 34% negative). • Best month +3.5% on notional (December 2008); worst month -2.8% on notional (October 2008). • Worst drawdown -3.8% on notional (2 months from September 2008 thru October 2008); worst drawdown recovery = 2 months (November 2008 thru December 2008). • Annualized standard deviation since inception of 2.33% on notional; annualized standard deviation has averaged closer to 1% during the past 6 years (2012-17). • Correlation to the S&P 500 of 0.09 (even lower correlation to other liquid investments). As ever, if you have any additional questions or comments, please don't hesitate to reply or call the office number below. Also, please advise if you would like to be removed from our distribution list. Kind Regards, Richard L. Selvala, Jr. Chief Executive Officer HARVEST 420 Lexington Avenue - Suite 2620 New York, NY 10170 www.harvestvolmgt.com Harvest Volatility Management, LLC and its service provider, reserve the right to monitor and archive all e-mail in compliance with the rules of the SEC. The information contained in this e-mail is for informational purposes only. This message does not constitute on offer to sell or a solicitation of on offer to buy ony security. Accordingly, no representation or worronty, expressed or otherwise, is mode to, and no reliance should be placed on, the fairness, accuracy, completeness or timeliness of the information contained herein. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089096 CONFIDENTIAL SDNY_GM_00235280 EFTA01387049