EFTA01462251.pdf

95) Save As 9i9 Actions • 91) Edit - 9S Table Line Chart 09 28 2009 09 25 2014 Last Price No lower chart SV Iia Csilj v a tit Seeunty/Stady rl Event 0 Track ,' Annotate 'F News O, Zoom (a • Last Price 77.9904 - T High on 08/28/13 91.8093 - Average 69.9526 - I Low on 05/18/10 55.6350 80 77.9904 75 009 2010 2011 2012 2013 2014 Source: Bloomberg 25-Sep-2014 S&P 500 Put options dislocated relative to Call options • Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium (spot ref: 1998) • • Very high demand for SPX puts makes it possible to buy multiple calls for each call sold • Across major indices, the ratio of calls-to-puts is highest for US equities • CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124714 CONFIDENTIAL SDNY_GM_00270898 EFTA01462251