From: Daniel Sabba (- To: "jeffrey E." <jeevacation@gmail.com> Ce: Paul Morris < >, Stewart Oldfield >, , Vahe Stepanian Subject: AAPL Monday Outperformance vs. SPY [C] Date: Tue, 18 Nov 2014 20:05:52 +0000 Attachments: Reviewed AAPL KCP._trade.pdf Inline-Images: unnamed Classification: Confidential Jeffrey, We wanted to follow-up on the AAPL transaction we discussed, which is long AAPL vs. SPY on Mondays. As discussed: - AAPL Monday outperformance vs. SPY has become more persistent in the recent past, after the CBOE weekly options on AAPL were first listed (June 2010) - This outperformance might be perceived to be tied to hedging of new positions on Monday - Astrategy that is long AAPL vs short SPY on Mondays would have produced an annualized return of 30.6% since 2011, with a sharpe ratio of 2.67 - In the period between 2008 and 2010, this strategy would have returned 11.5% with a sharpe ratio of 0.81 Per your question at the meeting, we also obtained the volume history for near expiry options as well as other expiries. The graph below is the 4-week moving average of daily volume for both of these sets - it illustrates the volumes on both options have increased recently. 800,000 700,000 —— Near Expiry Volume 20d Avg —— Other Expiry Volume 20d Avg 600,000 500,000 400,000 300,000 200,000 100,000 0 ere a ee s SOS OP MP LM LM SS PPP PP” WP” veh oS OW a Sh os Vo ow gr VP Ww al ne NG The attached presentation goes into further details on the transaction, as well as a variation of the strategy focusing on Friday performance. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. EFTA00632373

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