UBS Investment Bank

Sales and Trading Commentary

$ UBS ____Not a product of the U35

Research department

UBS Market Internal Dynamic Model.

Deep-Dive Models 101 dé 102

October 1,7 2019

For Broker/Dealer and Qualified Institutional Buyer (QIB) Use Only.

Presentation Not Approved for Retail Investors.

U5 {curry Derivafives Strategy

Rebecca Cheong (___g__)rebecca.cheon@ubs.com

Managing Director, Head ofAmericas Equity Derivatives Strategy

Megan Gordon (JJ____)mean.ordon@ubs.com

Ana/ys,t Americas Equity Derivatives Strategy
Deep Dive on Equity Derivatives Market Internal Dynamic Model

Location

UBS Oflice, 1285 Avenue of the Amen'cas, New York

Date / Tlm'e

Thursday, October 17, 2019

2:00 pm. — 6:00 pm.

A_g__enda

2:00 — 3:15 pm. Model 101

3: 15 — 3:30 pm. Coffee break

3:30 — 4:45 pm. Model 102

4:45 — 6:00 pm. Cocktafl reception

$UBS
Table of Contents

Section 1: Model 101 .............................................................

Section 2: Model 102 ............................................................

Appendix: Past Recommendations — 2017 to 2019 ..........................

$UBS
Section 1

Model 101

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$UBS
For Illustrative Purposes Only
Observation 1 — A Variety of Investment Goals
E__J_arnins ____yMacro
Econom ____M°mentum ____yVolatiIit

Event Cross-Asset Risk Diversification _q__y_____Euit

Risk Premium
Allocation

Theme

$UBS
For Illustrative Purposes Only
Observation 2 — 100 Years of Similar Training

FF
Fmanclal
Modelingflaluation
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gsUBs
For Illustrative Purposes Only
Observation 5 — Another Way to Categorize Investors

Short-Term focused Systematic / Rule- Pension Funds Asset Managers

Hedge Funds Based Strategies

Volatility Sellers Endowments Long-Term Focused

Leveraged / Inverse
Funds
ETFs

Market Makers Retail Investors Family Offices

Day Traders
gsUBs
For Illustratlve Purposes Only
Observation 4 — Size ¢ Rebalancing Impact

_p__Max
Seed of
C___g___yhane
in 1 Da _—___qutimated
Rebalancin

$20 billion
l I
l i
‘

51 trillion x
l

_p—Max
Seed of
CAMin 1 Da

_—_3Esti'mated
Rebalancin

if
$400 billion; |
“

i. ‘l‘l‘
l

3% CBS
F0! liimawe Puipoze', Only
Observation 5 — Price is set by Marginal Trading (Supply vs Demand)

~ 1~ + w ,. — _ Minimal Change or
CHANGE 1: / s
_____LPositive
Catalst /n ”/ p — even Assets

I I am Bearish I am "Max Short"

\ ‘K, + "\_ .1 Buy Assets

n “
a
I am Bearish I am "Max Short"

_\ _, + ,0, _ Minimal Change or

CHANGEZ.‘
NJ___y_eative
Catalst \ even Buy Assets
\
TY.
//// \\~

/,/" \
V/," I - -W“,‘
V
\ lam Bullish —_<LaaO|mMXl-n""
w - d -
./ 'I' a,» = SellAssets
'

asUBs
Fer Iliusuatwe Purposes Only
Observation 6 — Survey at Action
SURVEY 1.‘
I am Bullish L________9_amMaXL0n""

+ s” ‘ I-I—W Bullish ¢ Buy Assets

_ ‘,"'""
fl
‘1\.

SURVEY 2:
I am Bearish I am "Max Short"

~ . v _ + x" —} Bearish¢ Sell Assets

SURVEY 3:
will bu if SPX -10/o°
___\;_I __LI
have no hede

JV"- + JV"- fl Planto Buy ¢ Buy Assets

._1\.

asUBs
For lllustraluve Purposes Only
Dislocation 1 — Leverage ¢ Conviction

-——Conviction (RHS)
PB Exp)
or UBS

uogpgAuo3
l

med
Control
as Risk

se qzms)
l
y(such

MaAoaaa
Prox
4

(31035
Leverage

'T
"VT 1’ r—fl‘ffl—T—‘T‘W’T‘flfi‘
I T‘Y—r‘T
TT‘T‘1 TTh‘T‘jfifi—Tfifi
TTTT7fi_1_'_WWWffl’Y—hT—Y—“F'V'W E'r'

Date

$UBS ll

For Illustrative Purposes Only

Dislocation 2 — Positioning i Opportunity

REAL OPPORTUNITY
REAL OPPORTUNITY
<
>
CROWDED POSITION
POSITION
REAL OPPORTUNITY

POSITION

go UBS
For Iliusiratwe Purposes Only
Disinmtion 5 — Cross—Asset Extreme Condition :t Sentiment
Dislocation 4 — Short Gamma Risk

DIFFERENTMARKETIMPACT from the SAME INITIAL MOVE

a
98 L\
Q 0
968L—
96

94

92

9O

88

86

84

82

80

$UBS
For Illustratwe‘ Purposes Only
Model Overview — A focus on Dislocation Signals

| External Catalysts l
5.?

Market Inflection Point & Large Momentum

I Internal Dynamics |

Short Gamma Stabilizing Short Gamma

Bearish / Bullish
Market Impact Market Effect Market impact
Signals

Market Systematic >l Hedged Crowded

Signals & Rule-Based Positioning Positioning
Flow Rebalancing

Investor Behavior Triggers Trigger Hedge Trigger Position

& Sentiment Rebalance Profit Take Unwind
Dislocation

asUBs
For Illustrative Purposes Only
Model Approach — Isolate, Quantify and Combine

External m
Catalysts m
3
2".
’\ 3
m
3
H
\
a

zas v-s m)
Vi
r

Systematic
Rebalancing Hedges / Crowded
Positions

$UBS 16
For Illustrative Purposes Only
 Market Internal Model

Warket
Sinals & Flow P__Josmonm"'

Corporate UBS PB Client CFTC Leveraged

EEM Implied SPX Implied Cross-Asset
Buyback Exposure Funds
Correlation Correlation Rank

