The document provides an analysis of SPX option premiums, highlighting the decline in SPX spot implied throughout 2013 and its impact on long-dated call premiums. It includes tables showing current, median, and percentile premiums for various SPX maturities and a historical comparison of implied volatilities from 2003 to 2013. The document also discusses the effects of rate volatility and rate-equity correlations on option premiums.
documents/vol00010-efta01364942-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank","Bloomberg Finance LP"],"reference_numbers":["DB-SDNY-0055501","SDNY_GM_00201685","EFTA01364942"]}