Confidential – Do Not Copy or Distribute

ƒ What Is An S&P 500 Index Put
Option?
ƒ What Determines the Price of An
Index Option?
ƒ
Writing Index Put Options
ƒ
Why Index Put Options Have
Historically Been Overpriced
ƒ
The Index Option Put Skew
ƒ
Option Strategy Benchmarks
ƒ
The PUT Index
ƒ
The Mechanics of the PUT Index
ƒ Collateralized Short Put One
Month P/L
ƒ
PUT Index vs. S&P 500 TR
ƒ
Differential Return By Year
ƒ
PUT Index vs. Major Total
Return Indexes
ƒ
Differential Return By Year
ƒ PUT Index vs. BXM Index
ƒ
Ansbacher Real Time
Trading Results
ƒ
Exchange Traded Notes
ƒ
XPT: The PUT Index Linked ETN
ƒ
Ansbacher Investment Management
1

ƒ
S&P 500 Index put option writers assume the full downside risk of the underlying index in return for a fixed amount.
ƒ
Therefore, as with anybody who provides insurance, the put writer can demand a premium for offering this protection.
ƒ
The huge demand for portfolio protection by those who are long the
S&P 500 represents an almost unlimited market for the far smaller number of natural put sellers.
ƒ
Index put buyers are insuring their portfolios against an unlikely event, not hoping to turn a profit on the trade.
ƒ
This is why index options have historically been overpriced relative to the realized movements of the underlying index.
2

ƒ Portfolio insurance buyers often utilize out-of-the-money, rather than atthe-money S&P 500 Index puts.
ƒ
The distance between the strike price of the put and the current index value can be compared to a deductible in an insurance policy.
ƒ The higher the deductible, i.e. the farther OTM the put, the lower the premium.
ƒ
Institutional investors’ voracious appetite for index protection causes
OTM S&P 500 Index puts to be valued significantly higher than comparably OTM calls. This causes a Skew in option pricing.
ƒ The overpricing is carried up through the entire option chain, causing all
S&P 500 Index options to be overpriced relative to the realized movements of the underlying index.
3

ƒ
The Chicago Board Option Exchange ® (CBOE ® ) publishes several benchmarks for option based strategies.
ƒ All of these strategies are designed to capture the Alpha that consistently selling overpriced index options has proven to generate.
ƒ Among these, the well known CBOE S&P 500 BuyWrite Index
(BXM SM ) Index tracks the results of a passive ATM covered call strategy, executed on the S&P 500 Index.
ƒ Since June 1988, the BXM Index has offered long-term total returns comparable to those of the S&P 500 with almost one third less volatility and significant bear market outperformance.
ƒ The CBOE S&P 500 PutWrite Index (PUT) tracks the results of a passive program that sells near-term, at-the-money S&P 500 Index puts.
4

ƒ
The PUT Index employs a similar strategy to the one employed by the BXM
Index. In fact, collateralized put writing has the same risk/reward profile as covered call writing.
ƒ
Therefore, even though it may seem counterintuitive, a consistent index put writing strategy offers the same advantages as a consistent index covered call strategy.
ƒ
The PUT Index offers a way to gain exposure to the S&P 500 that has historically offered higher long-term total returns with significantly less volatility and bear market outperformance.
ƒ
The premium collected by the consistent sale of the ATM puts has more than compensated for the loss of upside exposure to the S&P 500.
ƒ
The PUT Index takes advantage of the fact that put buyers are willing to overpay for portfolio protection.
5

ƒ The PUT Index consistently sells near-term, ATM puts and holds them to expiration, when new ATM puts are sold.
ƒ The only other component of the strategy is collateral equal to the total notional S&P 500 exposure of the short put position.
ƒ This collateral is invested at the prevailing “risk-free rate”.
ƒ Therefore, just as in an S&P 500 Index covered call program, the downside exposure is the same as a long position in the S&P 500 less the premium received from the sale of the index option, and the upside potential is limited to the premium received.
ƒ
The PUT Index strategy offers a way for investors to transfer the Alpha generated by the excess risk premium imbedded in index options onto an asset class where they already assume downside risk: equities.
6

P/L
S&P Value at 1-Month Option Expiration
A: Possible Month-End P/L for the Collateralized Put Position
B: Possible Month-End P/L for the Long S&P 500 Position
C: Amount of Premium Received for the Sale of the Put Option
7

