—1.5%. 0 Losses are limited to the (low) upfront premium paid. RTY 3M atmf implied vol has fallen back to near 2008-present lows and the spread to SPX 3M implied vol has retraced to pre-election levels sub-4% RTY 3M realized vol is even more striking, having fallen to near 20yr lows 0 Correlation be

-2.096 Significance 0.037 ♦ S . 4* Last T-Value -2.030 Last P-Value 0.022 Number of Points 10.3 9 10 11 12 13 14 15 16 17 18 X= SPX 3M 100 VOL BVOL Index Australia 61 2 9777 8600 Brazil 5511 3048 4500 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3