EFTA Document EFTA01357462

To: jeffrey E.' Cc: Paul Morris; Vahe Stepanian; 'Richard Kahn' Subject: RE: short crude vol strategy - follow-up analysis Classification: Public Jeffrey, Per my previous email, WTI moved down over 8% on Wednesday and up 7% on Tuesday. As discussed at our meeting, this level of high realized volatility is very negative to a short straddle with daily delta hedging strategy. We refreshed the analysis below to include the Tuesday's and Wednesday's moves. We would like to point out this trad