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EFTA Document EFTA01365007
Title Matchefta-efta01365007
Case Filesd-10-EFTA01365007Dept. of JusticeEFTA Document EFTA01365007
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Case File
sd-10-EFTA01365007Dept. of JusticeEFTA Document EFTA01365007
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3 December 2013 US Derivatives Spotlight F Figure 13: The Apr-13 to Sep-13 period has seen significant underperformance from financing long-dated calls with 1M calls 2 115% 113%1 111% 1 109% 1 107% 1 < 105% E 103% 101% a • 99% V ▪ 97% cc 95% Deo-02 Dec-04 Dec-0111 Dec-08 Doc-10 Dec-12 Soon Doutidl• Batik BICOInbee Ans-0 LP The backtest iod yew repwsentat;ve for 1M risk The main risk of the short 1M call occurs in violent rallies. Figure 14 shows that the frequency
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Dept. of Justice
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sd-10-EFTA01365007
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