# Profoundd archive — Epstein Files
# Bates number: EFTA01116955
# Title:        Deutsche Bank
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# Tags:         epstein, doj, dataset-9, image-described
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=== SUMMARY ===
Deutsche Bank Equities AAPL Trade Idea November 2014 Pc ft, pe,e0m, For U.S. Key Client Partners ("KCP") Clients Only ' • • roup Institutional Use Only — Not for Retail Distribution EFTA01116955 AAPL's daily stock return has exhibited statistically significant correlation to the day of the week since 2011 Monday's outperformance is greater and more statistically significant than Friday's underperformance Deutsche Bank Equities Apple stock price performance Average stock price performance by day


=== EXTRACTED TEXT ===
Deutsche Bank 
Equities 
AAPL Trade Idea 
November 2014 
Pc ft, pe,e0m, 
For U.S. Key Client Partners ("KCP") Clients Only 
' • • roup 
Institutional Use Only — Not for Retail Distribution 
EFTA01116955
AAPL's daily stock return 
has exhibited statistically 
significant correlation to 
the day of the week since 
2011 
Monday's outperformance 
is greater and more 
statistically significant 
than Friday's 
underperformance 
Deutsche Bank 
Equities Apple stock price performance 
Average stock price performance by day of week 
0.7% 2008 to 2010 
0.5% 
0.3% 
0.1% 
(0.1%) 
(0.3%) 
0.7% 
0.5% - 
0.3% - 
0.1% - •APPle 
•S&P 500 
0.25% 
0.20% 
I ° °6-A L., 0.16% 
0.11% 
(0.00%) 
Monday Tuesday 
0.58% (0.04%) 
Wednesday Thursday 
2011 to Present 
0.30% 
(0.1%) - (0.05%) 
(0.3%) 19% (0.17%) 0.06%) 
Friday 
•Apple 
• S&P 500 
0.07% 
(0.02%) 
(0.01%) (0.13%) (0.16%)0.10% 
Monday Tuesday Wednesday Thursday Friday I 
Statistical significance over time 
— To test for statistical significance, we ran yearly 
regressions of AAPL's daily stock returns versus whether 
the day was a Friday or Monday 
— We calculated the p-value for the day variable 
— The p-value is a measure of the probability that the 
return is not correlated with the variable 
— For example, a p-value of 0.01 means there's only a 1% 
chance that the return is not correlated with the variable 
— A lower p-value means more statistical significance 
— Monday's p-values declined since 2008 and the variable 
showed very strong statistical significance since 2011 
— Friday's p-values also declined, but to a lesser extent and 
have increased again in 2013 and 2014 
0.80 
0.70 
0.60 
0.50 
0. 0.40 
0.30 
0.20 
0.10 
0.00 Weekly options in 
o AAPL 
(June 2010) Zrr 
0 
O O 
C•I 
0 0 O 
e tp-sb r6) et q. .Fticlay —a—Monday ti
Source: Bloomberg (for stock prices. dividend history, and index prices). as of November 3. 2014 "it 
O 
gr; 
2 
EFTA01116956
Trading this pattern would 
have resulted in 
significant gains with 
limited downside risk 
This analysis looks at 
trading AAPL stock and 
an equivalent value of the 
S&P 500 beginning in 
2008 
Going long AAPL / short 
S&P 500 only on 
Mondays produces the 
largest gain — over 2x a 
long/short strategy held 
over all days and over 3x 
a short AAPUlong S&P 
500 strategy on Fridays 
Combining the two 
strategies (Monday and 
Friday) results in even 
greater returns 
Deutsche Bank 
Equities Apple stock price performance (continued) 
Value of Monday's outperformance vs S&P 500 
900 
800 
700 
600 -
500 
400 
300 
200 
100 
0 
Oe' Weekly options in 
AAPL list 
(June 2010) 
C; C; Gt. PO, ci.") 
004 O46 °es Oes
Combined Friday / Monday performance vs S&P 500 
900 
800 
700 
600 
500 Weeky options in 
400 AAPL 1;st 
300 (June 2010) 
200 
100 
0 ! 
