Case File
efta-01380889DOJ Data Set 10OtherEFTA01380889
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01380889
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
RTY and HYG Rolling 3 Month Performance
4000%
30.00% 4
20.00% -
10.00% •
0.00%
-10.00% •
-20.00%
-30.00%
-40.00%
9/25/2007
9/25/2008
9/25/2009
9/25/2010
9/2512011
9/25/2012
9/25/2013
9/25/2014
HYG NHS) -RTY (RHS)
60.00%
• 40.00%
- 20.00%
0.00%
• -20.00%
.40.00%
-60.00%
Russell vol in historical lows and historicall chea • to S&P in relative absolute terms for 95% strike 3m vols
SPX and RTY 3-Month 95% Strike Implied Volatility and Spread
so
0
70 •
60 -
10
0
25-Jun-07
25-Jun-OS
25-Jun-09
25-Jun-10
25-Jun-11
25-Jun-12
25-Jun-13
25-Jun-14
.SPX 3M-Maturity 95%-Strrkelnipltecl Voat I ty
.RUT 3M-Maturity95%-Stnke Implied Volatility
-
Spread
Looking forward to discussing further.
Regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
Tel. +1 212 454 0857
Mobile +1 917 374 4185
Email daniel.sabbakib.com
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0079458
CONFIDENTIAL
SDNY_GM_00225642
EFTA01380889
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Domain
daniel.sabbakib.comPhone
+1 212 454 0857Phone
+1 917 374 4185Phone
2512011Forum Discussions
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