Lujiazui Hedge Fund Inc.

Ryota Arafuka

Kuang-Po Lee

Krunal Naik

Jiaqi Wang

Jianhua Yan

• Δ – neutral is good• θ is comparatively low

Greeks

Our Selection - Netflix

Historical Volatility Comparison 1

Source: Bloomberg

Source: Bloomberg

Historical Volatility Comparison 2

Historical Volatility V.S. Current Volatility

Stock Prices of NFLX in 3 Months

Source: Yahoo Finance

Long Volatility Strategy

•Stock: Netflix•Position Strategy: Long Straddle•X: At The Money ($80)•Expiration Date: Jan. 19th, 2013•Δ ≅ 0•Θ is small•Vega > 0, relatively large

Greek Analysis 1

Greek Analysis 2

Comparison of Strategies with Different X

Impact of Different Volatilities

$78.2 $81.8