Capitulation Option Open Put / Call Ratio

Intraday Seasonality Analysis Interest
Recovery Score

Sg—gstematic/Rule
Based Rebalancin

Put Cross Asset

Call
Drawdowns/
Underwriting Overwriting
Volatility

$UBS 17
For Illustrative Purposes Only
Internal Dis-equilibrium + External Opposite Shocks => Dislocation
+ve Externals Internal Dnamics
_____—_3L__Market _____veExterna|s-
Excess How Seasonality UBS PB Client Exposure FRIGta”
T_ I ow
\ lntraday GED" / L—EjVJ‘L-‘mRJAVG‘E: -:PutW©© “VL
QLV/E“:R";H'-“‘A"E:D ©\“‘Wx Call
Recovery Score R'ISk COWOI CTA Underwriting Overwriting

Option Skew
EEM Implied Put / Call Ratio
Correlation CFTC Lev
Funds
Risk Parity
Pension

SPX Implied
Correlation

WMl Opnltitoenresotpen

Capitulation
Analysis

VIX ETP Corporate Cross Asset

Buyback Drawdowns / Volatility

X C'°§:'nk’*“et E NUT» 1/ LEM

CocorruiMPCthr‘Ac E R'AG m I
go UBS
for illustratwe Purposes Only
Dislocation Detection Models

> Dislocation Risk 1 - Leverage at Conviction

o Intraday Recovery Score
Excess Flow
Systematic Fund Leverage
Prime Brokerage Leverage
Retail Flow

> Dislocation Risk 2 — Positioning at Opportunity (Crowding)

o CTA & CFTC Leveraged Fund Exposures
0 Prime Brokerage Leverage
0 Option Positions & Skew
o Capitulation Analysis

r“ Dislocation Risk 3 — Cross—Asset Extreme Condition 1 Sentiment

o VIX Cross-Asset Rank
0 SPX & EEM Implied Correlation
0 Cross Asset Drawdown / Volatility

> Dislocation Risk 4 — Short Gamma Risk

0 Systematic Strategy Rebalancing — Risk Control, Risk Parity, CTA, Put Under-writer, Call Over-writer, VIX ETF,
Risk Premia
0 Typical Offsetting Flows — Pensions, Corporate Buyback
0 Excess Flow '

asUBs 19

For Illustrative Purposes Only

Dislocation Risk — Leverage i Conviction

-— Leverage (LHS) mConviction (RHS)

PB Exp)
or UBS

uogpgnuo;
Axmd
Control
as Risk

se qans)
y(such

Manoaau
Prox

(aioas
Sep 2019
Leverage

V Y T’YHT YT Tfifi Y T I T’f T 1'er T TTA'T‘I F”? T‘ T'T 'TWT'T" V'Vj'VT'Tj—T—TiT’T‘T 71"T_T_ I‘Tfi— [“TT 1 "1—1" ‘V T V T'_T Y ' Y

Date

goons
for Illustrative Purposes Only
10/9/18 (Down Dislocation) vs 9/6/19 (Up Dislocation)

1___(__q—q___g_)0/9/18Fallin
Conviction vs Risin Leverae 9_(_g—g_4_)
/ 6/19 Risin Conviction vs Fallin Levera e
r
AJM
lntraday Recovery LUKE—P7 500 linthraday Re‘ncovery Sflcfiores W 1

— Rolling 2M ——Rolling 4M
50%
7/30 - 2M score 9/6 - 4M score
turned bulllsh turned bullish

40 /°o
.»~).>

10/9 - warned of recovery

score turning bearish 30%

20%

10%

-
0%
MayL19 Jun-19 Jul-19 Aug-19 Sap-19 Oct-19

is“
10% Risk Control Leverage

@108
- 133% 150% 7
9/6 - 54% Leverag]
Weverage
125%

25%
r

% 0%
Jun-18 Aug-18 May19 Junrlg Jul 19 Aug 19 7 $9,” —_JO(IVIQ

asUBs
Sources UBS Equny DeflVBIIVE'S Strategy, Bloomberg, Past Performance is not indication of Future Performance
 Intraday Recovery Score — Model Launch:Aug 2017

r‘ Measures investor confidence or positioning bias through investor intraday trading behaviors on
meaningful move days

> lntraday Recovery Score = Frequency of " Buy the dip" on meaningful down days minus Frequency of
" Sell the high " on meaningful up days over a range of lookback periods from 2M to 6M

A.“ High
Up Reversal: —_ —
hCaIOf“farpOSmEOVer Close
Down Reversal:
I Recover over
Intraday H'gh
Close half from
Intra day Low

Low L0

gsUBs
Sources UBS Equrty Derivatives Strategy, Bloomberg, Past Performance is not indication of Future Performance
lntraday Recovery Score — Strategy Back Test
lntraday Recovery Score Backtest* (Since 2000) As of 9/30/19

r‘ Bullish Signal: 2x long when signal >+25% Avg Compounded Daily Ret
& stop when <+15% Cum Daily Lev 1x
102% 0.01 % 1.00 0.01%
402% 0.03% 0.00%
r‘ Bearish Signal: 1x short when signal <—5%

Wgt
0.05% 0.86 0.04% 0.07% 0.05%
& stop when >+5% 1171/°o
1123% 0.05% 0.84

E
1:-
Time
+ lntraday
580% 0.04% 0.87 0.03% 0.06% 0.03%
r‘ Neutral Signal: 1x long otherwise

Threshold
Exp
646% 004% 0.92 0.03% 0.05% 0.06%

Strategy Return since 2000

Clumulafive
—4M Recovery Score 3M Recovery Score —SPY
1600 4
4M Score Strategy +1123% vs SPY +102 % since 2000
1400
-

1200

1000

800 a

600

£100 <

200
'0

anBs
Sources 085 Eqwt/ Deri/ati/es Strategy, Bloomberg, Past Performance IS not indication of Future Performance
Intraday Recovery Score — Gauges Investors' Vulnerability

Turned Signal Day# SPX Next Mth SPX Next 3M Drawdown over -10/o°

# Bearish Ended Signal Low High Low High Start End Ret Comment
1 1/12/00 3/10/00 58 3/24/00 4/14/00 —11o/° Confidence fell ahead of drawdown

2 7/6/00 4/9/01 277 9/1/00 4/4/01 -27/°o Confidence fell ahead of drawdown

3 6/25/01 9/26/01 93 5/21/01 9/21/01 -26o/° Confidence fell in the midst

4 3/11/02 8/8/02 150 3/19/02 3/1 1/03 -32/°o Confidence fell ahead of drawdown

5 7/15/03 11/5/03 113

6 6/10/04 8/19/04 70

7 1/4/05 5/16/05 132

8 10/31/05 2/15/06 107

9 6/26/06 8/17/06 52

10 8/14/07 10/17/07 64 10/9/07 3/10/08 -19o/° Confidence fell ahead of drawdown

11 6/17/08 2/4/09 232 5/19/08 3/9/09 -53% Confidence fell in the midst
5/12/1 0 7/2/10 —13% May Flash Crash
7/22/11 108/1 1 -18/o° US Debt Ceiling Crisis
12 11/9/12 1/28/13 80 QE3 offset bearish sentiment

