beyond expectations. If one expects this environment of high realized vol to be short lived, the trade continues to make
sense. If one expects it to be a continued paradigm, it might make sense to revisit holding this strategy.
Trade date: 13-Jan
Valuation date for all the numbers below: 2-Feb
We have rounded various numbers for ease.
Index return since trade date: -4.7%
The index has lost money basically because realized vol has been much higher than implied.
Some stats on this are below.
Strike Implied- Current
Contract Vol strike Date Realized vol Realized Implied
CLHS 60% 13-Jan-15 67% .7% 81%
CLJ 43% 13-Jan-15 65% -22% 50%
CLKS 42% 14•Jan.15 61% -20% 48%
This loss has occurred over a period of 13 Index Business Days. Looking back since index
inception date, I tried to see how many times such a loss would have occurred over a period
of 13 days. This 13 Index Business Day performance represents the 6" percentile. Here is a
graph showing performances over a 13 day period:
13d Return
iZ
0% -
ere e s
4 I.
• •
•
1 .t
• q
1•
Dec-05 Dec-07 Dec-09 Dec-11 Dec-13 Dec-15
Also useful, below chart shows implied vol atm mid for the 2nd month futures over the last ly:
nit A Mn 4 many. 4aI
N
••••"1."
314 4. ?Ad .14 , 0014 11.14 1/14 rrt
.9 , 40 wt. tnn onpWel rOtetilay
asvo• 064.•••••Swit LORWeritamonnilleber••finenj 'vets ten,
And below is the same chart over the last 10 years:
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115858
CONFIDENTIAL SDNY_GM_00262042
EFTA01456610