Table 7: Summary of closed trades as of 5-Jun-17 Open Open Close Trade Description Date Level Level CloseDate Rationale Long 2x SPX Aug-17 2200 puts, short 1x SPX Aug-17 2350 94-Feb.17 0.10% 0.01% 17-Mar-17 SPX has traded range bound since inception of the trade, still the carry has been minimal, close put out or roll the position Own Nifty Mar17 strangle heading into 5 events 3-Jan-17 1.50% 3.96% 20-Mar-17 Unwind the option post the state election event and Close position Long XLF Jun17 24 call, short SX7E Jun17 120 call 2-Dec-16 0.74% 5.88% 27-Mar-17 The call vs call relative value trade is now riskier given the potential reversal in US reflation trades and the potential for European equities to rally in a French election market-favourable outcome. Buy Tencent Mar-17 105% calls 27-Feb-17 1.15% 231% 27-Mar-17 Unwind the position for the Tencent earnings Buy HSCEI Mar17 105% call contingent SPX <2200 24-Oct-16 1.20% 0.00% 30-Mar-17 Option expired; HSCEI was up 5.1% but the SPX ended above 2200 Buy HSCEI Mar17 9600 put vs short Sep 17 8200 put 17-Jan-17 -0.05% -0.78% 30-Mar-17 Unwind post Mar-17 expiry; the short Sep17 put helped reduce the hedging cost Buy HSCEI Mar-17 1x1.5 10800-11200 call ratio 21-Feb-17 0.57% 0.00% 30-Mar-17 Option expired; HSCEI stayed flat and failed to rally above the 10800 call strike Long SXSE Apr17 3300 call, short SXSE Dec17 3450 call 30-Jan-17 0.60% -0.18% 21-Apr-17 Aprt7 option expired so we unwind the entire trade as planned Sat SHOE May17 3350 calls, long 2x SXSEMay17 = 21-Feb-17 0.00% 0.60% 24-Apr-17 Unwind before May expiry following the large 4% SX5E move on 24-Apr, given lack of near term calls catalysts See anh ApriT 95% put conditional on US 10Y CMS > 14-Nov-16 0.78% 0% 21-Apr-17 In Nov-16, we recommended remaining long equities with cheap hedges. The hedge expires out 5% at maturi ° M of the money, while SPX has returned 8.7% for the period Long SPX Apr17 2300 call, short SPX Dect? 2400 call 30-Jan-17 -0.80% 0.71% = 21-Apr-17 T