EFTA01383897

From: Paul Barrett Sent: 7/26/2018 10:49:03 PM To: Nadean Novogratz CC: Subject: ; Stewart 0ldfield ; Xavier Avila ; Davide-A Sferrazza ; Devin Anderson Martin Zeman RE: Follow-up Thanks Nadean Will get the forms filled out and look at the pricing. Best, Paul Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11.1" Floor, New York, NY 10019 (c) a ALPHA GROUP CAP I TAL From: Nadean Novogratz Sent: Thursday, July 26, 2018 5:01 PM To: Paul Barrett Cc: Martin Zeman >; Stewart 0ldfield Davide-A Sferrazza <- Subject: Follow-up Hi Paul, >; Xavier Avila >; Devin Anderson < 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 dots 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 2/31Cail va 2P3-30 &mood< Events areadotive laminas Reported1%) Tenor PTO Intet-Perlod Pwd Vol MOW, Pupost a mu( :40 0.e% 9.5 04 (bun). Ar.p, NFP, FCMC De‘sion 61% Frsday, Augua IC, 2012 069% 92 R.9 PPi IPt 695 PM" Assra 1T.201E 2,42 0117% 9.2 93 72ii n6ay. Ali&St "1118 2.90 :C2% 9.2 9.1 FOIACM1,5 la4i 72% ado's, Ausarit ]1.2)18 3.38 US'S 9.5 14.4 PC[ 74% rafay.Seatarobar p. 2016 3.75 9.6 19 5 i5m acth) 4CP. NFP SPY 2% Upside Calls: CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0083801 SDNY_GM_00229985 EFTA01383897