📄 Extracted Text (141 words)
RTY and HYG Rolling 3 Month Performance
4000% 60.00%
30.00% 4
• 40.00%
20.00% -
- 20.00%
10.00% •
0.00% 0.00%
-10.00% •
• -20.00%
-20.00%
.40.00%
-30.00%
-40.00% -60.00%
9/25/2007 9/25/2008 9/25/2009 9/25/2010 9/2512011 9/25/2012 9/25/2013 9/25/2014
HYG NHS) -RTY (RHS)
Russell vol in historical lows and historicall chea • to S&P in relative absolute terms for 95% strike 3m vols
SPX and RTY 3-Month 95% Strike Implied Volatility and Spread
so 0
70 •
60 -
10
0
25-Jun-07 25-Jun-OS 25-Jun-09 25-Jun-10 25-Jun-11 25-Jun-12 25-Jun-13 25-Jun-14
.SPX 3M-Maturity 95%-Strrkelnipltecl Voat I ty .RUT 3M-Maturity95%-Stnke Implied Volatility - Spread
Looking forward to discussing further.
Regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
Tel. +1 212 454 0857
Mobile +1 917 374 4185
Email daniel.sabbakib.com
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0079458
CONFIDENTIAL SDNY_GM_00225642
EFTA01380889
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