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EFTA Document EFTA01365339
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Case Filesd-10-EFTA01365339Dept. of JusticeEFTA Document EFTA01365339
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sd-10-EFTA01365339Dept. of JusticeEFTA Document EFTA01365339
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3 December 2013 US Derivatives Spotlight Figure 19: Annualized returns/realized volatility for 36M calls and spreads rolled after 24M, Call spread notional scaled by delta 60% 1 70% 65% 66% 4 I 60% 9396 1 55% 45% 50 % a 40% I a 35% 35 % - - 30% 30% . . . . . . . . . . _ . . . . . . . . Figure 20: Annualized returns/realized volatility for ISM calls and spreads rolled after 12M, Call spread notional scaled by delta Outright: Spread: Spread. Outfight Spread:
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Dept. of Justice
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sd-10-EFTA01365339
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