09 28 2009 09 25 2014 95) Save As 9i9 Actions • 91) Edit - 9S Table Last Price c2•Ili Tr Track (a • Last Price 77.9904 - T High on 08/28/13 91.8093 Average 69.9526 - 1 Low on 05/18/10 55.6350 tt i Secunty/Study NI Event / Annotate 'F News O, Zoom 009 2010 2011 2012 2013 2014 Source: Bloomberg 25-Sep-2014 No lower Chart Line Chart 0 80 77.9904 75 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-0 124697 CONFIDENTIAL SDNY_GM_00270881 EFTA01462239