RS Group develops cloud-based financial applications for options and derivatives traders. Their suite of tools allows traders to perform large-scale analysis more efficiently using cloud computing. This includes analyzing large portfolios to develop timely hedging strategies. RS Group has designed risk management and analysis software over 10 years. Their software manages risk, calculates hedges and simulations over the cloud, and allows for statistical studies and large-scale analyses. Screenshots show portfolio positions, skew analysis, correlation analysis, beta analysis, and simulation of positions under changing prices and volatility.

1. RS Group DeltabookRS Group Deltabook
forfor
Cloud ComputingCloud Computing

2. Mission StatementMission Statement
RS Group, LLC is a limited liability corporation whose mission is toRS Group, LLC is a limited liability corporation whose mission is to
develop cloud based financial applications for options and derivativesdevelop cloud based financial applications for options and derivatives
traders.traders.
Our suite of tools allows trades to perform large scale analysis in aOur suite of tools allows trades to perform large scale analysis in a
more efficient and cost effective manner using cloud based computing.more efficient and cost effective manner using cloud based computing.
This allows for the analysis of extremely large portfolios leading toThis allows for the analysis of extremely large portfolios leading to
much more timely hedging strategies and the development of moremuch more timely hedging strategies and the development of more
efficient tracking baskets.efficient tracking baskets.
RS Group LLC has designed software for risk management andRS Group LLC has designed software for risk management and
analysis of equity options, Statistical Arbitrage and Statistical Meananalysis of equity options, Statistical Arbitrage and Statistical Mean
Reversion Strategies. Our technology has been developed over a tenReversion Strategies. Our technology has been developed over a ten
year period at considerable cost.year period at considerable cost.

3. Benefits of Cloud Based AnalyticsBenefits of Cloud Based Analytics
 Manage the risk of large derivative books and multi-asset portfolios.Manage the risk of large derivative books and multi-asset portfolios.
 Instantaneously calculate hedges and conduct simulations over theInstantaneously calculate hedges and conduct simulations over the
cloud varying multiple factors.cloud varying multiple factors.
 Calculate large scale co-variance matrices and beta analysisCalculate large scale co-variance matrices and beta analysis
across assets. Ideal for pairs/ statistical arbitrage desks.across assets. Ideal for pairs/ statistical arbitrage desks.
 Statistical studies and monte carlo simulations are more tractableStatistical studies and monte carlo simulations are more tractable
over the cloud allowing for more rigorous analysis of complexover the cloud allowing for more rigorous analysis of complex
scenarios.scenarios.
 Large scale basket arbitrage vs ETFs becomes more scalable.Large scale basket arbitrage vs ETFs becomes more scalable.

4. Screen ShotsScreen Shots
Portfolio represented as equivalent position for every hedge security. Positions are aggregatedPortfolio represented as equivalent position for every hedge security. Positions are aggregated
by net option dollarized delta, gamma, vega and theta. The daily P&L is reported per hedgeby net option dollarized delta, gamma, vega and theta. The daily P&L is reported per hedge
along with the theoretical Fair P&L (Fair P&L is the difference between the market volatilityalong with the theoretical Fair P&L (Fair P&L is the difference between the market volatility
and the price due to the users hedge volatility).and the price due to the users hedge volatility).

5. Skew Analysis of Option BooksSkew Analysis of Option Books

6. Rolling Volatility StudyRolling Volatility Study

7.  Screen Shot: Hedge Option DetailScreen Shot: Hedge Option Detail
Option Detailed Position for a single hedge. Detailed information for each option in theOption Detailed Position for a single hedge. Detailed information for each option in the
portfolio is shown. Individual hedge volatilities can be changed from this window or optionportfolio is shown. Individual hedge volatilities can be changed from this window or option
hedge volatilities can be assigned from implied volatilities. In this example, each TNAhedge volatilities can be assigned from implied volatilities. In this example, each TNA
option is hedged at the same volality (49%), but it is possible to assign a different hedgeoption is hedged at the same volality (49%), but it is possible to assign a different hedge
volatility to each option.volatility to each option.

8. Correlation AnalysisCorrelation Analysis
The hedge securities in a portfolio are used to construct a Correlation Matrix over certain userThe hedge securities in a portfolio are used to construct a Correlation Matrix over certain user
defined time periods. The correlation matrix can then be used to generate relative value trades.defined time periods. The correlation matrix can then be used to generate relative value trades.
Portfolios can be imported from text files and from certain other formats.Portfolios can be imported from text files and from certain other formats.

9. Beta AnalysisBeta Analysis
Market Betas are computed for all equities within a portfolio.Market Betas are computed for all equities within a portfolio.
These betas are useful for simulating portfolios or for shock matrix results. When simulatingThese betas are useful for simulating portfolios or for shock matrix results. When simulating
a portfolio, each hedge can be changed by a certain percentage, or that percentage can bea portfolio, each hedge can be changed by a certain percentage, or that percentage can be
beta adjusted.beta adjusted.

