EFTA00632373.pdf

From: Daniel Sabba To: "Jeffrey E." <[email protected]> Cc: Paul Mor , Stewart Oldfield , Vahe Stepanian Subject: AAPL Monday Outperfonnance vs. SPY [C] Date: Tue, 18 Nov 2014 20:05:52 +0000 Attachments: Reviewed_AAPL_KCP_trade.pdf Inline-Images: unnamed Classification: Confidential Jeffrey, We wanted to follow-up on the AAPL transaction we discussed, which is long AAPL vs. SPY on Mondays. As discussed: - AAPL Monday outperformance vs. SPY has become more persistent in the recent past, after the CBOE weekly options on AAPL were first listed (June 2010) - This outperformance might be perceived to be tied to hedging of new positions on Monday -A strategy that is long AAPL vs short SPY on Mondays would have produced an annualized return of 30.6% since 2011, with a sharpe ratio of 2.67 - In the period between 2008 and 2010, this strategy would have returned 11.5% with a sharpe ratio of 0.81 Per your question at the meeting, we also obtained the volume history for near expiry options as well as other expiries. The graph below is the 4-week moving average of daily volume for both of these sets - it illustrates the volumes on both options have increased recently. The attached presentation goes into further details on the transaction, as well as a variation of the strategy focusing on Friday performance. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. EFTA00632373 Mobile Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00632374