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0.60% 0.00% + 10-Mar-17 Option expired putol he, money:as the, NEN remained range: bounced Buy ESTX50 17-Mar-17 3350-3450 strangle 6-Mart7 0.80% 0.00% 17-Mar-17 Expired out-of-the-money Buy Volkswagen 2017 dividend future ‘Jani? €1.3 €20 14-Mar-17 Volkswagen announced a dividend of €2.05 on 14-Mar-17 Buy Mar17 UKX 6700 put cont. on GBPUSD<1.20 10-Oct-16 0.81% 0.0% += 17-Mar-17 Buy Mar17 UKX<6700 / GBPUSD<1.20 dual digital 10-Oct-16 9.1% 0.0% 17-Mar-17 UKX rallied making the hedges expire out-of-the-money Mar17 UKX 6700 buy qUSD put, sell 0.9x vanilla put 10-Oct-16 0.44% 0.0% == 17-Mar-17 Buy 6M ATM worst-of (XLF call, XLU put} 19Sep-16 1.38% 0% 17-Mar-17 While XLF has rallied ~30% since inception, XLU is higher by 4% and the XLU put is the worst performing option, expiring OTM Buy an SPX Mar-17 97.5% put contingent on USO>105% at 3.06.16 1.08% 0% 17-Mar-17 The structure offered a deep discount for an SPX hedge and expires OTM as markets have rallied expit strongh Biya USO Mar-17 105% call contingent on SPX<97.5% at 3.00446 170% 0% 17-Mar-47 The tae expires OTM due to the SPX rally and a sell off in oil over the past two weeks expit awe Mar-17 SPX<97.5%, USO>105% dual digital 30ct16 11.80% 0% 47-Mar-17 The trade expires OTM due to the SPX rally and a sell off in ol over the past two weeks Buy an IWM Mar-17 ATM call conditional on EEM<95% at 44.Novt? 1.15% 0% 17-Mar-17 EEM has rallied 15% over the period together with IWM expit Bua XLI Mar-17 ATM call conditional on EEM<Q5% at expity 44.Nov-17 0.89% 0% 17-Mar-17 EEM has rallied 15% over the period together with XLI Buy GLD Mar-17 116 call, sell Jun-17 127 call BuJant? 1% 031% 17-Mar-17 While GLD rallied strongly earlier in the life ofthe trade, it recently retreated at the time of expiry with GLD 87bps above the lower strike, the short call is worth 56bps ‘ Bankof America 24 Global Equity Volatility Insights | 20 June 2017 Merril Lynch HOUSE_OVERSIGHT_014995
February 7, 2026 at 4:14 PM
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expired and Topix Insurance rose 9.5% over the period Buy TPNBNK 105-120% call spread, short 85% put 14-Nov-16 1.85% 10.60% 13-Jan-17 Option expired and Topix Banks rose 15.6% over the period Buy HSBC Jan-17 105% call, Sell HSP 105% call 14-Nov-16 0.52% 4.98% 26-Jan-17 Option expired; HSBC out-performed HSP on the upside Buy SXSE +Dect9/-Dect8 div future spread 40-16 €7.0 €42 6 Feb-17 Close position given sudden SXSE rally and Dec'8 div future will lose equity beta ‘Own Nifty Mart7 call to position for budget surprise QBeJan-17 0.67% 2.15% — GFeb-17 Nifty was up 4.9% over the period on the back of a positive budget announcement Buy HSI Feb17 23600 call QJan-17 0.48% == 1.09% + 13-Feb-17 Close position. HSI was up 4.9% over the period Buy AMP AU 23-Feb-17 95% puts 30-Jan-17 1.85% 0.27% += 13-Feb-17 Unwind the put option post the earings result Buy SUN AU 23-Feb-17 95% puts 30-Jan-17 1.39% 0.08% —13-Feb-17 Unwind the put option post the earnings result Buy 1x V2X Feb17 19 calls, sell 0.85x V2X Mar17 futures 17-Jan-17 -16.1v —-14.32v_Feb-17 expiry Unwind as the Febt7 call expired Buy CBA AU 23-Feb-17 95% puts 30-Jan-17 0.76% 0.00% — 21-Feb-17 Unwind the put option post the earings result Overwrite WES AU 23-Feb-17 103% calls 30-Jan-17 0.87% —-1.20% —21-Feb-17 Unwind the put option post the earings result The Apr future has already richened significantly vs. the May future. Prefer V2X May long May call Long V2X Apr future, short V2X May future SJan-t17 0.45 455 2A-Feb-17 itt short Apr put as. French herlge instead. : aiid Buy i: espe Dect? 3250 cals, sel. 23xEURIPY Dec- 5. 1 gag 3.20% 2a FebelT Unwind ahead of French elections as political uncertainty can weigh on the EUR Buy NKY Dect? 19500 call, short Mar17 18000 call 3Oct-16 0.58% “1.82% — 3Mar-17 Unwind the option before the Mar-17 expiry Buy NKY Mar17-Dect7 17000 strike FVA 30ct-16 20.2% 21.6% © 3Mar-17 Unwind the option before the Mar-17 expiry Buy TPNBNK Mart? 1x1.5 180/170 put ratio Q-Jan-17
February 7, 2026 at 4:14 PM