June 1988 – January 2008
$11,000
$9,000
$7,000
$5,000
$3,000
$1,000
Ju n-
8
8
Ju n-
8
9
Ju n-
9
0
Ju n-
9
1
Ju n-
9
2
Ju n-
9
3
Ju n-
9
4
Ju n-
9
5
Ju n-
9
6
Ju n-
9
7
Ju n-
9
8
Ju n-
9
9
Ju n-
0
0
Ju n-
0
1
Ju n-
0
2
Ju n-
0
3
Ju n-
0
4
Ju n-
0
5
Ju n-
0
6
Ju n-
0
7
$9,563
$8,140
PUT Index
S&P 500 TR
8

Rolling 5-Year Annualized Returns
30%
20%
10%
0%
-10%
M ay
-9
3
M ay
-9
4
M ay
-9
5
M ay
-9
6
M ay
-9
7
M ay
-9
8
M ay
-9
9
M ay
-0
0
M ay
-0
1
M ay
-0
2
M ay
-0
3
M ay
-0
4
M ay
-0
5
M ay
-0
6
M ay
-0
7
PUT Index
S&P 500 TR
9

Rolling 5-Year Annualized Standard Deviation
20%
17%
15%
12%
10%
7%
5%
2%
M ay
-9
3
M ay
-9
4
M ay
-9
5
M ay
-9
6
M ay
-9
7
M ay
-9
8
M ay
-9
9
M ay
-0
0
M ay
-0
1
M ay
-0
2
M ay
-0
3
M ay
-0
4
M ay
-0
5
M ay
-0
6
M ay
-0
7
PUT Index
S&P 500 TR
10

Long Term Relative Performance (June 1988 – January 2008)
Annualized
Statistical Analysis ROR
PUT Index 12.17%
S&P 500 TR 11.25%
Standard
Deviation
8.30%
13.65%
Sharpe
0.84
0.49
Alpha
6.40%
Beta
0.49
Correlation
R
0.80
R 2
0.64
Tracking
Error
8.59%
Active
Premium
0.91%
Info.
Ratio
0.11
Bull Market Relative Performance (July 1994 – March 2000)
Annualized
Statistical Analysis ROR
PUT Index 19.66%
S&P 500 TR 25.94%
Standard
Deviation
7.93%
14.20%
Sharpe
1.70
1.37
Alpha
8.00%
Beta
0.44
Correlation
R
0.79
R 2
0.62
Tracking
Error
9.50%
Active
Premium
(6.28)%
Info.
Ratio
(0.66)
Bear Market Relative Performance (April 2000 – February 2003)
Annualized
Statistical Analysis
PUT Index
ROR
(4.30)%
S&P 500 TR (16.79)%
Standard
Deviation
13.73%
17.80%
Sharpe
(0.61)
(1.21)
Alpha
7.21%
Beta
0.62
Correlation
R
0.81
R 2
0.66
Tracking
Error
11.17%
Active
Premium
12.49
Info.
Ratio
1.12
11

(June 1988 – January 2008)
1999
21.01%
21.04%
(0.03)%
2008
PUT Index (5.37)%
S&P 500 TR (6.00)%
+/0.63%
1998
18.54%
28.58%
(10.03)%
1997
27.68%
33.36%
(5.68)%
2007
9.50%
5.49%
4.01%
1996
16.40%
22.96%
(6.55)%
2006
15.16%
15.79%
(0.64)%
1995
16.88%
37.58%
(20.70)%
2005
6.71%
4.91%
1.80%
1994
7.10%
1.32%
5.78%
2004
9.48%
10.88%
(1.40)%
2003
21.77%
28.68%
(6.91)%
1993
14.14%
10.08%
4.06%
2002
(8.58)%
(22.10)%
13.52%
1992
13.80%
7.62%
6.18%
2001
(10.63)%
(11.88)%
1.25%
1991
21.32%
30.47%
(9.15)%
2000
13.06%
(9.11)%
22.17%
1990
8.88%
(3.11)%
11.99%
12

