_dB_

This trade was executed "live" thus hedged by participating counter-parties. Morgan Stanley I believe was the desk responsible for execution and clearing. Quoted on a cash-basis, the original order was for 50% of the size - minutes after execution, the desk returned to the floor to double the trade size. I assumed it to be a positional adjustment. Spread was quoted referenced ES.U 1423.00, and executed with futures trading between 1420.00 and 1422.50. As option models differ, thus delta estimates will vary. My model placed the delta of the entire trade at approximately $850,000. While I'm not 100% certain of the counter-party's identity or initial position, I believe the trade was closing/rolling ~40k of the Z 1450 C bought weeks prior for $20.00-20.30 15k times initiated trading 1362.00 ESU and scaled into throughout the ensuing rally.