CS\ @ 0 ,\I\ <k 0 
c./ Oec 
O121 Oe' C. 
ce oeci OeG Value of Friday's underperformance vs S&P 500 I 
900 
800 -
700 -
600 -
500 - Weekly options en 
400 - AAPL lest 
(June 2010) 
300 - 
200 - 
A A A 41,100 -0•"•••sarsa 
0 
A t,
c; ; it; eaci 
ge ge ge Q&
Long AAPL and short S&P 500 
900 - 
800 -
700 - 
600 -
500 - 
400 - Weeky options it 
AAPL Sst 
300 - (June 20': 
200 - 
100 
0 
6;:, 0 NA ".. 
Oes° OeCi 004
06:Oci 
e' 004
This analysis locks at trading equal amounts of AAPL and S&P 500 from January 2.2008 till November 3. 2014. The returns of each strategy are compounded 
(ie. returns are reinvested back into the strategy) and both stock and index returns are calculated on a total return basis (ie. assuming dividends are reinvested). 
Assumes no friction costs. 3 
EFTA01116957
Weekly options in AAPL 
stock began to be listed in 
June 2010 
This coincides roughly 
with the development of 
the Friday / Monday 
trading pattem Overview of Weekly options 
History 
Listing 
Purpose 
Trading • The CBOE launched Weekly options in October 2005. These were originally only on the 
S&P500 
• The CBOE expanded the product in June 2010 to include more underlyings 
• Since June 2010, Weekly options are listed before the open on Thursdays 
• Currently, the AAPL Weeklys are part of the "expanded" program and have 6 expirations. A 
new expiration is added every week 
• When the CBOE introduced Weeklys, it stated that they would provide an "efficient way to 
trade options specifically around certain news or events - such as economic data or earnings 
announcements" 
• Trading options instead of stock is a convenient way to lever positions around events 
• Unlike the broader market, trading in AAPL options is much more skewed towards calls than 
puts 
• We have found little evidence of institutional trading in these options 
• This means the majority of trading is done by: 
—High frequency traders 
—Retail investors 
Deutsche Bank 
Equities 4 
EFTA01116958
The CBOE has data on 
each option trade and 
designates the buyer and 
seller of options as either 
"customer" or -firm". We 
attribute "customer" 
transactions to directional 
retail investors, and "firm" 
transactions to hedged 
market participants 
The dataset has certain 
limitations: 
- The CBOE is only one 
of several exchanges 
that list options (with 
-20% of total volume) 
- Market maker trades 
are excluded 
- The data does not have 
time stamps (which 
would have allowed us 
to see whether trading 
is clustered during a 
certain part of the day 
and compare this to the 
stock's intraday 
behavior) 
Deutsche Bank 
Equities Analysis of OBOE AAPL option trading data(a) 
Summary activity of directional market participants (i.e., retail investors) 
- Since the Monday / Friday phenomenon 
coincides with the listing of weekly options, 
we focused on options with the shortest expiry 
— Consistent with a hypothesis that Monday's 
outperformance is due, at least in part, to 
retail investors initiating option positions, the 
vast majority of directional option trades on 
Mondays were opening transactions 
— In addition, the majority of the positions that 
were opened were bullish transactions, 
which would have caused a hedged market 
participant to buy shares 
— By Friday, the majority of option trades were 
closing transactions 
- Since the majority of option trades were 
bullish positions, closing these positions 
would have caused a hedged market 
participant to sell shares 
(a) Source: www.marketelataexpress.com. 
(b) From July 2010 to February 2014. Based on options with the shortest expiry. Opening versus closing transactions for 
directional market participantsm 
70% 
65% 
60% 
it 55% 
2 50% 
45% 
40°A. 
