FW: please forward to Jeffrey

From: bwjaeger310@aol.com [mailto:bwjaeger310@aol.com]
Sent: Thursday, May 01, 2008 12:28 PM
To: Lesley Groff; Rahna Jalashgar
Subject: please forward to Jeffrey

Thank you for the call yesterday and I am excited that we are both meeting with investor interest in our volatility arbitrage strategy. Duncan was recently asked by his former colleagues to consult for a family office who is seeking to invest in a short vol strategy in Asia sponsored by a European money center bank. While their strategy is similar, I believe it is not as elegantly risk managed and there is less profit potential in the Asian markets relative to either the U.S. or SXSE.  In addition, I wanted to let you know about a recent development that will enhance the returns to our strategy. As you know,  we are net short by holding put options on realized volatility to mitigate tail risk. To further enhance returns, we have designed an inexpensive way to be long volatility at the tails to take advantage of short term spikes in realized volatility. A quick way to summarize this is that we are net short by selling expensive insurance and purchasing relatively inexpensive reinsurance. While I am excited to have you and your clients participate in the fund and seed the strategy, I fully understand that you have other more important things to consider at this time.

Good luck with the sale of the helicopter and hope that one day I can buy your G5! As you suggested, I will call you on Monday. Enjoy the week end.

Sincerely,

Bruce

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