igure 11: 36M calls and spreads rolled after 24M, Dec- )2 through Sep-IS 25% 4 5% 36M 6% Pram Cal 0%:- 0% 2% 4% 6% 8% 0% Annualeed Return SPX Total Rehan • Figure 12: 18M calls and spreads rolled after 12M. Dec- 02 through Sep-13 15% z. 20% 10% 5% 18M 5% Rem. C.all « 19M ATM Cali Sheet I

see Figure 11 and Figure 121. Figure 11: 36M calls and spreads rolled after 24M, Dec- )2 through Sep-IS 25% 2096 SPX Total Rehm • 15% z. 20% SPX Total Rehm • ! 15% ,p> 15% T'. 36M ATM Call 36M ATM Call I8M 5% ♦ + Shea IM Rem. C.all « IBM ATM Caii I0% 36M 6% 2% Ann Pram Cal Pram Cell