EFTA Document EFTA01363040

GLOSSARY (CONT.) TERMINOLOGY Option "Moneyness" — Terminology used to refer to an option's strike price relative to the current underlying stock/index level. • At-the-money ("ATM") option — For call and put options, when the option's strike price is approximately the same as the market price of the underlying. • In-the-money ("ITM") option — For a call option, when the option's strike price is below the market price of the underlying. For a j option, when the strike price is above the market price of the underlying. • Out-of-the-money ("OTM") option — For a ri ll option, when the option's strike price is above the market price of the underlying. For a but option, when the strike price is below the market price of the underlying. Implied Volatility Surface ("Surface") —The overall implied volatility across differing strike prices (Skew) and expirations (Term Structure.) • Volatility Skew ("Skew")— The difference in implied volatility between out-of-the-money, at-the-money and in-the-money options within the same tenor/expiry, and is affected by overall market sentiment and supply/demand relationships. Volatility Term Structure ('Term Structure")— The difference in implied volatility between options with the same strike, but different maturities. Drawdown — Any losing period during an investment record. It is defined as the percent retrenchment from a performance peak to a performance valley. Largest Drawdown —The largest percentage losing period from peak to trough that has occurred during the period of investment record. • Drawdown Period — The length of time it takes the largest drawdown to occur. • Drawdown Recovery — The subsequent time period required to recover the largest drawdown. • Internal Revenue Code (IRC) Section 1256 Contract —A regulated futures contract, foreign currency contract, non-equity option e.g. cash-settled S&P500 Index options (SPX), dealer equity option or dealer securities futures contract. Each contract held by a taxpayer at the end of the tax year is treated as if it was sold for is fair market value, and gains or losses are treated as either short-term or long-term capital gains. • Mandate Size —The client's desired exposure to the investment strategy. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00199067 DB-SDNY-0052883 EFTA01363040