EFTA01365025.pdf

Analysis of OBOE AAPL option trading data(a) Summary activity of directional market participants (i.e., retail investors) 4, Opening versus closing transactions for The CBOE has data on - Since the Monday / Friday phenomenon directional market participantsm each option trade and coincides with the listing of weekly options, 70% designates the buyer and we focused on options with the shortest expiry 65% seller of options as either 6096 "customer" or "firm". We attribute "customer" — Consistent with a hypothesis that Monday's X 55% o 5% transactions to directional outperformance is due, at least in part, to is 45% retail investors, and "firm" retail investors initiating option positions, the 4016 transactions to hedged °35% vast majority of directional option trades on 3016 market participants Mondays were opening transactions 25% The dataset has certain 20% Monday Tuesday Wednesday Thursday Friday limitations: — In addition, the majority of the positions that % of option trades that opened positions - The CBOE is only one were opened were bullish transactions, - % of option trades that closed positions of several exchanges which would have caused a hedged market that list options (with participant to buy shares Bullish opens versus bearish opens for -20% of total volume) directional market participants(b) - Market maker trades 50% are excluded — By Friday, the majority of option trades were - The data does not have closing transactions 40% time stamps (which 30% would have allowed us — Since the majority of option trades were 0° to see whether trading bullish positions, closing these positions is clustered during a a 20% would have caused a hedged market 0 certain part of the day at participant to sell shares 10% and compare this to the stock's intraday 0% behavior) Monday Tuesday Wednesday Thursday Friday ■ Bullish opens (buy calls t sell puts) ■Bearish opens (sell calls / buy puts) Deutsche Bank (a) Source: vmmcmarketdataexpress.com. 5 (b) From July 2010 to February 2014. Based on options with the shortest expiry. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055615 CONFIDENTIAL SDNY_GM_00201799 EFTA01365025