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105-115% call spread 2-Sep-18 1.82% 0.00% © 29-Dec-16 HSCEI call spread expires out-of-the money Buy CH Banks Dec-16 105-115% call spread 21-Sep-16 2.05% 0.00% —-29-Dec-16 Chinese Banks call spread expires out-of-the money Buy Best-of TWSE,KOSPI2,HSCEI Deco16 95% put 10-Oct-16 0.90% 0.00% — 29-Dec-16 The best performing index (KOSPI2) fell less than 5% over the period Buy HSCEI Dec16 9800 call with a 10600 knock-out TNov-16 1.00% 0.00% © 29-Dec-16 HSCEI knock-out call expires out-of-the money Sell Samsung Jan17 90% put, buy KOSPI2 96% put 17-Oct-16 0.00% 0.00% — 12-Jan-17 Both legs expire out-of-the money. The relative value trade has a zero profit & loss Buy an XOP Jan-17 45 call QAug-16 1.4% 0.00% 20-Jan-17 Call expired out-of-the money at expiry Buy an XLE Jan-17 ATM call with 115% knock-in 22-Aug-16 2.5% 0.0% 20-Jan-17 Call expires in-the-money but the barrier was not breached at expiry Buy an XLE over SPX Jan-17 ATM outperormance call 9» aa 4g a9, i, Wien? Energy equity outperformed the overall equity market while both were up by the time the contingent on SPX up at expiry outperformance call expired Buy XLP Jan-17 52/49 put spread 19-Sep-16 1.4% 0.00% — Jan-17 expiry Both legs expire out-of-the money Buy a 6M ATM best-of put on SPX & TLT 18-Jul-16 0.8% 0.00% 6 months Put expired out-of-the money as the S&P500 ended Buy LLY Jan-17 80/90 1x2. CS 11-Oct-16 1.8% 0.00% Jan-17 expiry _Both legs expire out-of-the money Buy LLY Jan-17 80/85 CS with 90 KI on upperleg 11-Oct-16 2.4% 0.00% Jan-17 expiry Both legs expire out-of-the money Buy ZTS Jan-17 46/50 bullish risk reversal 11-Oct-16 2.6% 7.4% Jan-17 expiry Both legs expire in-of-the money Buy ZTS Jan-17 46/50/55 call spread collar 17-Oct-16 1.4% 74% — Jan-17 expiry The 46 call and 50 call expire in-the-money Buy an EWZ Jan-17 40 call 24-Oct-18 3.1% 0.00% Jan-17 expiry Call expired out-of:the money at expiry Buy TPINSU 105-120% call spread, short 85% put 14-Nov-16 1.75% 4.50% — 18-Jan-17 Option
February 7, 2026 at 4:14 PM
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Table 10: Summary of closed trades as of 19-Jun-17 Open Open Close Trade Description Date Level Level CloseDate Rationale Buy HSI Oct-16 102% call, Sell HSP 105% call 19-Sep-16 0.60% 0.00% 28-Oct-16 HSP has under-performed HSI by 1.8% but both options expire out-of-the money SHOE HCUSOSMASURUCERG2SKEPAMORdtad AGG © tom «= “OOO. ANE The number of long SXEP calls per short USO puts historia high, Leverage commediy and equity strategists’ views on oil and the Oil & Gas sector Sell Dec16 SXDP 635 puts, buy 0.6x Dect6 SX7E 110 calls 7-Nov-16 0.00% 1.28% 11-Nov-16 Tactical option trade ahead of US elections Long 0.5x V2X Nov16 future, short 0.5x V2X Jan-17 future 11-Jul-16 0.20 vols -1.19.vols Nov-16 expiry Hedge further Brexit fallout, Italian bank & referendum risk. Buy NIFTY Nov16 95/105 strangle outright 6Sep-16 1.63% 6.36% 21-Nov-16 Close position as NIFTY has fallen 11.4% and we are approaching the expiry Buy H-shares w/ SZ-A & buy HSCEI Dec16 put 22-Aug-16 190% 872% — S-Dec-16 Close position as the Shenzhen HK connect has launched on 5-Dec-16 Buy HK small-cap & buy HSCEI Dect6 put 22-Aug-16 1.90% 6.76% — S-Dec-16 Close position as the Shenzhen HK connect has launched on 5-Dec-16 Buy 1.32x EFA US 2M 25d put, sell 1x SXSE 9M 25d pUtfOr 9» a 45 oun 0.00% 22Now16 Own EFA puts vs ESTXS0 puts to beneft rom any increase in quantitative fue risk in Japan near O upfront premium and post-Brexit uncertainty Buy 26x SSE SM TiO sell SXSESMOMM puto 95 ie Gti «= omy «© Nod Low vol, high skew combo makes ESTXS0 levered riskies attractive near 0 upfront premium Sell 1M 95%f SXSE put and buy 1M 105%f SXSE call «31-Oct-16 0.40% 0.00% —1-Dec-16 Generate income in range-bound markets, benefiting from high ESTX50 skew Buy KOSPI2 Dect6 95% put, sell SRW 97.4% put 17-Oct-16 0.00% 0.00% — 8-Dec-16 Both legs expire out-of-the money at expiry Buy HSCEI Dec16 95% put, sell 2822 HK 94.8% put 12-Sep-16 0.00% 0.00% — 29-Dec-16 Both legs expire out-of-the money Buy HSCEI Deo-16
February 7, 2026 at 4:14 PM