LJM Partners, Ltd.

Option Writing Program

LJM ("LJM") utilizes a market neutral trading strategy. LJM believes the S&P 500 market to be efficiently priced and LJM does not attempt to forecast market direction. LJM utilizes S&P 500 options on futures to initiate market neutral positions by simultaneously writing (selling) deep-out-of-the-money call and put options, followed by appropriate adjustments based on movement of the underlying S&P 500 futures contract. Profits are derived when the price of the options that have been written (sold) declines such that the options can be purchased for amounts less than the price at which those options were initially sold. Profits also are realized when options expire worthless, providing full profit on the option premium sold (after commission and other fees). LJM’s primary trading philosophy is for profits to be made when the value of options are reduced as a function of time, rather than a function of market direction. The greatest risk entailed with LJM’s trading strategies occurs during periods of excessive S&P 500 Index volatility, specifically large directional movements. Because the probability of major movements of 20% or more in the S&P 500 Index within a 30-day period is far greater for downward market movements contrasted to upward movements, the trading strategies employed by LJM are more cautious regarding major down movements contrasted to upward movements in the S&P 500 Index. Trading strategies provide for making regular adjustments to option positions, including the acceptance of losses to minimize or eliminate risk. LJM Investment Methodology LJM Partners has developed a rich expertise in trading equity index options. Although LJM has profited from a trading a variety of index options and equity options strategies, LJM trades options on S&P Futures as its exclusive investment vehicle. Through extensive empirical trading experience, LJM has developed a market neutral trading strategy with a belief that the S&P 500 market is always efficiently priced. LJM does not attempt to forecast market direction, rather LJM derives profits as a function of the "time decay" of options by managing changes in underlying volatility. The basic principle of LJM’s trading methodology is to simultaneously write (sell) deep-out-of-the-money call and put options, and profit when the price of the options that have been written (sold) declines such that the options can be purchased for amounts less than the price at which those options were initially sold. Profits are also realized when options expire worthless, providing full profit on the original option premium sold. When simultaneously initiating out-of-the-money "call" and "put" option positions, either the call or the put option positions are guaranteed to be profitable when the option reaches expiration, with the potential for both positions to be profitable. This description of LJM’s neutral premium writing strategy is intentionally simplistic. Trading methodology to adjust for variable market conditions are critical to LJM’s success and remain proprietary. However, it is important to recognize that LJM has developed expertise in utilizing volatility and understanding option pricing dynamics to optimize trading mechanics. LJM does not "day trade", place "directional trades", or attempt to "time the market". If requested, LJM can tailor specific trading strategies with varied investment return targets based on the investment objectives including correlation factors and risk profile of an individual or institutional client.