Illegal Activity
none
Blackmail
none
Date
2015-02-03
Document Type
email
Model
gemini-2.0-flash-001
Processed
2026-02-07T18:41
Summary
This email forwards an analysis of a short crude vol strategy, discussing its performance since January 2015 and its sensitivity to oil price volatility. The analysis indicates that the strategy has lost money due to higher than expected realized volatility.
Metadata
- Subject
- Fw: short crude vol strategy - follow-up analysis [I]
- Sender
- Paul Mor
- Recipients
- Stewart 0ldfield
- Document ID
- DB-SDNY-0060355
- Date
- 2015-02-03
Relationships 2
| Entity 1 | Relationship | Entity 2 | Description |
|---|---|---|---|
| Daniel Sabba | email correspondence | Jeffrey E. | Daniel Sabba sent an email to Jeffrey E. regarding a short crude vol strategy. |
| Paul Mor | email correspondence | Stewart 0ldfield | Paul Mor forwarded an email to Stewart 0ldfield regarding a short crude vol strategy. |
Notable Quotes 2
As discussed, sharp moves up in oil (WTI is up 6% intraday today) are also negative to a short straddle strategy that is delta hedged daily, as it causes realized vol to increase, potentially beyond expectations.
The index has lost money basically because realized vol has been much higher than implied.
Financial Information
Amounts:-4.7%6%
Assets:
- oil (WTI)
Transactions:
- short crude vol strategy
- short straddle strategy
Raw Analysis JSON
click to expand
Themes
Financial transactions/money flowBusiness dealings
Text Analysis
- Tone
- Professional
- Purpose
- To provide an analysis of the performance of a short crude vol strategy and discuss its potential risks and benefits.
- Significance
- The document discusses the performance of a specific trading strategy and its sensitivity to market volatility.
File Info
- File Name
- EFTA01368556.txt
- Dataset
- dataset_10
- Type
- Text
- Model
- gemini-2.0-flash-001
- Processed
- 2026-02-07T18:41:51.893147
- DOJ Source
- View on DOJ