June 1988 – January 2008
$11,000
$9,000
$7,000
$5,000
$3,000
$1,000
Ju n-
8
8
Ju n-
8
9
Ju n-
9
0
Ju n-
9
1
Ju n-
9
2
Ju n-
9
3
Ju n-
9
4
Ju n-
9
5
Ju n-
9
6
Ju n-
9
Ju
7 n-
9
8
Ju n-
9
9
Ju n-
0
0
Ju n-
0
1
Ju n-
0
Ju
2 n-
0
3
Ju n-
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4
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5
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7
P UT , $ 9 ,5 6 3
B XM , $ 8 ,0 2 2
R u s s e ll 2 0 0 0 , $ 6 ,7 4 1
LB A g g re g a t e , $ 4 , 2 6 2
M S C I EA F E , $ 3 ,5 9 3
3 M n th Libo r, $ 2 ,5 9 4
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Long Term Relative Performance (June 1988 – January 2008)
Annualized
Statistical Analysis ROR
PUT Index 12.17%
BXM Index 11.17%
Standard
Deviation
8.30%
9.17%
Sharpe
0.84
0.67
Alpha
2.26%
Beta
0.87
Correlation
R
0.96
R 2
0.93
Tracking
Error
2.53%
Active
Premium
1.00%
Info.
Ratio
0.39
Differential Return Performance (June 1988 – January 2008)
PUT Index
BXM Index
+/-
2008
(5.37)%
(5.92)%
0.55%
2007
9.50%
6.58%
2.92%
2006
15.16%
13.34%
1.82%
2005
6.71%
4.23%
2.49%
2004
9.48%
8.29%
1.19%
2003
21.77%
19.38%
2.40%
2002
(8.58)%
(7.64)%
(0.93)%
2001
(10.63)%
(10.94)%
0.31%
2000
13.06%
7.38%
5.68%
1999
21.01%
21.17%
(0.15)%
1998
18.54%
18.96%
(0.41)%
1997
27.68%
26.64%
1.04%
1996
16.40%
15.51%
0.90%
1995
16.88%
20.97%
(4.09)%
1994
7.10%
4.51%
2.59%
1993
14.14%
14.09%
0.04%
1992
13.80%
11.52%
2.27%
1991
21.32%
24.39%
(3.07)%
1990
8.88%
3.99%
4.89%
14

(May 2007 – January 2008)
Annualized
Statistical Analysis
Real Time Trading
PUT Index
ROR
2.61%
1.89%
Standard
Deviation
8.45%
8.78%
Sharpe
(0.23)
(0.30)
Alpha
0.77%
Beta
0.96
Correlation
R
1.00
R 2
1.00
Tracking
Error
0.55%
Active
Premium
0.72%
Info.
Ratio
1.31
15

ƒ
Exchange Traded Notes (ETNs) are exchange traded securities whose performance is linked to the return of a benchmark index.
ƒ
ETNs are senior, unsecured, unsubordinated debt securities issued by a bank. As such, they are debt instruments, subject to the credit rating of the issuer.
ƒ
ETNs are designed to provide investors a return that is linked to the performance of a market index, minus investor fees.
ƒ
Unlike Closed End Funds, ETNs should not trade at a significant discount or premium to their NAV.
16

ƒ
Founded in 1995 by Max Ansbacher, who wrote the first book on exchange-traded options.
ƒ
With $120 million under management, one of the largest firms in the
U.S. exclusively devoted to managing index option strategies.
ƒ
Two full-time portfolio managers with more than 50 years of combined option management experience.
ƒ
Ansbacher’s flagship fund, Elizaville Partners LP, has ranked among the Top-10 large U.S. CTAs for risk-adjusted return in the last one-, three-, five- and ten-year periods ( MARHedge Magazine ).
ƒ
Ansbacher Investment Management was the first firm to receive a license to offer investment products based on the PUT Index.
17

ƒ
The voracious demand for portfolio protection has caused S&P 500
Index options to be overpriced relative to the actual movements of the index.
ƒ
The CBOE tracks several strategies that have outperformed a long position in the S&P 500 by consistently collecting index option premium.
ƒ
Since 1988, the CBOE S&P 500 PutWrite Index has offered greater return, significant volatility reduction and bear market outperformance.
ƒ
The PUT Index won the award for Most Innovative New Benchmark
Index at the 2007 Super Bowl of Indexing.
ƒ
The PUT strategy is available as an ETN and can also be used as a benchmark for active management.
18