° 35% 
30% 
25% 
201/ 
Monday Tuesday Wednesday Thursday Friday 
% of option trades that opened positions 
- — %of option trades that closed positions 
Bullish opens versus bearish opens for 
directional market participantsm 
50% 
40% 
it it 30% 
a 20% 
10% 
0°/ L Friday Monday Tuesday Wednesday Thursday 
■ Bullish opens (buy calls / sell puts) • Bearish opens (sell calls / buy puts) 
5 
EFTA01116959
DB analyzed every AAPL 
listed option trade that 
occurred from January 
2013 to February 2014 
These trades were 
classified as bullish or 
bearish depending on 
whether they traded at the 
bid or the offer. So, for 
example, a call that traded 
on the offer side was 
deemed a bullish trade. 
We ignored transactions 
that traded at mid market 
We then delta-weight this 
activity to capture a 
directional view of the 
overall options market Net "delta" in AAPL listed option market 
— Option traders will hedge their positions by trading in the underlying stock to maintain a "delta" neutral 
position to stock price performance (i.e., sell calls and buy stock such that they are indifferent to changes 
in the stock price) 
— Looking at the net deltas of actual option activity shows that Fridays are more likely to see selling activity, 
while Mondays are more likely to see buying activity 
ANerage net delta 
On shares) % of days negative % of days positive 
Friday (99.292) 63.8% 36.2% 
Monday 131.618 39.7% 60.3% 
Other (373.363) 56.0% 44.0% 
— Even though the amount of stock is small relative to Apple's ADTV of 10 - 15mm shares, there is a strong 
correlation between this activity and the stock return on the relevant day of the week(a) 
Fridays — return vs net delta 
Net delta (sold) bought 0 
Deutsche Bank 
Equities R2= 0.7548 
500 1.000 Mondays — return vs net delta 
Net data (sold) bought tc 
CoOther days — return vs net delta(b)
5% 
4% 
3% 
2% 
1% 
0% 
(1%) • 
• 
• • **6 • 
• • • (23t) 
(3%) 
(4%) 
(1,000) (500) • 
O 500 1.000 
Net della (sold) bought 
Source: tradealartcom 
(a) Based on January 1, 2013 to February 14. 2014 
(b) The dataset includes some outliers (e.g.. earnings releases) that depress the R2. Excluding datapoints that have more than lmm shares of net delta or 
absolute value of the return of greater than 5% results in a 0.57 R26 
EFTA01116960
60-day moving average volume in options (in 000s) 
Trading in AAPL options 1200
(calls and puts) has 
doubled from 2010 to 
June 2014 
The underlying shares 
that these options 
represent are larger than 
the stock volume — delta 
adjusted, though, the 
volume would be about 
25-50% based on recent 
data 1000 
Apple's open interest as a 
percent of its outstanding 
stock is higher than any 
other S&P 100 company 
and its ratio of calls to 
puts is higher than the 
broader market as well as 
the average S&P 100 
company 
Deutsche Bank 
Equities 800 
600 
400 
200 
0 
Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 
Apple 
Ratio of calls to puts Jan-14 AAPL option volume analysis(a) 
Weekbe option:, 
AAPL Asf 
(June 2010) 
S8P500 s 
400% 
a a 
300% I 
60-day moving average of Apple stock and option 
volume (based on underlying shares) 
600% 
500% 
a ° 200% 
1.80x 
1.60x 
1.40x 
1.20x 
1.00x 
0.80x 
0.60x 
0.40x 
0.20x 
0.00x 1.18x 1.66x 
1.43x 
1 1.20x .28x
0.69x 
0.59x 1.34x 
0 61 0.60 0.58x i 1.47x 
0.61x 
I 0.56x 
2008 2009 2010 2011 2012 2013 2014 
•AAPL •S&P500 YTD 100% 
0% 
Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 
-- Shares underlying options — AAPL stock volume 
Top 10 S&P 100 companies by option open interest(b) 11.fueic(/ upt,: ns 
AAPL kst 
(June 20:0 60 
50 
40 
0 
Rack OEXlndex 
1 AAPL 1hV Equty Awe it 5479 27.4% 
2 FB UW Equily Fxebxk Inc $173 16.0% 
3 GOOG OW Equty Gorge Inc 5404 13.1% 
4 GAI UN Equhy General lAotom Co $57 11.9% 
5 CAT UN &iry Caterpillar he $61 11.5% 
6 APC UN Equty Anadarko Petroleum Cap 342 10.3% 
7 AIAZN LW Equity Amazon.ccm he $160 9.2% 
8 FCX UN Equity FreeportAlcMoRan Copper 8 Gdd he $34 8.7% 
9 HAL UN Ecady Hanlon Co 346 7.9% 
10 EBAY UW Eel* °Bay Inc $71 7.6% 
Menge - to 10 12.4% 
Menge all 100 3.7% Company MaMei cap Oman open 
[merest as % Ra:o ol calls 
ol shares to pits 
Source: Bloomberg. 
