The document discusses the impact of low US interest rates and high implied dividend yields on SPX forward values and call premia. It includes data on US swap rates and SPX forward/spot ratios over time, highlighting the effects of repo rates on call prices.
documents/vol00010-efta01365335-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0056039","SDNY_GM_00202223","EFTA01365335"]}