EFTA01363042

IMPLIED VOLATILITY THROUGH TIME 2750 2500 2250 ,c3 2000 ct 1750 1500 ce 1250 1000 750 500 S&P 500 Price'. vs. Volatility Spread' 9/1.1 Attach i rleeormang ScondoIs Average Spread = +4.0 Rash trout us cat Downgrade Ago/Growth Concern 20 r, 10 o -3.0 -20 ri,g -3o ?I -40 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 Data source: Bloomberg L.P. and Harvest Volatility Management, LW The strategy seeks to monetize the positive spread of implied versus realized volatility in US broad-based index option markets f92=1 , I I des No tic., s YM did mterly to show the/moral trend nth* maitats nay meads indicated and is not Mended to Imply that the portfolio was sonar to the motes n other ccepoMtlon or taerstot ol thk. 1. Volati•ty spread- lmayd Volatility MX, led 30 calendar diis) • Rea d Volatility (30 cabwalle day historical volatility ci di* Sia500 rations) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0052885 SDNY_GM_00199069 EFTA01363042