7/20/15 8/25/15 —12% Systematic Driven

12/1/15 2/1 1/16 -13% WTI roliover + Brexit
13 3/1/18 5&4/18 84 -3.6% 4.2% 1/26/18 4/2/18 -10% Confidence fell in the midst
1410/10/18 2/14/19 127 -5.2°/o 1.0% -15.8% 1.0% 9/20/18 12/24/18 -20% Confidencefell in themidst

asUBs 24

Sources U85 Equ1ty Derivatives Strategy, Bioomberg; Past Performance is not indication of Future Performance
Excess Flow — Model Launch: Feb 2018

r‘ Measures the direction and strength of investor trading intention through volume sponsorship &
consistency from intraday trading behaviors

r‘ Excess Flow 2 Above-average asset volume per 15-minute interval and uses associated market move to
identify flow direction (buy or sell)

—SPY Average intraday volume profile

—Above average BUY flow Above average SELL flow
280.0
279.57
279.0
278.5 M
278.0 7
277.5 7 I
277.0 l
275.5
276.0

275.5 I . ,.,...T....T.,

07:

16 00
14 00
930

1100i
1000

1200

14:3

15:00

15:
1030

@0135
Sources 083 [quity Derivatives Strategy, Bloomberg, Past Performance IS not Indication of Future Performance
Excess Flow — Inflection Point on Feb 9th 2018
Renam"5hani-Vokmnlnv9'
Emni' ‘ Cash

.
US Excess Flow per -min interval on 2/9
0 SPY Return 1.5% IExcess BUY Flow S115 bil
-— 2641.0
r\)
U!

339 a $59 a
r\v
L)

$27 8 262.0
m

.0 260 0
U’l

258.0
. o .’ o o-
L\
.

I I I I I 256 O

254.0
o
o
2520

-527 B
2500

._._._._._.___,_._.._,_____,_._,_,_._,_.—.—r—.—.—
Excess Flow — FOMC Study since 2018
S_'trio_qnE________1LLp—xcess
Flow 24-hour Post FOMC ticall set u market short-term direction:
01/31/18 — $30 bil Excess Sell Flow 1 Neutral Market Internal :> 3W *9'/r’111(,'/l6051/3
- 8/1/18 — $30 bil Excess Buy Flow 1 Neutral Market Internal _—> SPX +/I% next rrrorr‘t

012/1 9/18 — Over $50 bil Excess Sell Flow 1 *1va “Amt/M Internal :> SPX —8"‘/’8 ' rm" 4 mu",

01/30/19 — Over $70 bil Excess Buy Flow RESET Market lnterrral ltOttt bearisl. to hull sh => SPX +10% rim: 3 my '
0 3/20/19 — Over $30 bil Excess Buy Flow é Strong Market lutemal => SPX +4% uex‘ rmrrtr

0 5/1/19 — Over $50 bil Excess Sell Flow 1 Strorrq Market luterrtal => SPX —6% on Tracie then ra bed >1 0%

07/31 /19 — Over S30 bil Excess Sell Flow 1 Str'orrrt Market lrtterrial :> SPX 6% H1 Anti: then ralletl >674)

US Excess Flow per -min interval on 12/19/18 US Excess Flow per -min interval on 12/20/18
o SPY Return 15% nExcess SELL Flow »$46b1'| 9 SPY Return 16% IExcess SELL Flow 7569 bil
260.0 252.0
327 B ||526 3 l$36 B
251.0
258.0

9 2560
10 249 0
9 ’ o
E
0 -S72 B
248.0

I II,.I,'I
x I .. _t 254 0
's - II w 9 O 0 | I I . . l O . 24/0

.I
' I 252,0
246 0
O
250.0 245.0

2:111 0
248.0

$488 |$3SB |$3ZB|$268

203.0

0o 246.0 Ln O m 2420

*1 S! C) V
'— ST
v7vifi-iviv—v—v—v—r—r—r—I—l—l—I—FI—v—ffir‘l—Y—l—I— Y—I—FFPI—v—I—l—r—l—F‘FV—V—I—r—r—r‘v—F—r—‘fiWfifi

2 153; l u it"; Mr mun-z Strategy, [jlrnmbevg Pastl‘ertmmanrels1101 IHKllfallOl’l of Future Performance

Excess Flow — Consolidation vs Accumulation Periods

7-day consolidation - 1/23 to 2/1/18 (Before sell accelerationj) [‘S-dayconsolidation- 10/1 to 10/9/18 (Before sell acceleration) l
— Excess Flow —SPX
150 29m 150 EWKHS
_ Flow —SPX 2950l
100 1* 2850 100 29w

O flflfifi 28m 50 2850

(8.0) 2750 0 1.111 111' 28m

(1001‘ 27m (50) 2750

(150) Consoll'datl'on -7 2650 (100) mnsolr‘datl'on 27m
(2001 selldaysoutof8
25m (150)' Sselldaysouto 26m
(1‘50 (TotaI-$1218)
7(Total-—$1203
(300) 2550 (200) 26m
1/3/18

1/5/18

1/9/18

2/1/18

9/7/18
2/5/18

2/7/18
1/11/18

;1/16/18
' 1/18/18

1/22/18

5 1/24/18

1/26/18

’ 1/30/18

9/11/18
’ 9/13/18

9/19/18
' 9/21/18
! 9/25/18
19/27/18
10/1/18
310/3/18

;10/9/18
9/17/18

f10/5/18

110/11/18
l12/29/17

10/19/18

10/25/18
10/29/18
l
1 0/15/18
‘10/17/18

110/23/18
7-day consolidation- 12/3 to 12/13/18 Ref—m
sellacceleration) FM
accumulation - 5/9 to 5/23/19 (Before buy accflele
ration)
100 1. _Excess Flow _pr . 2850 60 _Excess Flow —SPX
30m
80 28m" Accumualt1'on-8buydaysout

