EFTA01387457.pdf

From: Paul Morris Sent: 2/5/2015 3:46:04 PM To: Stewart 0ldfield I Subject: Fw: short crude vol strategy - follow-up analysis (I) Classification: For Internal Use Only From: Daniel Sabba Sent: Thursday, February 05, 2015 01:30 PM To: Jeffrey E. <[email protected]> Cc: Paul Morris; Vahe Stepanian; Richard Kahn ‹ > Subject: RE: short crude vol strategy - follow-up analysis Classification: Public Jeffrey, Per my previous email, WTI moved down over 8% on Wednesday and up 7% on Tuesday. As discussed at our meeting, this level of high realized volatility is very negative to a short straddle with daily delta hedging strategy. We refreshed the analysis below to include the Tuesday's and Wednesday's moves. We would like to point out this trade has moved over 10% down, and ask you on whether you continue to want to hold it. Trade date: 13-Jan Valuation date for all the numbers below: 4-Feb We have rounded various numbers for ease. Index return since trade date: -10.84% The index has lost money basically because realized vol has been much higher than implied, and also implied has gone up a lot (however, we wouldn't pay a lot of attention to the implied going up a lot; since finally what will count as more days pass is what realized is doing). Some stats on this are below. Strike Implied- Current Contract Vol strike Date Realized vol Realized Implied 0)15 60% 13-Jan-15 79% -19% 84% CLIS 43% 13-Jan-1S 774 -33% 564 CLKS 42% 14-Jan-15 73% -31% 54% This loss has occurred over a period of 15 Index Business Days. Looking back since index inception date, we tried to see how many times such a loss would have occurred over a period of 15 days. This 15 Index Business Day performance represents the 0.6th percentile. Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email From: Daniel Sabba Sent: Tuesday, February 03, 2015 3:19 PM To: 'Jeffrey E.' CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0090134 CONFIDENTIAL SDNY_GM_00236318 EFTA01387457