Epstein Secrets

understand the drivers of the forward: Forward = Spot + Cost of Carry Cost of Carry = Spot x (Interest Rate - Repo - Dividend Yield)x Time Page 4 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055501 CONFIDENTIAL SDNY_GM_00201685 EFTA01364942

t [Figure 3: Current premia for long-dated SPX calls and call spreads is low 35% •Current Names 30% , 25% - 20% - r i 15% - +1 1096 6% - 0% SPX 18M SPA 3aM SPA 6011,1 SPA 18N1 SPA 36M SPA 61.,'M SPX 60M 100% 100% 100% 107.5% 120% 140% 100%-140% Sant Niathe Afera.6., Ann teiresea rh

unds are invested in short-term Treasury securities. 4 We roll the long-dated calls alter 1/3rd and 2/3rds of the option's time has passed. Page 6 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055503 CONFIDENTIAL SDNY_GM_00201687 EFTA01364943

ent long-dated call strategies . We compare the performance of the option positions vs. the total return on the SPX Index. These backtests focus on SPX 18M and 36M options. We chose the 18M maturity for our backtests since many investors prefer exchange-listed options to OTC and 18M is the farthest lis

unds are invested in short-term Treasury securities. 4 We roll the long-dated calls alter 1/3rd and 2/3rds of the option's time has passed. Page 6 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055590 CONFIDENTIAL SDNY_GM_00201774 EFTA01365005

ent long-dated call strategies . We compare the performance of the option positions vs. the total return on the SPX Index. These backtests focus on SPX 18M and 36M options. We chose the 18M maturity for our backtests since many investors prefer exchange-listed options to OTC and 18M is the farthest lis

understand the drivers of the forward: Forward = Spot + Cost of Carry Cost of Carry = Spot x (Interest Rate - Repo - Dividend Yield)x Time Page 4 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056038 CONFIDENTIAL SDNY_GM_00202222 EFTA01365334

tlight [Figure 3: Current premia for long-dated SPX calls and call spreads is low 35% • Current Preemie 30% A 26% - 20% 15% - 10% A 6% - 0% SPX 18M SPX 36A1 SPX 60M SPX 18M SPX 36M SPX 60M SPX 60M 100% 100% 100% 107.5% 120% 140% 100%-140% Saw Dad.. Sent AMPS.) AN" regrew. etre Otte