60 2750 50 we“
(Tot |=$122 a) 29m
40 27m 40
29m
2650 30
14‘,A141w1_1_

y
O

%‘T

28m
2550
1 1

25m 10 28m
1 _

2450 0
_.1

%§0ll‘datl'on-7selldays 24m (10) 27w

e,

outof8(Tota-l-$14GB) 2350‘
:_1

(20) 4' 27m

/18

/18/18
12/6/18
; 12/7/18
12/3/18
12/4/18

5/8/19

f5 /22/19

1 6/5/19
5/1/19
l12/24/18
(12/20/18
11/23/18

11/27/18

11/29/18

16/19/19
11/26/18

11/30/18

112/10/18
12/11/18

5/15/19

6/12/19
‘12/14/18
511/28/18

1 2/12/18
‘12/1

:12/17/18

,12/19/18

112/21/18

‘5/29/19
‘12

asUBs
Sources UBS Equny Denvatwes Strategy, Bloomberg, Past Performance IS not Indication of Future Performance
October 9, 2018 — Warning Signs worse than February
__q__Market
Sinals & Flow ____qPositionin
' ""\-\ \\I "‘”““*\\\ ///, ~‘“"‘“"\~ / / /'“’ __ ,_
f/

I
\‘ r‘ ‘ f

‘
EEM Impiied i 1/ 5px imp|ied\ Cross-Ass>et Corporate (U85Pm
Chem lIKCFTC Leveraged:-

Correlatlon If \‘ Correlation / Rank Buybac/k \ Exposure , in Funds J

xx ‘7 — V v/ \r‘. » H‘ \\ \_\.\\—//

.\

1' if)
OCapitulation Option Skew
\ Put/Cali Ratio ii
Analysis
i\ ./

.‘ / Put < Call

\ Underwritinvg Overwriting

films
For iiiusirative Puiposes Only
 BLANK PAGE

$UBS
 BLANK PAGE

$UBS
Section 2

Model 102

30:33
 MarlcetlnternalModel

__g_‘__Market
Sinals & Flow ___9P05|t|0mn"'
r/—\\ "C/\
~ "“\\ / //’_N\ J \\ fl\\
‘\ /’
/ n
,
I], \
I,
Retail \vi / CFTC Leveraged
EEM Implied SPleplied )\ Cross—Asst (C ojrporate UBS PB Client
l
Exposure/ Flow ‘ l\ Funds
i" Correlation Correlation Rank Buyback
\K / xx
/ \
\ /fi /I \‘
x\ ‘3’
/
/’ // x\

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‘ <Capitulatio)n Open
OOption Put// Call Ratio) Option Skew
‘i ’
,

Intraday .
‘ Excess Flow KSeasonalit Analysts Interest \\.
‘

> )y
‘ Recovery Score ll l.\
)

\\\ /A;

\\__// \»_.4-' '/

Based Rebalancin
_y_____________qutematic/Rule

(Risk Control l (Risk Parity OCT/A LDPnsmn"

.yt, / \ \ \\\ // (II/

\ / 4/4‘
_/ \ ’
\_—//

,_ V/s—iv —~\\ / w.\ ///—

/
1”
\ I/ \\ / / J

Put Ca“ £0055 Vnsset

l le ETP Underwritin)g <Overwritinvg DlaWdOWHS/
Volatility
'\ I J/
, I" \\ k M/ \w/

$Uiats‘
for .‘JL'r'dl‘N: k I'd/17C Oril/
l
Internal Dynamic vs External Catalyst

(Best since model

launch in 2017)

Good Internal vs
Capitulation
Good Internal vs
we Macro Shock Weak Economic it /High Short
(08- May '19 -7%) (93- Aug '19 4%) Gamma
‘K
7, n Relies Rally saga/Jul._r197q_ya”""”'"&"”'
- /14 to 1/15/19 +11%)

, ,. Mixed - Albr.'11.8$_"°5e1,9,. H‘___,___ ,, . 3,

'18, Middan '19

.
l-ve Catalyst +ve Catalyst

High Short Gamma Mill's;

but Still 0K Confidence,
l
E
B

(ea.
O
H

l
\

“WM-Items! High Short i

r 7""me mm“ Gamma
Weak Internal RESET

2 by Very Dovish Fed

(cg. Late Jan '19 +296)

eak Internals
VIX Cross-Asset Rank — Model Launch: May 2015

Identifies cross-asset sentiment dislocation by comparing the relative cost of hedging via options and
credit spread across major asset classes

Cross-asset ranks at equilibrium => Well balanced global risks, usually constructive for risk assets

Extreme ranks => lmplies major sentiment dislocation across asset classes, which could cause sharp asset
moves. <10-20%=Complacent; >90-95°/o=Over-hedged

VIX Cross 1V %-‘Rank of VIX vs other n'sk premiums

Asset Rank V2X TWIX EUR IV OVX GVZ HY
10% 33% 0% 1% 2% 1 1% 10%
92% 97% 96% 95% 86% 85% 92%

awBs 1k

Sources UBS Equrty Derivatives Strategy, Bloomberg, Past Performance is not indication of Future Performance
VIX Cross—Asset Rank — Extreme Conditions
Over-hedged: Complacent:

- VIX Cross-Asset Rank > 95% is rare — Only 2.6% of - VIX Cross—Asset Rank < 10% is rare - Only 183% of
time since 2008 time since 2008

- VIX fell 88% of time at -22% average 1M out - VIX rose 75% of time at +14% average 1M out

- SPX rose 76% of time at +32% average 1M out - SPX tell 58/00 of time at 4.8% average 1M out

VlX 1M Change Following Unique Cycles of VIX Cross-Asset Rank >= 95% VIX 1M Change Following Unique Cycles of VIX Cross-Asset Rank < 10%
70%
30 “6 Avg ; 42% I
max“
Avg lM Range —_ ~32%/+7% Avg —_ o14%
20% 1500/"‘l—I—I—fl‘
10%Wbown Avg 1M Range = ~6%/+30%
88% 04 time 110%

‘
0% »-~ Up 75% of time
‘

40%
70M
30%
40% o 0th
50% us Korea
60% Elettionconcern
‘5 \°\\\\\0\V\"\‘\"\\b\‘\9’\5\$’3’‘0 99’
\\'\effiolb-Goxed-ld\\\°>69\de&
91 9'» Q) (Q ’00 \\ hp ,\\’5 \G ‘8'} \x Q? \(L \\o’\ ’90 (a Qo,

SPX 1M change Following Unique Cycles of v|x 0055.135” Rank )—_ 95% ’7 {0V 7 WisiPfixfilM Change Following Unique Cydesiowfwvwlxw (roisus-Awss’et Rank < 10%
10% Avg —_ 0.2% 4’1:

