SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

selected set of charts for Susquehanna International Group, UBS, and Morgan
Stanley. We can generate these charts for all filers, and all securities.
13. How to read the charts: These charts contain a lot of information. The title lines
identify the filer, the security (“Company Name”), the Market Capitalization
Decile (where “1” indicates a small firm, and “10” indicates a large firm), and the
maximum score for that filer and that security. 12 Each date is identified at the
bottom of the chart: first, days are numbered consecutively (1 to 80), followed by
a letter for the month, and then the date (e.g., N03 indicates November 3 rd ). The
date is followed by an asterisk and the “score” for any date that was identified by
the scoring mechanism.
14. How to read the charts – Security price movements: The dark blue jagged line
shows the daily closing prices for the security. On that line, a yellow or green
diamond indicates a day with a statistically significant stock price drop, and a red
circle indicates an earnings announcement. The grey line indicates the relative
movements of the S&P 500 on that date.
15. How to read the charts – Volume data: The height of the blue volume bar
indicates total reported transaction volume on that date (including long and short
volume). The height of the light pink bar indicates total short selling volume on
that date, as reported by the exchanges. The degree of overlap between the total
short selling volume (light pink bar) and the total trading volume (blue bar)
indicates what percentage of total market volume was associated with short-
12 The “score” reflects the level of interest, based on the criteria identified above. We view the current
criteria and scoring as a work in progress, and would expect to modify the scoring and criteria based on
feedback from staff. Currently, the maximum possible score for a given day is 30.
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For Internal SEC Discussion Purposes Only
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SEC_OEA_FCIC_001877