Twin Tree Capital Master

Fund, L.P.

Fund Investment Objectives

The Fund's core investment strategy is relative value volatility trading. The Fund constructs trades that take advantage of wide deviations between predicted realized and market implied volatility in various asset classes including equities, foreign exchange, and commodities. Trade ideas are generated and ranked by proprietary models before undergoing a fundamental review. The Fund primarily trades listed and OTC options and hedges using a variety of highly liquid instruments. The four primary strategies are Equity Spreads, Dispersion, Currency Spreads, and Currency Spread Combos (more than two FX pairs). Typically, the duration of new trades is 6-12 months. Actual inception date is 1/31/2013.