EFTA01362947.pdf

REFERENCE DATA (CYES - SPX - VIX) CYES(N)' -0.13% 0.16% -0.23% 0.15% -0.98% 0.20% -0.02% -0.13% 0.30% -0.12% 0.11% 0.10% -0.61% SPX Close 1498 1515 1569 1598 1631 1606 1686 1633 1682 1757 1806 1848 1848 SPX %Change 5.0% 1.1% 3.6% 1.8% 2.1% -1.5% 4.9% .3.1% 3.0% 4.5% 2.8% 2.4% 29.6% SPX %Range 5.9% 3.1% 4.5% 3.9% 6.6% 5.8% 5.9% 4.9% 5.9% 7.7% 3.8% 4.5% 29.7% VIX Close 14.3 15.5 12.7 13.5 16.3 16.9 13.5 17.0 16.6 13.8 13.7 13.7 14.8 VIX %Change -20.8% 8.6% -18.1% 6.5% 20.6% 3.4% -20.2% 26.5% -2.4% -17.2% -0.4% 0.1% -23.9% VIX % Range 20.2% 50.4% 37.2% 48.9% 30.3% 42.6% 31.1% 44.5% 29.2% 54.2% 15.6% 36.9% 60.3% W'1 CYES(N)' 1 0.13% I .0.01% I 0.00% I 0.27% I 0.46% I 0.14% I 0.29% I 0.33% 1 0.00% 0.27% I 0.35% I 0.06% 2.31% I SPX Close 1312 1366 1408 1398 1310 1362 1379 1407 1441 1412 1416 1426 1426 SPX %Change 4.4% 4.1% 3.1% -0.7% -6.3% 4.0% 1.3% 2.0% 2.4% -2.0% 0.3% 0.7% 13.4% SPX %Range 5.9% 5.0% 5.8% 4.6% 8.8% 7.1% 4.9% 5.2% 5.5% 4.7% 6.4% 3.5% 17.1% VIX Close 19.4 18.4 15.5 17.2 24.1 17.1 18.9 17.5 15.7 18.6 15.9 18.0 18.0 VIX % Change -16.9% -5.2% -15.9% 10.6% 40.3% -29.0% 10.8% -7.7% -10.0% 18.2% -14.7% 13.5% -23.0% VIX %Range 24.9% 28.6% 41.1% 39.0% 54.5% 45.6% 32.5% 31.3% 31.2% 38.0% 24.9% 46.1% 61.6% CYES(N)' 1 030% I 0.06% I 0.56% I 0.22% I 0.15% I 0.14% I -0.40% I -1.26% I 0.88% -1.46% I 0.46% I 0.98% 0.59% I SPX Close 1286 1327 1326 1364 1345 1321 1292 1219 1131 1253 1247 1258 1258 SPX %Change 2.3% 3.2% -0.1% 2.8% -1.4% -1.8% -2.1% -5.7% -7.2% 10.8% -0.5% 0.9% 0.0% SPX %Range 3.6% 4.3% 6.3% 5.3% 4.3% 6.5% 5.6% 15.9% 9.4% 19.3% 9.5% 5.4% 23.5% VIX Close 19.5 18.4 17.7 14.8 15.5 16.5 25.3 31.6 43.0 30.0 27.8 23.4 23.6 VIX %Change 10.0% .6.0% -3.3% -16.9% 4.7% 6.9% 52.8% 25.2% 35.9% -30.3% -7.2% .15.8% 31.8% VIX % Range 26.5% 41.0% 77.4% 27.1% 33.6% 56.8% 65.5% 101.1% 42.5% 52.2% 33.6% 38.0% 190.0% 21;10 -0.19% 1 0.89% -0.12% I -0.18% I -0.67% I -0.36% MOAN -0.05% I 0.08% I 0.18% I 0.36% I 0.36% 1.95% , CYES(N)' ES (N I SPX Close 1074 1104 1169 1187 1089 1031 1102 1049 1141 1183 1181 1258 1258 SPX %Change -3.7% 2.9% 5.9% 1.5% -8.2% -5.4% 6.9% .4.7% 8.8% 3.7% -0.2% 6.5% 12.8% SPX %Range 7.1% 6.3% 6.8% 4.2% 13.8% 9.4% 10.7% 8.1% 10.2% 5.6% 4.6% 6.4% 22.6% VIX Close 24.6 19.5 17.6 22.1 32.1 34.5 23.5 26.1 23.7 21.2 23.5 17.8 23.8 VIX % Change 13.6% -20.8% -9.8% 25.4% 45.4% 7.7% -32.0% 10.9% -9.0% -10.5% 11.0% -24.6% -18.1% VIX %Range 51.4% 40.2% 19.3% 45.3% 129.7% 45.2% 45.5% 30.6% 16.4% 27.2% 28.7% 25.6% 152.1% Fes CYES(N)' 1.13% I 0.85% I .0.67% 1 0.29% I 0.76% I 0.64% I .1.90% I 0.59% I 0.30% I 0.39% I 0.54% I 0.67% 3.62% I SPX Close 826 73S 798 873 919 919 987 1021 1057 1036 1096 1115 1115 SPX %Change -8.6% -11.0% 8.5% 9.4% 5.3% 0.0% 7.4% 3.4% 3.6% -2.0% 5.7% 1.8% 23.5% SPX %Range 15.4% 17.0% 22.6% 13.2% 7.3% 7.3% 13.9% 6.2% 8.6% 7.7% 8.1% 4.1% 51.3% VIX Close 44.8 46.4 44.1 36.5 28.9 26.4 25.9 26.0 25.6 30.7 24.5 21.7 31.8 VIX %Change 12.1% 3.4% -4.8% -17.3% -20.8% -8.9% -1.6% 0.3% -1.5% 19.8% -20.1% -11.5% -45.8% VW %Range 51.2% 27.7% 31.2% 27.0% 28.2% 26.8% 38.1% 18.2% 28.4% 44.9% 38.4% 21.5% 95.3% Data source: Bloomberg L.P. and Harvest Volatility Management 1C I. Of Seem* twiiro av•roisfsb' Pei M MN 1 WitOmenw •weve al...Miry VIA( cot thins aer•esits•treat ricr•wv....0 sainted ituairlei re 'MO' et ...nye-4r fce. •e4C••••••Cca 10Calleniand 'Mews natal •••••••/•••• US +un,. nowt inronexo n •••••th rafter..., metaled ni • •••• •kleee ensir Ml Pe palter ••••• rt. Pe *atm -.win, or-ormigew er—tnte..ut CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0052704 CONFIDENTIAL SDNY_GM_00198888 EFTA01362947