10. Shock Matrix Price AnalysisShock Matrix Price Analysis
Portfolios of options can be analyzed for correlated changes in price and volatility.Portfolios of options can be analyzed for correlated changes in price and volatility.
Typically individual option volatilities are correlated, and simulations over a range of price andTypically individual option volatilities are correlated, and simulations over a range of price and
volatilities can expose situations of minimum and maximum risk.volatilities can expose situations of minimum and maximum risk.
In this case, the entire portfolio is simulated over a range of hedge prices changes from -10% toIn this case, the entire portfolio is simulated over a range of hedge prices changes from -10% to
+10% in increments of 2%. When prices move lower, equity volatility moves higher while higher+10% in increments of 2%. When prices move lower, equity volatility moves higher while higher
prices are typically accompanied by decreased volatility.prices are typically accompanied by decreased volatility.

11. Simulation of underlying positions in price and volatilitySimulation of underlying positions in price and volatility
The top view shows the portfolio valued at the current price and user hedge volatilities. The bottom view
has the portfolio valued with prices adjusted by 10% and with volatility increased by 5% (ie hedge volatility
of 20% increases by 5% to 21%)

12. Simulation Detail for hedge SPX changing volatility and priceSimulation Detail for hedge SPX changing volatility and price
The top view shows the detailed SPX option position valued at the current price and the hedge volatilities.
The bottom view shows the option detail valued with prices adjusted by 10% and with volatility increased
by 5% (ie hedge volatility of 20% increases by 5% to 21%).
This comparison allows the user to quickly see in detail how the value and risk, of each option would change
as prices or volatility change.
Additionally the days to expiration can be adjusted, so that the position can be walked forward to see how
the position changes with the passage of time.

13. Principal BiographiesPrincipal Biographies
 Brian Crone is a co-founding principal of RS Group LLC and is responsible for co-Brian Crone is a co-founding principal of RS Group LLC and is responsible for co-
developing trading systems and quantitative trading strategies of the group as well asdeveloping trading systems and quantitative trading strategies of the group as well as
engaging in capital raising activities. Brian is chief strategist for RS Group.engaging in capital raising activities. Brian is chief strategist for RS Group.
 Prior to RS Group, Brian worked as Senior Vice President of Business DevelopmentPrior to RS Group, Brian worked as Senior Vice President of Business Development
at Outercurve Technologies (a financial wireless service provider) where he wasat Outercurve Technologies (a financial wireless service provider) where he was
responsible for new business initiatives in the European market and managed keyresponsible for new business initiatives in the European market and managed key
client projects with top-tier financial institutions. Additionally Brian was a Director ofclient projects with top-tier financial institutions. Additionally Brian was a Director of
Derivative Trading at Nomura Securities including responsibility for the EasternDerivative Trading at Nomura Securities including responsibility for the Eastern
European trading book as well as positions in proprietary quantitative trading andEuropean trading book as well as positions in proprietary quantitative trading and
quantative research. Before joining Nomura Brian worked in fixed income trading andquantative research. Before joining Nomura Brian worked in fixed income trading and
research and trading at Deutsche bank where he was responsible for developingresearch and trading at Deutsche bank where he was responsible for developing
fixed income. Trading systems and quantitative strategies for the government bondfixed income. Trading systems and quantitative strategies for the government bond
dealing operation.dealing operation.
 Brian holds a PhD and M.S. in Applied Mathematical Finance from Cornell.Brian holds a PhD and M.S. in Applied Mathematical Finance from Cornell.

14. Principal BiographiesPrincipal Biographies
 Larry Rubin is a co-founding principal of RS Group LLC and is responsible for itsLarry Rubin is a co-founding principal of RS Group LLC and is responsible for its
technology and operational activities.technology and operational activities.
 Larry spent a over decade on Wall Street as a proprietary trader for Solomon SmithLarry spent a over decade on Wall Street as a proprietary trader for Solomon Smith
Barney, Lehman Brothers, Nomura Securities and Barclays Capital trading marketBarney, Lehman Brothers, Nomura Securities and Barclays Capital trading market
neutral strategies using equity and capital market derivatives. Mr. Rubin was alsoneutral strategies using equity and capital market derivatives. Mr. Rubin was also
responsible for the Smith Barney Emerging Market Structured Products group andresponsible for the Smith Barney Emerging Market Structured Products group and
worked closely with the Risk Management Group to help analyze various one offworked closely with the Risk Management Group to help analyze various one off
deals ranging from D&O insurance premiums to reload option valuation. Mr. Rubindeals ranging from D&O insurance premiums to reload option valuation. Mr. Rubin
later founded a wireless technology company that employed over 80 full-timelater founded a wireless technology company that employed over 80 full-time
people and servedpeople and served as its Chairman and Chief Executive Officer.as its Chairman and Chief Executive Officer.
 Prior to working on Wall Street, Mr. Rubin was a consultant at IBM and BellPrior to working on Wall Street, Mr. Rubin was a consultant at IBM and Bell
Laboratories, where he co-patented a new technique in neural networks and objectLaboratories, where he co-patented a new technique in neural networks and object
orientationorientation detection. He received his undergraduate degree from Brooklyn Collegedetection. He received his undergraduate degree from Brooklyn College
and later earned several advanced degrees from New York University.and later earned several advanced degrees from New York University.

15. Contact InformationContact Information
Brian Crone, Principal
bcrone@rsgroupllc.com
sales@rsgroupllc.com
Larry Rubin, Principal
lrubin@rsgroupllc.com