EFTA01365906.pdf

From: DanielSabba Sent: 11/18/2014 3:05:51 PM To: jeffrey E. [jeevacation mail corn] CC: Paul Morris • Stewart Oldfield • Vahe Stepanian Subject: AAPL Monday Outperformance vs. SPY ICI Attachments: Reviewed AAPL KCP trade.pdf Classification: Confidential Jeffrey, We wanted to follow-up on the AAPL transaction we discussed, which is long AAPL vs. SPY on Mondays. As discussed: - AAPL Monday outperformance vs. SPY has become more persistent in the recent past, after the CBOE weekly options on AAPL were first listed (June 2010) - This outperformance might be perceived to be tied to hedging of new positions on Monday - A strategy that is long AAPL vs short SPY on Mondays would have produced an annualized return of 30.6% since 2011, with a shame ratio of 2.67 - In the period between 2008 and 2010, this strategy would have returned 11.5% with a shame ratio of 0.81 Per your question at the meeting, we also obtained the volume history for near expiry options as well as other expiries. The graph below is the 4-week moving average of daily volume for both of these sets - it illustrates the volumes on both options have increased recently. 800,000 — Near Expiry Volume 20d Avg 700,000 1j. — Other Expiry Volume 20d Avg 600,000 •• 500,000 • 400,000 300,000 200,000 100.000 e \1'OtiA 0' ryOtiR ts , ci's 4% % 41' N.C% est'. t.% 0 0 0 *NO s ;NV The attached presentation goes into further details on the transaction, as well as a variation of the strategy focusing on Friday performance. (.See attachedfile: Reviewed AAP!, K('P trade.ND Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0057284 CONFIDENTIAL SDNY_GM_00203468 EFTA01365906