(a) As of June 6. 2014 
(b) Noe averaged over any time palled 1.49x 
1.61x 
Lott 
Lou 
216x 
0.99x 
1.01x 
1.28x 
1.81x 
1.37x 
1.32a 
7 
EFTA01116961
Summary / 
— Apple's stock price does exhibit an abnormal trading pattern on Monday and Friday 
— Monday's outperformance is more significant, and more consistent, than Friday's underperformance 
— The pattern developed around 2011 coinciding with the listing of Weekly options on AAPL stock 
— AAPL option trading is more significant than the option trading for other large companies 
— Weekly options increased the amount of AAPL option trading volume 
— The net "delta" of the options market (limited to what we classify as directional transactions), while small 
relative to total liquidity, does correlate to the stock price performance 
— Given all the above, along with the ratio of calls to puts, and the significant retail element to the listed 
option market, we suspect the abnormal trading pattern could be explained by the following activity: 
— Investors selling puts and strangles (a combination of out-of-the-money puts and calls) to generate 
income 
— Investors buying calls as a levered long equity investment 
— Assuming this is the case, hedged market participants will be short calls on a net basis. Such participants 
will need to purchase stock to hedge their stock price risk 
— This may result in hedged investors purchasing stock on Mondays as positions are initiated, while selling 
stock as their delta erodes on Fridays 
— The change in open interest supports this as the open interest increases the most on Mondays and 
decreases the most on Fridays 
Deutsche Bank 
Equities a 
EFTA01116962
DB proposes a strategy 
referencing the combined 
return of the Friday and 
Monday trades with gains 
or losses reinvested in the 
strategy on a daily basis 
(alternatively, a strategy 
on Monday-only could 
also be implemented) 
Strategy will use SPY, the 
SPDR S&P 500 ETF, to 
replicate the S&P 500 
total return 
Strategy assumes 
dividends are reinvested 
on the ex-date 
Strategy incorporates a 
transaction cost of 
0.002% per execution on 
notional amount executed 
Deutsche Bank 
Equities Strategy Implementation 
Monday outperformance vs SPY 
800 -
700 
600 
500 
400 
300 
200 
100 
0
mA O Ann_ agium Volatility Sharpe Batto 
138 to '10 11.5% 14.2% 0.81 
'11 to Present 30.6% 11.5% 2.67 
0z)
o° O°Q- O° o° o° 
Combined Friday / Monday performance vs SPY 
800 
700 -
600 -
500 -
400 -
300 
200 -
100 
0 
5§ 
eP Ann. Return Volatility ShaiReitali0 
408 to 1 0 12.8% 19.9% 0.64 
'11 to Present 48.2% 12.5% 3.86 
4:$ 
4' O.c. ect OectI 
Friday underperformance vs SPY 
800 
700 Ann. Return Volatility Shame Ratio 
600 '08 to '10 1.2% 
'11 to Present 13.4% 14.6% 
8.4% 0.08 
1.59 
500 
400 
300 
200 
100 
0 
O O% O cf cf O" 
O° O"
Annual Returns ' 
O° O°Cr O° O°
80% 
70% -
60% -
50% -
40% -
30% - 
10 - LI% 20%%
0 - 
a -
-20%  
2008 2009 • Monday 
• Friday 
• Combined 
2014 2010 2011 2012 2013 YTD 
Monday 
Friday 
Combined -7.6% 
16.8% 
8.0% 27.3% 
-9.5% 
15.2% 18.0% 
-1.7% 
15.9% 33.1% 
2.5% 
36.5% 47.0% 
19.5% 
75.7% 23.5% 
27.4% 
57.4% 32.8% 
-0.1% 
32.7% 
This Strategy assumes trading an equal dollar amount long and short (or short and long) of AAPL and SPY on each execution day and reinvesting the gains or 
tosses in the strategy. Source: Deutsche Bank. Bloomberg Finance L.P.. as of November 3. 2014 9 
EFTA01116963
Disclaimer 
I 
Deutsche Bank (which includes Deutsche Bank AG, its branches and all affiliated companies) is not acting as your or any of your agents' (collectively, "You" or "Your") 
financial adviser, consultant or fiduciary with respect to any information provided in the materials attached hereto. Deutsche Bank does not provide investment, legal, tax 
or accounting advice and does not express any opinion or recommendation whatsoever as to any strategies, products or any other information presented in the 
materials. Information contained herein is being provided solely on the basis that it has not and will not form a primary basis for any investment decision, and does not 
constitute a recommendation, or express an opinion on, any product or service or any trading strategy. 
