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95) Save As 9i9 Actions • 91) Edit - 9S Table Line Chart
09 28 2009 09 25 2014 Last Price No lower chart
SV Iia Csilj v a tit Seeunty/Stady rl Event 0
Track ,' Annotate 'F News O, Zoom
(a • Last Price 77.9904
- T High on 08/28/13 91.8093
- Average 69.9526
- I Low on 05/18/10 55.6350
80
77.9904
75
009 2010 2011 2012 2013 2014
Source: Bloomberg 25-Sep-2014
S&P 500 Put options dislocated relative to Call options
• Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium
(spot ref: 1998)
•
• Very high demand for SPX puts makes it possible to buy multiple calls for each call sold
• Across major indices, the ratio of calls-to-puts is highest for US equities
•
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124714
CONFIDENTIAL SDNY_GM_00270898
EFTA01462251
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