From: Daniel Sabba

From: Daniel Sabba To: 'jeffrey E. .cjecvacation@gmail.com> CC: Paul Monis Vahc Stepanian Richard Kahn Subject: short crude vol strategy - follow-up analysis Date: Tuc, 03 Feb 2015 20:18:43 +0000 loline-Images: imagc002.png: imagc003.png: imagc001.png: imagc004.png Ctassfficatco:Publie Jeffrey - this is the analysis we put together and alluded to in the meeting today. It evaluates the performance of the short crude vol strategy since Jan 130 . when we traded. As discussed. sharp moves up in oil (WTI m up 694, intraday today) are also negative to a short straddle strategy Mat m delta hedged daily. as It causes realized vol to increase. potentially beyond expectations. If one expects this environment of high realized vol to be short lived. the trade continues to make sense. If one expects rt to be a continued paradigm. it might make sense to revisit holding this strategy. Trade date: 13-3an Valuation date for all the numbers below: 2-Feb We have rounded various numbers for ease. Index return since trade date: -4.7% The index has lost money basically because realized vol has been much higher than implied. Some stats on this are below. 11104 arched Canoe aincrea 'Vol Data Ranted all Realized Smelled KM 60% 3340.13 67% 4% 52% CMS 43% 134arv15 65% .22% 50% OAS 42% 3444/.15 61% -20% 45% This loss has occurred over a period of 13 Index Business Days. Looking back since index inception date, I tried to see how many times such a loss would have occurred over a period of 13 days. This 13 Index Business Day performance represents the e h percentile. Here is a graph showing performances over a 13 day period: 134 Return 15% 10% 5% 0% -5% -15% - Dec-OS Dec-07 Dec-09 Dec-11 Dec-1S Dec-1S Also useful, below chart shows implied vol atm mid for the 2N month futures over the last ly: NYME% WTI 3M vol Mm implied vatolitity 514 6114 Sci• 10/1• 11/1.1 12)14 t t5 3/14 4'14 IMIDC WTI 1111 Inglis% rot Mid implied volatility Saito% O•tdob Be* Global Woken RIM44/0/1 (133331111‘• DAM) And below is the same chart over the last 10 years: 2/15 f0 29 03.F•620 f EFTA01135495 WYMEX WTI 23.1implood 'el Mal implied volatility 100 00 00 " 1 ea 1 50 40 30 20 2CC9 2010 201! 31012 2013 2014 2015 2000 0O NYMEX WTI 2.1 Implied val Mid implied .01altlity Satin* Day!xn• Sank Ckskisil MAW* Restich t1100.10ve pnern) Cloweled 1x037. OSF•02015. 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. EFTA01135496