EFTA Document EFTA01365050

DB analyzed every AAPL listed option trade that occurred from January 2013 to February 2014 These trades were classified as bullish or bearish depending on whether they traded at the bid or the offer. So, for example, a call that traded on the offer side was deemed a bullish trade. We ignored transactions that traded at mid market We then delta-weight this activity to capture a directional view of the overall options market Deutsche Bank Eti .tr -F Net "delta" in AAPL listed option market I — Option traders will hedge their positions by trading in the underlying stock to maintain a "delta" neutral position to stock price performance (i.e., sell calls and buy stock such that they are indifferent to changes in the stock price) — Looking at the net deltas of actual option activity shows that Fridays are more likely to see selling activity, while Mondays are more likely to see buying activity A \erage net delta (in shares) % of days negative % of days positRe Friday (99,292) 63.8% 36.2% Monday 131,618 39.7% 60.3% Other (373.363) 56.0% 44.0% — Even though the amount of stock is small relative to Apple's ADTV of 10 - 15mm shares, there is a strong correlation between this activity and the stock return on the relevant day of the week(a) Fridays — return vs net delta 5% 4% 3% 2% 1% 0% • - •• cc (1%) (2%) (3%) (4%) (1,000) (500) • • • • • • • 0 • It' • 0.7548 500 Not dolts (sold) bought 1,000 Mondays — return vs net delta Other days — return vs net delta(b) 5% 4% 3% 2% • • • Net delta (sold) bought 1.000 5% 4% 3% 2% 1% et o 1% ( ) ft ca s • ••• . (2%) , • • • •• • • (3%) • (4%) (1O00) • 2218 (500) 0 500 1,000 Net dolts (sold) bought Source: trade-alert.com (a) Based on January 1, 2013 to February 14, 2014 (b) The dataset includes some outliers (e.g.. earnings releases) that depress the R. Excluding datapoints that have more than 1mm shares of net delta or absolute value of the return of greater than 5% results in a 0.57 R2 6 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00201838 DB-SDNY-0055654 EFTA01365050