EFTA01456610.pdf

beyond expectations. If one expects this environment of high realized vol to be short lived, the trade continues to make sense. If one expects it to be a continued paradigm, it might make sense to revisit holding this strategy. Trade date: 13-Jan Valuation date for all the numbers below: 2-Feb We have rounded various numbers for ease. Index return since trade date: -4.7% The index has lost money basically because realized vol has been much higher than implied. Some stats on this are below. Strike Implied- Current Contract Vol strike Date Realized vol Realized Implied CLHS 60% 13-Jan-15 67% .7% 81% CLJ 43% 13-Jan-15 65% -22% 50% CLKS 42% 14•Jan.15 61% -20% 48% This loss has occurred over a period of 13 Index Business Days. Looking back since index inception date, I tried to see how many times such a loss would have occurred over a period of 13 days. This 13 Index Business Day performance represents the 6" percentile. Here is a graph showing performances over a 13 day period: 13d Return iZ 0% - ere e s 4 I. • • • 1 .t • q 1• Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15 Also useful, below chart shows implied vol atm mid for the 2nd month futures over the last ly: nit A Mn 4 many. 4aI N ••••"1." 314 4. ?Ad .14 , 0014 11.14 1/14 rrt .9 , 40 wt. tnn onpWel rOtetilay asvo• 064.•••••Swit LORWeritamonnilleber••finenj 'vets ten, And below is the same chart over the last 10 years: CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115858 CONFIDENTIAL SDNY_GM_00262042 EFTA01456610