1M Range : Jim/+15%
WAVQ
Up 76% 01 time

11—FI—l—Q? Post US
Eleuion

stews
Sourre: UBS Eqmty Derivatives Strategy, Bloomberg, Past Performance IS not indication of Future Performance
Capitulation Analysis — Model Launch: Oct 2014
; Sign of sell exhaustion during large sell~oft

r‘ Characterized by a significant shift in trading preference from stock selling to option buying — either because
many investors start to believe that stocks are "cheap" or upside opportunity is asymmetric enough

Feb 2018
—U(rr.s Flow —§I’X

M_a_ej_Cngu_$_q_pj_o—L(__)
rk i la ion i n viaO i nMarke Since 2000 Excess sell Excess buy
1 flow = -$375 B flow = $153 8

“"53\Sfllg'n'alfi‘ii-I”1-1.0 le‘Ptl] sex; sex Next. v1x Mex": ’1M Signal 150 SPX —_ -8.5°/a SPX = +4.61% 2000

.Hoa‘ui".. st%1}¥9~50:¢ 11: 1M 10 1M til-Bottom worked? ZR'VO

8/15/07 1% 49% 8/15/17 J 2800

1/22/08 29% 2.2 -7% 2% 4% -6% -21% 1/22/08 J o M 2/50

‘
I: 2 /00
10/24/08 -7% -3% -9% 1% 8% 3% away 2650
15% 359 -1 % —2 % 2 Go away
Capitulation Model +VlX
Cross-AssetRank 2600
8/5/11 37% 28 —7% 4% -2% 50% 6% ‘1 15111 Overhedged Signal Triggered 2550
8/8/1 1

‘
8/9/11 28% 2.1 -7% 4% 2% 23% -S°/o
8/22/11 11% 2.2 —7% 3% 7% 45% 23% 8/22/11
8/24/15 90% 5.1 40% 4% 3% 42% 45% 8/25/15 l Go away
Dec 2018 - Jan 2019
8/25/15 41% 4% 4% 46% -39% J —Exrc~,s How —s1>x

2/11/16 2% 11% 40% ~41% 2/11/16 J Excess sell Excess buy

150 llow=-$232 8 flow =S119 B In)”
2/8/18 SPX = 9.6% SPX -_ +53%
100 2‘3'10‘
12/20/18 22% 2.1 -7% -2% 7% 6% -27% X
(1)111)
‘10
12/24/18 23% 2.8 -8% 5% 12% -16% 48% 12/24/18 J 15‘va
0 will.
2501]

Capitulation Mode I'l‘ill

Triggered Capitulahon Model 1 VIX Crossr

M 00
Asset Rank Overhedged Signal
Triggered

as; UBS
Vii/111‘s lJli‘) l qlllly Derivatives Strategy, Bloornlmrg, Past Performanw is not indication of Future l‘erlornmnce
 Syslemnlie Straliegies — Key Rebulamting Drivers

_____yVolati|it
Risk Premia
Funds (Carry) Funds

Pension Minimum
Asset Alma““""Volatilily
Funds
«lmds Funds
Commodity
Trading Advisors
Leveraged & Risk Parity
Inverse ETPs Structured Funds
Products
LSot
Call Put Long
Overwriters Underwriters Dispersion

Tail Risk
Funds

$ * Asset allocation funds are neither quant nor systematic strategies, but they may face significant rebalancing pressure when cross asset
volatility and correlation rise sharply Us

For Illustrative Purposes Only

Risk Parity Funds

Maintains a stable multi-asset portfolio volatility (i.e. vol target) by adjusting asset exposure, subject to a
maximum leverage. Typically has a preset risk allocation to each asset class / macro scenario

Designed to reduce portfolio volatility during turbulent market

Managed volatility (vol) funds have grown over 5x post financial crisis (2008) — actively managed funds for
pension funds and sovereign wealth funds

Estimated AUM ~ $600 bil

Sample Portfolio Risk 8. Asset Allocation

12% 34 °/o

2 “3/0th”: Zm’v 7 (la/00’?

Commo I Commo l
Commo I
In" Bond lnfl lnfl
41 % 117%
22% 64°/o
2S% 25%

Target Risk Weight Unlevered 5 Weight Leveraged $ Weight

& uus
Sow es UBS Equity DF-llilallvf‘fi Strategy, Bloombeig, Past Performance is not Indication of Future Performance
 Commodity Trading Advisors Tracker
r‘ Typically employ trend—following strategies that aim to take advantage of return continuation (serial correlation)

Strategy based on mathematical, algorithmic & technical models, with minimum or no discretionary influence

Mainly invest in futures contracts across all asset classes

Estimated AUlVl ~ $225-250 bil

[, _ W
UVBS" CTA Tr’ack'e’ri' ' T
‘.

- UBS CTA tracker replicates the most popular CTA triggers across major liquid assets (mostly futures/forwards) in order to ldémll]
l) The crowding of certain position (long or short)

E51
' ‘ Cur ent
‘

Signal Cu nt f Buy/sell :"MAx-over"

Method ‘ vsCur vs Hi-Lo-Actiz‘onitDys
New High / Low ST Long 3013.61 05% 0.3% Z";
New High / Low MT
1Y Momentum LT .-_,t3..°
‘ Lon-lg 3038-40734 7 1.4% l
535m

Biol-linge'r'Bannd sf"
Bollinger Band MT _ Long 3038.37 1.4%
a:

Bollinger Band LT
ST. ,.
"3 “Long H3u201086
. Ex.i,tw_.... Wigs4.6.06.0‘1“ T1.68%
-._7._°.. /0_.

Bollinger Band MT Long 3003.43 0.2%

a:

Bollinger Band LT it. . . ..E.","F....... .2.,9_3_..3.;..4..,°... “12.21 ../°°,

' Short 2857.18 -4 7.0/0
.

