The document compares the impact on current SPX call premium from changes in spot, implied volatility, rates, and dividend yields. Delta risk is identified as the prominent driver. Parameters have been adjusted to scale relative movements, with a parallel adjustment across the term structure.
documents/vol00010-efta01365014-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055600","SDNY_GM_00201784","EFTA01365014"]}