1. Trading
Opportunity
STOCKS
VOLATILITY
SCREEN
INDUSTRY/
SUBSECTOR
DIVERGENCES
STOCKS IN
THE NEWS
Stocks
of
Interest
REFERENCE
PORTFOLIO:
ADDS & DELETES
TAKEOVER
TARGETS
BUYERS,JV’s
HIGH SHORT
INTEREST/
PAIREDTRADES
MACRO
Opportunities&
Adjustments
ECONOMIC
NEWS
PORTFOLIO
ATTRIBUTION
ADJUSTMENTS
TACTICAL
INDUSTRY
ALLOCATION
DITMo® Investment Process: Screening
The Process
1. Screen for Overpriced Volatility &
Relative Stability (this slide)
2. Trade Analysis (next slide
3. Risk Control (last slide)
Earnings
IndexAdd/Delete
AnalystRatings
Lockups
Buybacks
RightsOffer
© Copyright, 2015 Peter J. de Marigny. All Rights Reserved. (1)
(Overpriced) Volatility & (Relative) Stability

2. Fundamental
Analysisfor
Stability
Quantitative
AnalysisforOver-
priced
Volatility
REFERENCE
PORTFOLIO ADDS
& DELETES (S&P)
TAKEOVER
TARGETS
BUYERS,JV’s
HIGH SHORT
INTEREST/
PAIREDTRADES
Desired
Portfolio
Attributions
After screening for
Volatility & Stability,
Trade Analysis
is performed to evaluate Buy/Write
Trades that offer a high probability
of exercise due to factors of stability
relative to the volatility premium
price in the option.
Technical Analysis
ofDownside
Potential
Mean Reversion of
Volatility
(Conversion)TARGET RETURN
TARGETED
DELTA,
DOWNSIDE
PROTECTION,
BETA, ETC
TARGETED
TACTICAL INDUSTRY
ALLOCATION
LOW TOTAL
LEVERAGE, LOW
T-RATIO
LOW
DOWNSIDE
EXPOSURE, IND.
RESEARCH,
INLINE COMPS.
ROIC>WACC
=ECONOMIC
VALUE
ADDED
DITMo® Investment Process: Trade Analysis
(Overpriced) Volatility & (Relative) Stability
© Copyright, 2015 Peter J. de Marigny. All Rights Reserved. (2)

3. Portfolio
Evaluation &
Adjustment
Individual
Trades
Liquidity
DITMo® is a risk-driven strategy.
SCREENING and ANALYSIS proc-
esses attempt to attain the maxi-
mum DOWNSIDE PROTECTION
offered by the volatility priced into
the option covering an underlying
stock believed to exhibit maximum
stability.
HIGH
PROBABILITY
EXERCISE FOR
HIGH MO
TURNOVER
ZEROTARGET
LEVERAGE AT
EXPIRY DATE
POSITION
& CALENDAR
MONTH LIMITS,
MARKET LEVEL
LADDERING
INDUSTRY
DIVERSIFICATION
METRICS BETA,
AVG OPTION
EXPIRATION,
AVG WEIGHTED
DELTA
HIGHVISIBILITY
SHORT HOLDING
PERIOD 2-4 MOS
IFOPTIONNOT
EXERCISED
THENEXECUTE
OVERWRITE
OVERWRITE TRADE
FALLING OUTOF
THE MONEY
CUSHIONOVER
STRIKEAT TIME
OFTRADE &LIVE
DITMo® Investment Process: Risk Control
(Overpriced) Volatility & (Relative) Stability
© Copyright, 2015 Peter J. de Marigny. All Rights Reserved. (3)