MA Cirosso'veur ST I
mgr/1
1

MA Crossover MT

@ UB8 MA Crossover LT

‘murrr '. Ills“, l quity Ul'll‘ldllV‘KS 'ltrategy, liloornlgerg, Past l’erlorrnanrra Is Hot Indication of Future Performance
 Oct 15, 2019 Snapshot

_eret
Sinals & Flow ____<JPOSItIOn|n"'
//\
/
r“ EEMlmpwlied OSPX Implied Corporate (C FTC Leveraged\
l
\. Correlation Correlation Buyback Funds /
\ / \ \\\‘ /l r’
\
\\~’/

i.‘
Capitulation 00mm Open OPut
/ Call Ratio L/Option
Skew l
Analysis Interest

_y—_—qS
stematic/Rule Based Rebalancin

©Risk Parity/
k/W
enSIOn
Multi»Asset

/
'
O/
Cross Asset
ETP
\GIX Drawdowns
/ Volatility
\

agUBs
For li‘w.:tra‘.we Peroses Only
Strong Market Internal — Can Sustain Negative External Shocks mostly
+___VEEXtemaIS Marketlnternal D namics -ve Externals
I Excess Flow I Seasonality ————— UBSPBClient I
E, E T ow
I n t ra d ay ovve-sz—_H-_s_,CDG-rap // CVLEV-aE-‘RoeACG-zE: 3w .oLousw CaH I
‘ Put
Risk Control CTA Overwriting
Underwriting

Option Skew
EEM Implied Put / Call Ratio
Correlation
CFTC Lev
Funds
Risk Parity
Pension
SPX Implied

LKE©‘UMWMUWLIBRIUHM* ‘I
Correlation

Interest

Capitulation
Analysis

VIX ETP Corporate

Cross Asset
Buyback
Drawdowns / Volatility

‘ C'OngnkAsset Tm) mow

P L’AC E N'T _// LLEHaVVmME
RA 6 E: Twoo Lam
IG Hg I
as u as
lor Illustrative Purposes Only
_____—.Systematic
Strategy — Risk Control

flwx
10% Risk Control Lev & Scenario Changes (1.5x Capped)
Est Realized --- 0.5% dly (8 vol) 1% dly (16 vol)
-— 1.5% dly (24 vol) —— 2% dly (32 vol) —3% dly (48 vol)

Today (Post Close) 0% 0% 0% 0% 0%

E_w_p__y___(_)x
osure Chan e er dail move t+1
Dly Move 2.00% 1.50% 1.00% 0.50% 0.25%
1DChg -6/o° -2/o° 0/00 1/00 1/00
1WChg 7‘71_._Vfi__1-/9V/o°7 1.1/00 -1/o° 4/00 5/00
1MChg (1",-"'
L1"; 31,,.,7".<#o/‘°r'
7.7.0.59»: 1, *""'.'.v"‘-21/o° 3-/o° 13/00 19/00
180% 0

140% < ' ' 1723/1“; _ K-__10_/9/_18_ """" .—

120% 1 L/
100% ~ 5/3/19

80%
60% '
40% ‘
20% ~
fi—JOO/o
“WW...” ._, .. a, N,

Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Jan-20

$088
Scones UBS [qunty DENVBIIVGS Strategy, Bloombergl Past Performance 15 not Indication 0( Future Performame
__.Market
Signal — Year-End Seasonality

SPX Q4 Seasonality since 1 998 (as of 9/24/1 9)

25%
Recovery Score turned bullish in Oct 2001,
SPX > 5% 8:
20% Aug 2002 & Nov 2015,and remained .1998 Outperformed
neutral in late 2011 (didn't turn bearish) HFR

1 5% /N‘\\\ 61999
2 QOB
/’/1 \XM 201 1 2010
o
2013
1 0% 9”" g Q
—-\‘o 004 2006 .2017
. 2014
O
O
N
N
U1
\0
o\

2005 2016
O
o\
\O
Q4 Return

o\°
1
U1

—10%

-15% 2000,Aug 2007,Jun 2008 & Oct 2018

I: / { 1 2018
,.//‘
-20%
_25% 2008’ ‘ g
—30% —20% -10% 0% 1 0% 20%
1st 3Q Return
$0135
Suwcm U83 [quay Derwames Strategy, Bloomberg, Past PerformanCe IS not Indication of Future Performance
 SPX Buy/Sell Buy s’eu
Month Retum Ratio Flow Flow
2018 -6% 0.56 1,653 (2,954)
YTD 19% 0.90 1,077 (1,198)
US Daily Excess Flow ($bil)

,
Jan-18 6% .22 34 1139

. | I
— Daily Excess How SPX
60 3050
Mar—18 —3% 0.47
‘

Apr-18 0% 0,39
3000
40 May-18 2% 091
Jun-18 0% 0.39
20.50

0 .Tlr Ir l. |"|l|lihl LI.1 1. InTL'I n|[|.l."|1r”|“1.l ,l,lfl l 11".

Jul-18 4% 1.20
2900 Aug~18 3% 0.72
Sep-18 0% 0.34
2850 Oct—18 -7/°o 0.41

Nov—18 2% 3.37
2800
Dec-18 -9% 0.42
Jan—19 8% 2.12
Feb-19 3% 0.58
Mar-19 2% 0.23
4/5/19 5/0/10 (Yd/10 //3/10 8/1/10 8/20/10 9/2//19 Apr—19 4% 0.66
May-19 -7% 1.41 189
Jun-19 7% 2.37 129 \CM‘?
Jul-19 1% 0 68
Aug—19 —2°/o 0.82
Sep-19 2% 0.91
Oct-19 1% O 51

$11135 As of 10/15/2019

Sourtes UES [qurty Derivatives Strategy, Bloomberg. Past Performance IS not Indication of Future Performance
__———__.Market
Signal — UBS RMM Data
5/7 5/13 5/23 5/31 7/31 8/5 8/12 8/14 8/23 10/1 10/2 10I8
Return (t) 4.7% -2.4% -1.2% -1.3% -1.1% -3.0% -1.2/o° -2.9% -2.6% -1.2/o° -1.8/o° -1.6%
Return (t+1) -0.2% 0.8% 0.1% —O.3/°o -O.9/o° 1.3% 1.5% 0.3% 1.1% -1.8% 0.8% 0.6%
Flow Z-Score (t) 0.8 (O 3‘) 0.2 (O 4) 0.4 (0.8) (0.2) 2.6
Flow Z-Score (t+1) 0.8 (.0 2) (O 1) (1 4) 0.5 2.1 ( 1.5) <0 4) (1,9)

BIS SIB
Ratio Ratio
E:
RMM 6M Daily ALL Net Flow Since 1/30/19 13%
2018 -6%
— Daily Net Flow SPX
2019 YTD 19%
3050 Jan-18 6%
Feb—18 -4°o/ 1,5 07
3000

r r"- r r] I '11 '1 Tm1'11

Mar-18 -3% 06 16
Apr-18 0% 06 17
2950 May<18 2% 0.4 2.4
1 Jun-18 0% 1.0 1.0

12.1 III 1|“.

2900 Jul-18 4% 0.5 2.2

1|r|
Aug~18 3% 02 5.0
2850 Sap—1 8 0% 0.3 2.9
Oct-18 -7% 12 09
2800 Nov-18 2% 06 18
Dec-18 -9%
2750

