EFTA01362946.pdf

REFERENCE DATA (CYES - SPX - VIX) CYES(N)' -1.15% -0.63% -0.62% 0.96% 0.26% 0.05% SPX Close 2824 2714 2641 2648 2705 2718 2718 SPX %Change 5.6% -3.9% -2.7% 0.3% 2.2% 0.5% 1.7% SPX %Range 7.1% 10.7% 8.0% 6.2% 5.6% 3.7% 12.7% VIX Close 13.5 19.9 20.0 15.9 15.4 16.1 16.8 VIX %Change 22.6% 46.6% 0.6% -20.2% -3.1% 4.3% 45.7% VIX %Range 58.9% 279.2% 65.0% 55.8% 49.4% 54.4% 374.8% CYES(N)' I 0.44% I -0.37% I 0.24% I 0.30% I 024% I 0.09% 1 0.14% 1 021% I 0.06% I 4.33% 1 -0.31% 1 0.01% 0.71% SPX Close 2279 2364 2363 2384 2412 2423 2470 2472 2519 2575 2648 2674 2674 SPX %Change 1.8% 3.7% 0.0% 0.9% 1.2% 0.5% 1.9% 0.1% 1.9% 2.2% 2.8% 1.0% 19.4% SPX %Range 2.5% 4.4% 3.3% 2.9% 2.8% 2.0% 3.2% 3.0% 2.9% 2.5% 3.9% 3.4% 20.1% VIX Close 12.0 12.9 12.4 10.8 10.4 11.2 10.3 10.6 9.5 10.2 11.3 11.0 11.0 %/IX % Change -14.6% 7.8% -4.3% -12.5% -3.8% 7.4% -8.2% 3.2% -10.2% 7.0% 10.8% -2.1% -21.4% VIX %Range 26.9% 24.9% 34.9% 49.0% 62.3% 55.6% 37.7% 75.6% 44.4% 43.0% 58.4% 50.4% 62.1% I/<•+<'>♦ CYES(N)' I -0.39% I 0.47% I -0.17% I 0.14% I 016% I 4.11% I 0.30% I 0.41% I 0.25% I 0.24% I 4.04% I 4.13% 0.64% SPX Close 1940 1932 2060 2065 2097 2099 2174 2171 2168 2126 2199 2239 2239 SPX %Change -5.1% -0.4% 6.6% 0.3% 1.5% 0.1% 3.6% -0.1% -0.1% -1.9% 3.4% 1.8% 9.5% SPX %Range 11.1% 7.9% 7.0% 3.8% 3.8% 6.1% 4.9% 2.1% 3.2% 2.5% 6.1% 4.1% 22.9% VIX Close 20.2 20.6 14.0 15.7 14.2 15.6 11.9 13.4 13.3 17.1 13.3 14.0 15.3 VIX %Change 10.9% 1.7% -32.1% 12.5% -9.6% 10.1% -24.1% 13.1% -1.0% 28.4% -21.9% 5.3% -22.9% VIX %Range 70.5% 62.0% 34.6% 32.9% 29.4% 98.7% 36.1% 32.9% 66.0% 43.2% 63.6% 28.4% 116.2% ;IS CYES(N)' I 0.12% 0.24% I 0.27% I 0.30% I 0.33% I 0.18% I 0.26% I -1.12% I 0.67% 4.35% I 0.38% I 0.26% 1.54% I I SPX Close 1995 2105 2068 2086 2107 2063 2104 1972 1920 2079 2080 2044 2044 SPX %Change -3.1% 5.5% -1.7% 0.9% 1.0% -2.1% 2.0% -6.3% -2.6% 8.3% 0.1% -1.8% -0.7% SPX %Range 4.1% 7.0% 3.7% 3.7% 3.2% 3.5% 4.3% 11.7% 7.6% 10.4% 4.7% 5.3% 13.0% VIX Close 21.0 13.3 15.3 14.6 13.8 18.2 12.1 28.4 24.5 15.1 16.1 18.2 17.6 VIX % Change 9.2% -36.4% 14.6% -4.8% -4.9% 31.7% -33.5% 134.6% -13A% -38.5% 7.0% 12.9% -5.2% VIX %Range 41.2% 47.4% 34.9% 29.7% 31.2% 56.9% 45.7% 349.9% 561% 50.7% 46.4% 76.6% 220.9% NI CYES(N)'__ -023% I -0.25% I 0.43% I 0.18% j 0.12% j 0.08% I -0.07% I 0.02% 027% j 4.59% I 0.05% 4).66% 4.68% SPX Close 1783 1859 1872 1884 1924 1960 1931 2003 1972 2018 2068 2059 2068 SPX %Change -3.6% 4.3% 0.7% 0.6% 2.1% 1.9% -1.5% 3.8% -1.6% 2.3% 2.5% 0.4% 11.9% SPX %Range 4.3% 7.3% 2.7% 4.4% 3.4% 2.7% 3.1% 5.2% 2.8% 10.0% 3.7% 5.9% 19.2% VIX Close 18.4 14.0 13.9 13.4 11.4 11.6 17.0 12.0 16.3 14.0 13.3 19.2 14.5 VD( %Change 34.2% -24.0% 0.9% -3.4% -15.0% 1.5% 46.5% -29.3% 36.1% -14.0% -5.0% 44.0% -2.8% VW %Range 52.3% 43.7% 34.0% 37.8% 23.6% 22.4% 59.0% 37.3% 46.4% 106.3% 28.7% 102.6% 151.5% Data source: Bloomberg L.P. and Harvest Volatility Management LW I. Of Seem* twliro anals Pei MIna" WitOme Mr • wee awry VIA< cot thins eftretsitsersOrd. pricnrantedini sainted vuudrInin et naYp-ewhq ]ehrt.anewil 10Calleniand • VIM 4senip/criei 14 WS +very lo slow inr ' newlYM n int ,no'eh rafter... nettled .ine YeWMb mph ha Me KM/air on.. le Pe *atm or-ccruigew re-tv CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0052703 CONFIDENTIAL SDNY_GM_00198887 EFTA01362946