EFTA Document EFTA01387458

Cc: Paul Morris; Vahe Stepanian; Richard Kahn Subject: short crude vol strategy - follow-up analysis Classification: Public 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 131n, when we traded. As discussed, sharp moves up in oil (WTI is up 6% intraday today) are also negative to a short straddle strategy that is delta hedged daily, as it causes realized vol to increase, potentially b