2700
1

#1219 91219 61219 7/1Z19 81Z19 91219 101219

agUBs 1'-<

SOUFUES UBS [quny Derwatwes Strategy, Bloombergl Past Perlormance rs not Indrcatron of Future Performance AS 0110/150019
__——_——.Positioning
— UBS PB Client Exposure
2 ‘90 UBS PB Gross Leverage r‘ Extreme (Crowded) Positions reflect Investor Vulnera ility
12/2‘8/16 1/26V/18 7/29/19

P70 0 1__g—/26/18:
Hih Short Gamma Risk
L] Net @100/o°-ti|e _—> Sharp net reduction when market sold off
new Ll Gross @ 93%-tile —_> Sharp gross reduction

0 —g___#7/29/19:
Hih Factor Rotation
Risk—JW—
but Low Market Risk
230 U Gross @ 93/o°-tile —_> Sharp gross reduction when factor rotation
started
710 i U Net @18/o°-ti|e :> Low beta/market risir

‘ 0 Current: High_p_
Uside ChaAse Risk
190
D Gross @ 6%-ti|e => Lack of Alpha from Gross, Need Beta from Met
L] Net @ 39%-tile —_> Net still too low
170'

0.x” .\‘° 9" .xb 0.0 .x" ,0 .0 f 5" 5‘” .N‘b 0,9 ‘5‘” .\\°’ 9 P_a_s§___t_e_e____9__§Exrm
PB Positin
12/28/16 1120110 7129119 10111119
099 0.74
100% 18%
UBS PB Net Leverage
t 10 12/28/16 1/25/18 7/29/19 2 51 2.54
93% 93%
105

100
«1% -5%
. __‘_1°../.°_
-10% -6%
0% 0%

Momn mBa R urn

-5% 4%
_....:..8._°/°._._.‘__.:_7_-.%_.._.__
-13% -11%
0% 1%

Sowe: U83 ['qmty Derivatives Strategy, Bloomberg, Past PerformanCe IS not indtratton of Future Performance
——_.Systematic
Strategy — CTA
10/15/19
LONG SHORT BUY Watch SELL Watch
as Today Action % Today Action % Next % or ll % Next % or ll
Spot Strut NewL ExitL Strat News Exits Strut Level Dys " " Strat Level Dys * *"
S&P 500 2997 8 3003 4 17% 2946 6 -1 7%
Russell 2000 1526.4 1560 3 8% 1491 2 <2.3%
Nasdaq 100 7959 8 7972.1 17% 7772 9 -2 3%
S&P Midcap 1924 3 1954 7 17% 1890 8 -1 7%
Dow Jones 27002 0 27054 5
Euro STOXX 50 3592.0 33% 3565 2
Nikkei 225 225200 33% 22280.3
HSCEI 10500.2 50% 10602 4
KOSPI 200 277.00 17% 278 82
MSCI EM 1025.30 50% 1031 32 8% 998 99
WTI Crude 52.8
Brent Crude 58.9 609
Natural Gas 2 3 23
Gold 1477.6 1472 5
Copper 46910 0 471647 46594 2
EUR 1 089

GBP
AUD 0673
JPYUSD 109 04
US10Y Bond 129 77 129 33
US 20Y Bond 159.94 159 46
US 30Y Bond 187 84 18617
Euro BTP10Y 144.37 145 23 143 98
Euro Bund10Y 171.89 173 87 17126
Euro Buxl 30V 209 20 21605 205 28
168 10V 154 30 15414

Footnole ' If MA CODdll/On ISIT191, then walch spot Within 4%, else walch spot With!” 2%

gums
‘ ‘ If Spot CODd/flO/l IS me! 8 MA (loss-over Within 5 days, then WOW #1 of days, else N/A

5001(95 UBS Fqulty 061111610195 Strategy, Bloomberg, Past Perlormame 15 not nnrlmahon of Future Perlormnnre
‘_____——_—___.Syslcmatic
Strategy — CTA Triggers
2997.75 U,BA,5,CT__AA_6TT.CLAI As of 10/15/19 17:57
Current BUY / SELL Watch

‘
Signal .3 Current I Buy/Soil ’1' Spov .‘MA X-ovor"

-
Mother! us «by: us now! Laval vs Cur vs HI-Lo.“Acuon o

3‘
New High / Low ST Lon g 3013.61 0.5% 0 3%
New High / Low MT
1Y Momentum LT but 21/940 -/ 2% 6 3%

.
Bollinger Band ST Long 3028.34. 1.4% 1.2%
Bollinger Band MT Long 3038.37 1 4’70 1 2%
Bollinger Band LT Long 3201 as 6 2% 6 6%
Bollinger Band ST EXII '2"9"46.6'1' "—1.2% -0.7%

'
Bollinger Band MT Long 3003.43 0.2% 0.0%
Bollinger Band LT Exit 2933.40 21% -1.1°/o

_
MA Crossover ST Short 285/18 —4 /% ,1 /'/’r.
MA Crossover MT
MA Crossover LT

TY1 As of 10/15/19 17:57

Cu rent BUY / SE L Watch
Cu am Buy/Sell jMA X-ovor“
vs Cur vs HI-Lo jAction-I 0 Dys
New High / Low ST 128.08 4.3% 4.3%

I
New High [Low MT
1Y Momentum LT 11823 8 9% a 2%
Bollinger Band ST 128.52 A '-1.0% ' -o 9%
Bollinger Band MT 128.59 -o.9% -o,9%
Bollinger Band LT 12‘; // v3 1% 7} W".
Bollinger Band ST 1278.60 0.9% »o 9%
Bollinger Band MT 129.33 03% -0 3%
Bollinger Band LT 128.76 -o 8% '0 lo/O

MA Crossover ST
MA Crossover MT
MA Crossover LT
BLANK PAGE
 BLANK PAGE

awBs
Appendix

Past Recommendations — 2017 to 2019

$UBS
Key Calls vs SPX in 2019
2/8: Bullish- expect 4/518ullish‘ Most 5/23: Bullllh- No 7/10: Buliish- Summer 8/26: Bullish- 9/18: Bullish- Excess
2M Recovery Score green bubbles Panic Selling - use Internals 81 Fading Rally is on - Posrt'ioning Current internai is Flow reconfirmed
turn bullish next since Jan 2018 - weaknessto buy the strongest since
3 200 Shock; Asymmetric more bearish vs improving strong market
week slow grind higher the dip May
Upside Risk recovery score internals
1/14: Bullish- 4/15: Bullish» 4M
5/29: Bullish- 6/10: Builish- CTA 7/30: Buliish~ 2M 9/5: Bullish- The 9/6: Bullish- 4M
2M Recovery recovery score 10/1: Bullish- Strong
3100 ‘ Market dominates for now; Risk most green Recovery Score
‘l

