From: Richard Kahn • To: "Jeffrey E." <[email protected]> Subject: Fwd: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Date: Tue, 07 Apr 2015 21:45:56 +0000 Attachments: Short_WTI_Vol_II_Guide_Final_22Aug.pdf Inline-Images: image005.png; image001.png; image002.gif attached is explanation per Daniel on WTI straddle trade unwind it appears from explanation attached and conversation that Bid to Mid portion (109,432.92) was not a payment to DB as a commission but rather transaction cost to unwind hedge i gave both Daniel and Vahe a hard time about another bad trade on their behalf total final payment 152,705.94 please advise if ok to pay from SFL tomorrow thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 tel 212-971-1306 fax 646-350-0954 cel Begin forwarded message: From: Daniel Sabba > To: Vahe Stepanian < >, Richard Kahn < > Cc: Jeanne Brennan < >, Ariane Dwyer >, Darren Indyke <->, Paul Morris < > Subject: RE: Trade Recap - 4/2/2015 - DB Commodity WTI Short Volatility II Index [C] Date: April 7, 2015 at 5:37:51 PM EDT Classification: Confidential Richard and Jeanne, Thank you for the call. Per our conversation, the $124,704.68 bid/offer cost referenced in the previous email can be broken down as follows: • Net vega (for the three WTI straddles the index references): $58,209 • Implied volatility (for the three listed WTI straddles the index references): —47% • Bid to mid: formulaically (per page 4 of attached index guide - excerpt below): 4% * vol = 4% * 47% = 1.88% EFTA01203659