Max G. Ansbacher , President , founded the firm in 1995 after 20 years with Bear Stearns, where he managed option accounts on a discretionary basis. He is frequently quoted in the media, including The Wall Street Journal , and has been a frequent guest commentator on the Bloomberg Television
Network, as well as the Fox News Channel and CNBC. He is the author of three books on investing, including The New
Options Market , Fourth Edition, which was the first book ever published on exchange-traded options, and has become one of the all-time best-selling books on the subject. He was featured in Forbes magazine, October 18, 2004. Mr. Ansbacher is a graduate of the University of Vermont and Yale Law School.
Laurence E. Goellner, Vice President, Operations , has been with AIM for nine years. He is a registered broker, qualified to trade stocks and options with experience in a wide variety of asset management areas including compliance, risk management, and reporting. He is responsible for daily communications with AIM’s brokers on the floor of the CME, order allocation, and client liaison.
Jason Ungar, Director, specializes in the development and implementation of short volatility strategies designed to meet the needs of institutional clients. For three years prior to his joining AIM, he was a Partner at Apogee Capital, LLC, and prior to that, he was a Financial Advisor with RBC Dain
Rauscher. Mr. Ungar’s opinions on option strategies have appeared in numerous publications including: Pensions &
Investments, Investment News, and Thestreet.com. He is
Series 7, 66, and 3 licensed. Mr. Ungar is a graduate of St.
John’s College, Annapolis.
Herbert Moore, Vice President, Mr. Moore assists in the development and implementation of volatility strategies.
Before joining AIM, he was a Portfolio Manager at Ezra Zask
Advisors, where he was responsible for constructing custom hedge fund portfolios for investors and quantifying portfolio risk. Prior to that, he was an Associate at Azimuth Trust, a fund of funds, where he monitored Fixed Income and Global
Macro hedge fund managers. Mr. Moore holds a BA in
Economics from The George Washington University.
Rosemary Zraly, Director of Administration , has responsibility for office management and all written communications with clients and prospects, email processing and maintaining records. Before joining AIM, she was the
President of her own firm, which marketed various brands of
French Champagne in the United States.
19

515 Madison Avenue, 29th Floor, New York, NY 10021
Phone: 212 308-2929
Fax: 212 308-0777 e-Mail: ju@ansbacherUSA.com
Website: AnsbacherUSA.com
Legal & Compliance :
U.S. Fund Auditors:
Sidley Austin LLP, Stark & Stark LLP
Goldstein Golub Kessler LLP
U.S. Fund Accountants : Michael J. Liccar & Co.
Fund Broker : Bear Stearns Inc.
U.S. Fund: Elizaville Partners LP, a New York State Limited Partnership
Offshore Fund: Elizaville (BVI) Fund Ltd., an International Limited Partnership formed in the British Virgin Islands
20

Exchange-traded notes based on the PUT Index ( " Securities " ) are not sponsored, endorsed, sold or promoted by
Standard & Poor's ("S&P") or Chicago Board Options Exchange, Incorporated ("CBOE") and S&P and CBOE make no representation regarding the advisability of investing in the Securities.
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (the " ODD " ). The ODD and supporting documentation for any claims, comparisons, recommendations, statistics or other technical data in these materials are is available by calling 1-888-OPTIONS, or contacting CBOE at www.cboe.com/Contact . The PUT logo is a service mark of CBOE. The methodology of the CBOE S&P 500 PutWrite Index is owned by CBOE and may be covered by one or more patents or pending patent applications. The CBOE S&P 500 PutWrite Index is designed to represent a proposed hypothetical short put strategy. Like many passive indexes, the PUT Index does not take into account significant factors such as transaction costs and taxes and, because of factors such as these, many or most investors should be expected to underperform passive indexes. In the construction of the hypothetical PUT index, the SPX puts are assumed to be written at a certain price on the third Friday of the month. However, there is no guarantee that all investors will be able to sell at this price, and investors attempting to replicate the PUT Index should discuss with their brokers possible timing and liquidity issues. Transaction costs for a put writing strategy such as the PUT could be significantly higher than transaction costs for a passive strategy of investing in Treasury
Bills. Past performance does not guarantee future results. This website presentation contains comparisons, assertions, and conclusions regarding the performance of an index based on backtesting, i.e., calculations of how the index might have performed in the past if it had existed. Backtested performance information is purely hypothetical and is provided in this website presentation solely for informational purposes. Backtested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Historical PUT daily data is provided for reference purposes only. Supporting documentation for claims, comparisons, recommendations, statistics or other technical data is available by calling 1-888-OPTIONS, sending an e-mail to help@cboe.com, or by visiting www.cboe.com/put . CBOE® and Chicago Board Options Exchange> ® are registered trademarks of CBOE and BXM, BXD, BXN the PUT logo and BXY SPX are servicemarks of CBOE.
Standard & Poor's, S&P and S&P 500 are registered trademarks of the McGraw-Hill Companies, Inc. and are licensed for use by CBOE. Copyright © 2008 Chicago Board Options Exchange, Incorporated. All Rights
Reserved.
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