EFTA01357461.txt Text dataset_10 View on DOJ

Illegal Activity
none
Blackmail
none
Date
2015-02-05
Document Type
email
Model
gemini-2.0-flash-001
Processed
2026-02-07T18:42
Summary
This email chain discusses a short crude vol strategy and provides further analysis on potential losses due to the difference between implied and realized volatility. Daniel Sabba sent the analysis to Jeffrey E., and Paul Morris forwarded it to Stewart Oldfield.
Metadata
Subject
Fw: short crude vol strategy - follow-up analysis [I]
Sender
Paul Morris
Recipients
Stewart 0ldfield
Document ID
DB-SDNY-0044046
Date
2015-02-05
Relationships 2
Entity 1RelationshipEntity 2Description
Daniel Sabba Business Jeffrey E. Daniel Sabba sent an email to Jeffrey E. regarding a short crude vol strategy.
Paul Morris Business Stewart 0ldfield Paul Morris forwarded an email from Daniel Sabba to Stewart Oldfield.
Notable Quotes 2
If the index had exposure only to this contract and not at all to the other contracts, and if realized vol up to expiry of this contract were also 77% then the implied-realized diff is 43%-77% = -34%. That is massive.
One would expect to lose money trading the gamma and the thesis behind the index is that generally the money you lose trading the gamma < the premium collected. Since 13 Jan, on average the opposite has been true.
Financial Information
Transactions:
  • Short crude vol strategy
  • Selling 3 straddles (collecting premium)
  • Delta hedges daily at the close
Raw Analysis JSON click to expand
Themes
Financial transactions/money flowBusiness dealings
People 6
Paul MorrisStewart 0ldfieldDaniel SabbaJeffrey E.Vahe StepanianRichard Kahn
Text Analysis
Tone
Professional
Purpose
To provide further analysis on a short crude vol strategy and discuss it further.
Significance
The email discusses potential losses associated with the short crude vol strategy due to the difference between implied and realized volatility.
File Info
File Name
EFTA01357461.txt
Dataset
dataset_10
Type
Text
Model
gemini-2.0-flash-001
Processed
2026-02-07T18:42:35.709027
DOJ Source
View on DOJ