Panel discussion on

Understanding and Exploiting Volatility

1:50 p.m. on Monday, June 26, 2017

At the 22nd Annual Global Indexing and ETFs Conference

In Dana Point, CA

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 Volatility Concepts
Implied Volatility is a
forward-looking annualized
volatility figure derived from
the current market price of
options. The VIX Index is
a measure of 30-calendar-
day implied or expected
volatility.

Historic Volatility is a
measure of actual price
changes during a specific
time period in the past.
Typically, historic volatility
is measured as the
annualized standard
deviation of daily returns
during a specific past
period.
Volatility Indexes and Benchmark Indexes
Annual Returns in 2 Yrs
2008 2016

OVX 145% -34%

VIX 78% -23%

Total return indexes

S&P 500 -37% 12%

S&P GSCI -46% 11%

SP V MidTF Ix 84% -21%

SP V ShrTF Ix 126% -68%

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Term Structure Backwardation and Contango
Backwardation - futures price is lower than the spot price

Contango - futures price is higher than the spot price

Term Structure - Backwardation

VIX has Days in Contango and Backwardation for VIX Index and Front-Month VIX Futures
Jan-May
been in 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

contango # of Days in Contango* 135 131 189 199 169 222 214 209 196 215 95
most days, # of Days in Backwardation* 82 109 49 43 63 15 26 34 43 28 8
daily close of front-month VIX futures* 17.7 31.3 32.3 23.4 24.5 19.1 15.0 14.9 17.7 16.9 12.8
even in 2008 Avg.
Avg, daily close of VIX Index 17.5 32.7 31.5 22.5 24.2 17.8 14.2 14.2 16.7 15.8 11.8
* Source: Bloomberg. The values for Bloomberg's "UX1 <Index>" were used for the-front month VIX futures. In calculating the #
of days in contango and backwardation, days in which the difference was less than 0.10 were not included in the totals.
Select ETPs
ETPs that Use VIX Futures
VXX iPath S&P 500 VIX Short-Term Futures ETN
VXZ iPath S&P 500 VIX Mid-Term Futures ETN
VIXY ProShares VIX Short-Term Futures ETF
TVIX VelocityShares Daily 2x VIX Short Term ETN
UVXY ProShares Ultra VIX Short-Term Futures ETF
XIV VelocityShares Daily Inverse VIX Short-Term ETN
Low-Volatility ETFs
USMV iShares Edge MSCI Min Vol USA ETF

SPLV PowerShares S&P 500 Low Volatility Portfolio ETF

Option-Writing ETFs
PBP Powershares S&P 500 BuyWrite Portfolio

PUTW WisdomTree CBOE S&P 500 PutWrite Strategy ETF

QYLD Horizons NASDAQ-100 Covered Call ETF

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This is not an endorsement of any ETP. Please read closely the applicable prospectus.
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