DB analyzed every AAPL
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
Deutsche Bank
Eti.tr-F Net "delta" in AAPL listed option market
I
— 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
A \erage net delta
(in shares) % of days negative % of days positRe
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
5%
4%
3%
2%
1%
0% • -
•• cc
(1%)
(2%)
(3%)
(4%)
(1,000) (500) • •
• • • •
•
0 •
It' • 0.7548
500
Not dolts (sold) bought 1,000 Mondays — return vs net delta Other days — return vs net delta(b)
5%
4%
3%
2% •
• •
Net delta (sold) bought 1.000 5%
4%
3%
2%
1%
et o
1%() ft ca s • ••• . (2%) , • • • •• • •
(3%) •
(4%)
(1O00) •
2218
(500) 0 500 1,000
Net dolts (sold) bought
Source: trade-alert.com
(a) Based on January 1, 2013 to February 14, 2014
(b) The dataset includes some outliers (e.g.. earnings releases) that depress the R. Excluding datapoints that have more than 1mm shares of net delta or
absolute value of the return of greater than 5% results in a 0.57 R26
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL SDNY_GM_00201838 DB-SDNY-0055654
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