EFTA Document EFTA01456610

beyond expectations. If one expects this environment of high realized vol to be short lived, the trade continues to make sense. If one expects it to be a continued paradigm, it might make sense to revisit holding this strategy. Trade date: 13-Jan 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 Some stats on this are below. Strike Contract Vol strike Date Realized vol CLH