EFTA01456649.pdf

lot day to day, which is what we are trying to capture in the realized vol numbers shown above. The straddles are also marked to market daily using settlement prices; if implied vol has increased, there is a further loss on the mtm. The last column in the table above shows where current implied vol is. From: Daniel Sabba Sent: Thursday, February 05, 2015 1:30 PM To: 'Jeffrey E.' 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 CLMS 60% 13-lan-15 79% -19% 84% CUS 43% 13,lan.15 774 -33% 56% CLK5 42% 14-Jan-15 734 -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. From: Daniel Sabba Sent: Tuesday, February 03, 2015 3:19 PM To: 'Jeffrey E.' Cc: Paul Morris; Vahe Stepanian; Richard Kahn Subject: short crude vol strategy - follow-up analysis CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115912 CONFIDENTIAL SDNY_GM_00262096 EFTA01456649