The information contained herein is provided solely for Your internal use on the basis that You have such knowledge and experience in financial and business matters to be capable of 
evaluating the merits and risks associated with such information. Investments in products and strategies described herein could incur substantial loss and may not be suitable for all 
investors. Other alternatives may be available, including through other dealers. You should make an independent assessment, in consultation with Your tax, legal, accounting 
and other advisors, of the information herein in light of Your own objectives and circumstances. The ultimate responsibility for Your decision to rely on information contained 
herein rests solely with You. 
The information herein has been compiled from sources believed to be reliable, including third party depositories and/or other information vendor sources, and may include calculations 
based on algorithms (including inputs. methodology and output) that are designed. maintained and/or managed by third parties. Deutsche Bank does not guarantee the accuracy 
and/or completeness of the information contained herein and shall not be held liable for any errors. omissions or misinterpretations. 
Deutsche Bank has no obligation to update. modify or amend the information provided herein. Deutsche Bank may engage in securities transactions, on a proprietary basis or 
otherwise, in a manner that is inconsistent with information that is contained in the attached materials. 
DEUTSCHE BANK SPECIFICALLY DISCLAIMS ALL LIABILITY FOR ANY DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL OR OTHER LOSSES OR DAMAGES INCLUDING 
LOSS OF PROFITS INCURRED BY YOU OR ANY THIRD PARTY THAT MAY ARISE FROM ANY RELIANCE ON THE INFORMATION CONTAINED IN THESE MATERIALS. 
The distribution of this document and availability of these products and services in certain jurisdictions may be restricted by law. You may not distribute this document. in whole or in 
part. without our express written permission. DB is authorized under German Banking Law (competent authority: BaFin - Federal Financial Supervising Authority) and regulated by the 
Financial Services Authority for the conduct of UK business. In the US this document is approved and or distributed by Deutsche Bank Securities Inc.. a member of the 
NYSE.FINRA.NFA and SIPC. 
Past Performance 
The past performance of securities. indexes or other instruments referred to herein does not guarantee or predict future performance. 
Deutsche Bank may hold positions 
We or our affiliates or persons associated with us or such affiliates may: maintain a long or short position in securities referred to herein, or in related futures or options, purchase or 
sell. make a market in. or engage in any other transaction involving such securities, and earn brokerage or other compensation. 
019910 111114 
Deutsche Bank 
Equities 10 
EFTA01116964
Disclaimer 
BacktestiN 
The backtesting results enclosed herein do not represent historical prices. The models reflects historical payout and does not include related costs or tax implications. The back test 
does not delineate how prices have varied historically, and does not include volatility or interest rate assumptions. 
Please refer to earlier slides in the presentation for structure key terms. Back testing does not represent historical prices. 
