EFTA01380438

From: Nadean Novogratz Sent: 9/18/2018 8:38:52 AM To: Martin Zeman • Xavier Avila ; Stewart Oldfield ; Davide-A Sferrazza Subject: FW: Follow-up Attachments: Options Execution Agreement (AUG15).pdf; Options Questionnaire (AUG15).pdf FYI — I put a call into Paul this morning regarding the attached form — I haven't heard back from him since 7/26 when he said he would get them complete. I left a voicemail. Have you heard anything from them since the end of July? From: Nadean Novogratz Sent: Thursday, July 26, 2018 5:01 PM To: Paul Barrett Cc: Martin Zeman; Stewart Oldfield; Xavier Avila; Davide-A Sferrazza; Devin Anderson Subject: Follow-up Hi Paul, Great to meet you over the phone today and discuss our derivatives offerings / market color. As mentioned, Southern Financial is fully onboarded to trade OTC equity derivatives here. We've reviewed our docs for listed options and just need 2 simple forms completed (attached). They are pretty straight forward but we're here to answer any questions on them that you have. Per Devin's comments on short-term upside, below are charts that compare SPY ATM vs 2% out of the money upside in the near-term experies. Vols are in the 8v range for the 2%0TM calls and as you can see for the next four weeks term structure is flat. We've continued to see the spot up / vol up correlation remain positive and if this theme continues, now is a good entry level into buying inexpensive vol. SPY ATM Calls: SPY 2M Can vs 22230 Price I Tenor Vol I InteoPerlod Fled Vol Preeernk Everts Curate/due Earrings Reported 20 S I % Bride% Augist a 2018 1.40 (149% 93 ISM (both), ADP, %FP, FOMC Dedslon 61% Friday. AuP42 le, 3312 196 069% 9.2 8.9 PPI, CPI 6e Rider: Aura 17, 202 2L7 027% 92 93 7014 Fnom. August M. OM 2.90 1.01% 9.2 St 1 7074C ram tAvgi 72% Friday, August 37.3118 3.38 119% 9.5 lad Pa 74% F 4.149. September C7, 3318 3.75 132% 9.6 105 ISM tooth), ACP. NG P 73% SPY 2% Upside Calls: SPY MICA vs. 28330 Ettoorenk Mies tarred adm SRI nes Pep:eted i%) Moor Price Vol InteoP•dotOvid Vol S I 16 R&M, Austad C2.3)18 0.19 020% 23 billib,00.ADP.14SP. FOMC Decision 61% friday. August 10.2018 0.47 037% B: 84 Pet CPI 605 Friday, MILO 17,3118 0/6 051% BO 14 Friday, Almost 24. 2018 :.a5 065% 80 it 7 rctec mins (1,41 72% Filthy. August 31, 2018 is 0.80% 8.2 96 PCE 74% Pd./. September C7. 3218 169 092% 84 101 ISM I both). ACP. NFP 75% Kind regards, Nadean Nadean Novogratz CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0078865 CONFIDENTIAL SDNY_GM_00225049 EFTA01380438