Summary

-Results prior to May 2004 are from accounts under management prior to the formation of Parrot Trading Partners. PTPâ??s Strategy Distinction The â??Calendar Condorâ?? strategy employed by PTP allows it to take advantage of certain market inefficiencies in the pricing of options as well as the natural tendency of options to decrease in value over time. We identify a range of market activity and establish short option positions to be profitable in the ensuing 2-6 week period. We hedge these short positions with long option positions in the deferred months to mitigate our risk. This strategy, employed consistently, attempts to provide better than average returns over time. More importantly, this strategy does not correlate to the S&P 500 or other more typical equity indices because of its negative beta. Additionally, PTPâ??s managing partner, Jes Santaularia, invests a significant amount of his personal liquidity in the fund. Decision Making Process We evaluate the market at the beginning and end of each day based on the following: 1. Market position within its current trend or trading range 2. Size of account and status of contributions and withdrawals 3. Delta neutrality 4. Vega and Gamma risk 5. Number of days to expiration of short option positions Utilizing these factors, we adjust our position to maintain an appropriate risk/reward parameter, which will generate a consistent series of positive returns over a 60-90 day horizon. Risk Quantification We quantify risk by measuring Delta, Vega, and Gamma relative to the present market position. We manage our risk by maintaining Delta neutral and managing our positions on a daily basis. When necessary, we adjust to movements in the market for 2-3 week trends so that we do not have to trade intraday.