Paul Paul Barrett Alpha Group Capital LLC 142 W Sim Street, 11th Floor, New York, NY 10019 a ALPHA GROUP CAP I TAL From: Nadean Novogratz Sent: Thursday, Juhr 26, 2018 5:01 PM To: Paul Barrett Cc: Martin Zeman Stewart Oldfield >; Xavier Avila Davide-A Sferrazza <d. 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 docs 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 2840411 vs. 23130 Mm Tony FrItlay. Au.% 09, 3)111 $ 240 0.49% Val 9.5 Intor-Porlad Fwd Vol franarnk Fold 614 (IMO% ACP. NC P. *MC tension turnsns otIvo tuning% Ps ported (94) 61% Friday. Augu A IC 2018 1.96 069% 9.2 89 PM, CPI 65/9 Nat August 17, 2018 247 0.87% 9.2 93 70% FrIday. Ausult It MU 7-90 :CIS 91 91 FOMC num IS1.4) 72% Faidev, August 31 3)18 138 119% 95 104 Pa 7* in:ay.September 07, 10113 3.75 :32% 9.6 10.5 ISIA1Oeth1ACP.148P low. SPY 2% Upside Calls: SPY MICA vt 23130 &Wank hems Cumulative Eamings Reported 1%) Tenor Met .I vs Intor•Perlod Pad VOI 5 II % I Fria4V. A4118,a Ca 412 0.19 0,20% 8.3 ISM IcOth), ADP, NFP, FCMC Utt'f. tn 61% Fumy. Abisist 1C., 2018 047 037% 31 84 PM, (Pi EA% FrIttsv, Augua 17, 1018 0.76 051% tO ta 7.34 Pneay. Au 04A 24 3:118 1.05 0.65% 8.0 Es 7 PCIA: 411-4 144i 72% Filthy, August 11, 3018 1.19 118016 8.2 96 PCS 74% Mitt September C7 2018 :.69 0.92% 8.4 101 ISIAlocth) ADP. ISFP 75% Kind regards, Nadean Nadean Novogratz CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0088573 CONFIDENTIAL SDNY_GM_00234757 EFTA01386743