📄 Extracted Text (166 words)
IMPLIED VOLATILITY THROUGH TIME
S&P 500 Price'. vs. Volatility Spread'
2750
2500
2250
,c3 2000
ct
1750
1500 Ago/Growth
ce Concern
1250
1000 us cat
Rash Downgrade
trout
750 9/1.1
Attach
500 i rleeormang
ScondoIs
Average Spread = +4.0
20 r,
10
o
-3.0
-20 ri,g
-3o ?I
-40
1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017
Data source: Bloomberg L.P. and Harvest Volatility Management, LW
The strategy seeks to monetize the positive spread of implied versus realized
volatility in US broad-based index option markets
f92=1 , I I des No tic., s YM did mterly to show the/moral trend nth* maitats nay meads indicated and is not Mended to Imply that the
portfolio was sonar to the motes n other ccepoMtlon or taerstot ol thk.
1. Volati•ty spread- lmayd Volatility MX, led 30 calendar diis) • Rea d Volatility (30 cabwalle day historical volatility ci di* Sia500 rations)
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0052885
CONFIDENTIAL SDNY_GM_00199069
EFTA01363042
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EFTA01363042
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DataSet-10
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document
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