EFTA Document EFTA01462232

Source: Bloomberg 2S-Sep-2014 S&P 500 Put options dislocated relative to call options Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium (spot ref: 1998) very high demand for sPX puts makes it possible to buy multiple calls for each call sold Across major indices, the ratio of calls-to-puts is highest for US equities Skew (y-axis) vs ATM vol (x-axis) is stretched (Embedded image moved to file: pic29111.gif) Source: Bloomberg 24-Sep-2014 Renewed interest in Japanese equities ahead of GPIF re-allocation and policy momentum Trade: A 6m 110% call financed by 6m 90% put has zero net premium (spot ref: 16374) Investors are waiting for the giant Japanese pension funds to re-allocate away from bonds to equities The Abe administration is looking for additional ways to stimulate the economy Nikkei vols are high and skew is poor -- no easy way to get into the trade, best to do calls vs puts 1-to-1 struck around major technical levels Chart showing NKY history with strike of 90% put highlighted (Embedded image moved to file: pic10863.gif) Source: Bloomberg 2S-Sep-2014 Past performance is not a reliable indicator of future results. The trading and investment ideas discussed herein are general and do not take into account a client's particular circumstances (including his or her tax situation), investment guidelines, investment goals, restrictions or needs. This is not an offer, recommendation or solicitation to buy or sell, nor is it an official confirmation of terms. It is based on information from sources believed to be reliable. No representation is made that it is accurate or complete or that any returns indicated will be achieved. Changes to assumptions may have a material impact on any returns detailed. Price and availability are subject to change without notice. The investment ideas presented herein are subject to investment risk, including possible loss of principal. The past performance of securities or other instruments does not necessarily indicate or predict future performance and the value of investments and income arising there from can decrease as well as increase, the investor may get back less than was invested and no assurance can be given that any trade idea or investment described herein would yield favorable investment results. This material contains references to various over-the-counter (OTC) options. Any offer of an OTC option eventually made may contain terms which are substantially different, and must be read in conjunction with the ISDA Master Agreement and ISDA Credit Support Annex. Full details of the terms and conditions, including risk factors and tax treatment, associated with this instrument are described in the ISDA documents, which should be read carefully before investing. Opinions and estimates may change without notice, and involve a number of assumptions which may not prove valid. This material does not purpose to summarize all of the conditions, covenants, representations, warranties, and other provisions of these instruments. Derivatives are financial transactions based upon one or more predetermined market factors where periodic payments (or a one-time lump-sum payment) are made by each of the parties to the transaction based upon the value of the CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124686 CONFIDENTIAL SDNY_GM_00270870 EFTA01462232