Back tested, performance results discussed herein have inherent limitations. Unlike an actual performance record based on trading actual client portfolios. sinulated results are 
achieved by means of the retroactive application of a back tested model itself designed with the benefit of hindsight. Taking into account historical events the back testing of 
performance also differs from actual account performance because an actual investment strategy may be adjusted any time. for any reason, including a response to material, 
economic or market factors. The back tested performance includes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction of advisory 
fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. No representation is made that any trading strategy or account will or is 
likely to achieve profits or losses similar to those shown. Alternative modeling techniques or assumptions might produce significantly different results and prove to be more appropriate. 
Past hypothetical backrest results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially. from the analysis. Results represent the 
performance of each basket on a back tested basis. tied to a structure whose economics are determined by current economic factors such as current volatilities and interest rates. 
There is no guarantee that a similar structure would have been available at any point in the past and that such results could have been achieved. 
Calculations of retums 
Calculations of retums on instruments referred to herein may be linked to a referenced index or interest rate. In such cases. the investments may not be suitable for persons unfamiiar 
with such index or interest rate. or unwilling or unable to bear the risks associated with the transaction. Products denominated in a currency, other than the investor's home currency, 
will be subject to changes in exchange rates. which may have an adverse effect on the value, price or income return of the products. These products may not be readily realizable 
investments and are not traded on any regulated market. The securities referred to herein involve risk. which may include interest rate. index, currency, credit, political, liquidity, time 
value. commodity and market risk and is not suitable for all investors. 
Not insured 
These instruments are not insured by the Federal Deposit Insurance Corporation (FDIC). Securities Investor Protection Corporation (SIPC). or any other U.S. governmental agency. 
These instruments are not insured by any statutory scheme or govemmental agency of the United Kingdom. The distribution of this document and availability of these products and 
services in certain jurisdictions may be restricted by law. These securities have not been registered under the United States Securities Act of 1933 and trading in the securities has not 
been approved by the United States Commodity Exchange Act, as amended. 
The Bank and affiliates 
"Deutsche Bank" means Deutsche Bank AG and its affiliated companies. as the context requires. Deutsche Bank Private Wealth Management refers to Deutsche Bank's wealth 
management activities for high-net-worth clients around the world. Deutsche Bank Alex. Brown is a division of Deutsche Bank Securities Inc. 
Deutsche Bank 
Equities 11 
EFTA01116965



=== IMAGE DESCRIPTIONS ===
[Image 1] The image appears to be a slide from a presentation, specifically focusing on an analysis of Apple Inc.'s stock option volume. The slide contains a graph with multiple lines, each representing a different time period, and a table with numerical data. The graph shows fluctuations in volume over time, with the x-axis representing dates and the y-axis representing volume. The table below the graph pr

[Image 2] The image is a slide from a presentation, likely related to financial analysis or market trends. The slide contains text and a graph. The text is too small to read clearly, but it appears to be a summary or analysis of data related to CBOE (Chicago Board Options Exchange) and Apple Inc. stock options. The graph shows a line graph with two lines, one in green and one in red, which likely represent 

[Image 3] The image shows a document with a heading that reads "DISCLAIMER." Below the heading, there is a paragraph of text which appears to be a standard disclaimer statement, typically found on websites or in contracts. The text is too small to read in detail, but it seems to be a standard disclaimer regarding the use of the website or service, including limitations on liability and the user's responsibi

[Image 4] The image appears to be a screenshot of a webpage or a digital document with a section titled "Disclaimer." The text is too small to read in detail, but it seems to be a standard disclaimer notice that one might find on a website or in a document. The text is presented in a formal, structured format, typical of legal or official notices. The background of the image is a plain, light color, which s

[Image 5] The image is a slide from a presentation, likely related to finance or investment. The slide contains text and two graphs. The text at the top reads "Net debts in AAPL listed option market." Below this, there is a paragraph of text that seems to be discussing the topic of the slide. The first graph shows a line graph with two lines, one in blue and one in orange, indicating some sort of comparison

[Image 6] The image is a slide from a presentation, specifically a bar graph titled "Strategy Implementation." The graph shows data over a period from 2005 to 2010, with bars representing different strategies or initiatives. The bars are color-coded and labeled with the names of the strategies or initiatives. The x-axis represents time, and the y-axis represents the performance or impact of the strategies.