Recovery Score market internal

Score oiiically turned bullish - Internals Intact Parity Er Risk Control to
‘

turned bullish bubbles in two oiiiccaliyturns bullish

turned4bullish view unchanged resistant to macro
follow » Slow grind
‘

years shocks
4/2: BullishA 5/14: Bullish-
‘

Quarter-End behind Strong Internal

us; expects SPX

\Vr
I Dynamic withstands
grind higher macro shock
* ‘
‘\"‘

la
6/18: Range bound
with an Upside Blu—
Recovery Score turned
3/25: ST Cautious / M
2/28: ST Bearish Bullish - Maintain
MT Bullish -
cautious view into
1/31: No longer Consolidation 6/26: Range bound With an
month‘end
bearish - Dovish period confirmed Upside Biu- Beans'h
Fed resets Market positioning suggests bad
Internals news is pnc'ed in - use qtr—
2500 3/15: ST Cautious / MT
end rebel to buythe dip
Bullish - Technical buying
1/4: ST Bulllsh, MT
over St pensions and retlal
Bearish - 2600 max
selling
upside, then 2200
2 400
downside target

12/24 -
2/25: ST Clutlous-
2300 Capitulation
Remain MT Bullish
Model
but start to see signs
triggered
of consolidation

2200 r r r r
r

Dec 18 Jan 19 Feb 19 Mar 19 Apr 19 May 19 lun 19 Jul 19 Aug 19 Sep 19 Oct 19 Nov 19 Dec 19

asUBs 7 )S

Sources UBS Equrty Derivatives Strategy, Bloomberg, Past Performance IS not Indication of Future Performance
Key Calls vs SPX and EEM in 2018
:UQ Bulhsh~ 1/15:Choppyw/ 4/16: ST Bullish - 5/15; Buuuh us 10/10: Bean'sh US 10/15: » Short
10/9: Bunth US
Market bottomed Bullish Bus - First Lowest Cash volume Equny' Mark“ A Perfect Storm is SQUNH ST catalyst lai|ed
3CDO lntraday Recovery
Inuuday at 2p Phase of Easy Recovery day of the year - mm" pm- Score - Beansh' & brewing - worst Potential m dew
is Likely Over, but still corporate buyback Bumh EM China Sell Flow dynamics than Feb
supportive' of Equities to return 11/28: - ST Bullilh
on Powell's speech 12/11:Bun1h
2%0 but watching US <1596to-20‘X
intemal dynamics new [arm

10/18: Beansh
2800 US Short squeeze

8/10: Bearish US, 0""

1 .0055 .Asse' 10/23: Bearish
Dislocation Us Bejnmhs of a
2 700
larger sell-all?
7/23: Cautious "_——_—'
US, Cross Assets 10/25: Bearish US
No Signs of EM
Fell together Yhe morel look,
2600 Capml‘lation yet
the more I am
11/13: Bun‘sh US A
worn'ed more concerning
downward trapec'lory
10/30: Bean'ah
2900r

'\ 1‘' 3‘ I “ 2350tlownsid'etarget 5""

2400
U29: Bumh ' Emmy 2/28: Beariah - 50 3/16: Bun’sh — 4/30: Warning EM - ll ‘ l
we'kne“ ‘ QW'A’S‘“ Lonsto Short~Tenn Sentiment Post Sell- crA Redemption Risk r \I ‘
Correl Broke; Intraday Recovery - We Turn Off Deteno'rates, A - Main rrs'k m" FX,
’ 12/ 4
2 300 "WWW 5‘0" fm'“ Concerned shift vs The last Energy & Emerging
Bullish to Neutral ‘ Caoc’tulation'
Decade Mk“ (EEM = 46.9)
I‘.’ l [\Model
I \ nggered
{ I l \ \
2200 l 4\
I“: EEM 5 ,
1 \
Trend

Jan 18 Fetus Mar718 Aprle May-18 lunA18 Jul-‘18 Aug»18 Sepi‘lfl 0rt-18 N0v718 09018 lanrlg

$UBS
x’urtes UBS Equrty Derwatwes Strategy, Bloomberg, Past Performance IS not mdrcatlon of Future Performance
Key Calls vs SPX and EEM in 2017

:s/u Bullluh EM
2850 Equitiel [EM IC
bullish signal 2/12' on extreme
paths contingent on
VOMC; Stay long
equities . long Gold
2750 GlD - 118.2

11/3013ullllh- Year
and momentum
10/70: Bullish-
and strong mkl
Equities
2650 4/7: nourish
market may si;. als
EM Equltlu - \‘
break hiher
EEM IC too low
2/27: Bullish EM
Equities EEM ICtoo 12/4: Cautious

2 550 1/26: Bullilh us

h-sh‘ bullish bias
remains, VIX
Equitues‘ Retirement
Cross»Asset > 91%
Fund Inflow Support,
VIX = 11.1)

grind high\er
2450 11/15: Bullish -
continues
VIX over-hedged;
strong recovery
7/13. Bulliah score
7/25: 51’ Cautiouu,
6/15: Bulllth Equitres' 3/10: aumsh us
Equrt'ie's MT Bullish - VIX Equfln- VIX Cross—
- HFs cut too
2350
— lntrady much + Intraday Cross-Asset Rank Asset Rank > 95% 10/26: Equity
Recovery Falls Beloanupr' (Over-hedged)
3/16: 51' Boomh - mar lust signals
5/2: long. 5m!
Pensions', Retails r Strength remain bulllah
Bound - Bockt o
French electlo‘n
focus on RV
2250
Jan-17 Feb-17 Mar-17 Apr- 17 May-17 Jun-17 Jul-17 Aug-17 Sewn Oct-17 Nov-17 Dec-17

$UBS
Sources UBS Equnty DGYIVBIIVQS Strategy, Bloomberg, Past Performance IS not Indication of Future Pertormante
 .lam 2‘9, 2018 — W'uri'iing‘ Signs [for a 1—week 10% Drawdown
MarketSignals & Flow Positioning
, v _ \ /I
/_,,, . n //
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