From: Martin Zeman Sent: 9/18/2018 8:51:03 AM To: Nadean Novogratz Stewart Oldfield Subject: : Xavier Avila RE: Follow-up ; Davide-A Sferrazza Stewart and I have a call with him this morning to discuss a few ideas, including the EM contagion we had a call on yesterday. I will put this on the list for him to give back to us. From: Nadean Novogratz Sent: Tuesday, September 18, 2018 8:39 AM To: Martin Zeman < >; Xavier Avila < ; Stewart Oldfield < Subject: FW: Follow-up >; Davide-A Sferrazza < FYI — I put a call into Paul this morning regarding the attached form — I haven't heard back from him since 7/26 when he said he would get them complete. I left a voicemail. Have you heard anything from them since the end of July? From: Nadean Novogratz Sent: Thursday, July 26, 2018 5:01 PM To: Paul Barrett Cc: Martin Zeman; Stewart Oldfield; Xavier Avila; Davide-A Sferrazza; Devin Anderson Subject: Follow-up Hi Paul, Great to meet you over the phone today and discuss our derivatives offerings / market color. As mentioned, Southern Financial is fully onboarded to trade OTC equity derivatives here. We've reviewed our dots for listed options and just need 2 simple forms completed (attached). They are pretty straight forward but we're here to answer any questions on them that you have. Per Devin's comments on short-term upside, below are charts that compare SPY ATM vs 2% out of the money upside in the near-term experies. Vols are in the 8v range for the 2%OTM calls and as you can see for the next four weeks term structure is flat. We've continued to see the spot up / vol up correlation remain positive and if this theme continues, now is a good entry level into buying inexpensive vol. SPY ATM Calls: SPY 261Call tot 2M.30 Teary Mat I Inter-Period Fwd Vol Peratamtc Re Ms Comdata Farnergs Repotted 1,) $ 1 FrIttay, Surat a am 140 049% 92 ISM groth) ACP,NFP, kW( Dedslon 61% Fndyy. August IC, 20113 069% 92 R9 PM (Pi WS Frk1a9. Aug's* 17. 3)111 2.47 007% 92 43 7,2% Fnday. August 24. 3115 2.50 1.02% 9.2 91 10r./: miss (4161 72% Friday. August 21, 7M8 333 119% 9.5 104Pa 71% Frilay, September 37. 201S 3.75 132% 9.6 10 5 ISM (0611O ADP. NFP 75% SPY 2% Upside Calls: CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0084533 CONFIDENTIAL SDNY_GM_00230717 EFTA01384385