Spat % Spot Time to expiry
move level 3m 2m lm At exp
6% 1.4427 -4.98% -4.94% -4.90% -5.15%
4% 1.4154 -3.24% -3.18% -3.21% -3.17%
2% 1.3882 -1.56% -1.50% -1.48% -1.18%
0% 1.3610 0.00% -0.02% -0.06% 0.00%
-2% 1.3338 1.48% 1.40% 1.28% 0.98%
-4% 1.3066 3.25% 3.18% 3.13% 3.00%
-6% 1.2793 5.32% 5.30% 5.30% 5.02%
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0123915
CONFIDENTIAL SDNY_GM_00270099
EFTA01461719