th various 36M calls rolled after 24M 260 240 • 220 • 200 • 180 160 140 —Equity Outright ATM Spread. ATM - 6% —Spread. ATM • 2% —Spread. ATM - 1M 2% Dei>04 Smarr: ones. Rank Mamba, Wan:et. Cleo-06 DecOS Dec-10 No-12 In the following section we show results for only a select number of str

3.2% 3.3% 6.9% 62% 48.3% 53.1% Spread: 5% - 1% 4.1% 3.1% -7.0% 3.4% 3.4% 4.0% 6.1% 3.6% 2.3% 3.6% 64.9% 2.2% 3.6% 60.8% Spread: ATM - 1M 2% 7.7% 6.7% -22.8% 10.4% 7.6% 7.9% -6.4% 7.6% 16% 7.8% 46.8% 4.0% 7.8% 50.8% Spread: 9%- 1M2% 7.9% 6.8% -16.8% 8.1% 6.1% 7.6%

th various 36M calls rolled after 24M 260 240 • 220 • 200 • 180 160 140 —Equity Outright ATM Spread. ATM - 6% —Spread. ATM • 2% —Spread. ATM - 1M 2% Dei>04 Smarr: ones. Rank Mamba, Wan:et. Cleo-06 DecOS Dec-10 No-12 In the following section we show results for only a select number of str

3.2% 3.3% 6.9% 62% 48.3% 53.1% Spread: 5% - 1% 4.1% 3.1% -7.0% 3.4% 3.4% 4.0% 6.1% 3.6% 2.3% 3.6% 64.9% 2.2% 3.6% 60.8% Spread: ATM - 1M 2% 7.7% 6.7% -22.8% 10.4% 7.6% 7.9% -6.4% 7.6% 16% 7.8% 46.8% 4.0% 7.8% 50.8% Spread: 9%- 1M2% 7.9% 6.8% -16.8% 8.1% 6.1% 7.6%

th various 36M calls rolled after 24M 260 240 • 220 • 200 • 180 160 140 —Equity Outright ATM Spread. ATM - 6% —Spread. ATM • 2% —Spread. ATM - 1M 2% Dei>04 Smarr: ones. Rank Mamba, Wan:et. Cleo-06 DecOS Dec-10 No-12 In the following section we show results for only a select number of str

urprisingly, "banked" close to the entire 2% annualized premia only during market downturns (for instance, compare the performance of ATM calls and ATM - 1M 2% calls for the Oct-07 to Mar-09 period in the table). In the rising markets of Dec-02 to Oct-07, these strategies "banked" -0.8% to 1.2% of the 2

3.2% 3.3% 6.9% 62% 48.3% 53.1% Spread: 5% - 1% 4.1% 3.1% -7.0% 3.4% 3.4% 4.0% 6.1% 3.6% 2.3% 3.6% 64.9% 2.2% 3.6% 60.8% Spread: ATM - 1M 2% 7.7% 6.7% -22.8% 10.4% 7.6% 7.9% -6.4% 7.6% 16% 7.8% 46.8% 4.0% 7.8% 50.8% Spread: 9%- 1M2% 7.9% 6.8% -16.8% 8.1% 6.1% 7.6%

2% 9.9% 62.4% 4.9% 10.0% 49.2% Spread: 10% - 2% 6.1% 6.6% -9.5% 5.8% 4.9% 6.2% 8.7% 4.9% 3.5% 6.3% 54.8% 3.3% 6.4% 51.2% Spread: ATM - 1M 2% 9.1% 9.6% -20.1% 11.3% 9.8% 10.5% -3.1% 7.1% 6.6% 10.2% 53.6% 58% 10.3% 56.3% Spread: 18% • 1M 2% 9.6% 10.1% -21.6% 12.3% 9.4%