The document provides an analysis of historical average realized dispersion between major indices (S&P500, EuroStoxx50, Nikkei, EEM, HSCEI) and the current strike prices of Dec15 calls on dispersion. It includes a table of data from Jan 2006 to Jun 2014, showing the current strike price and 1-year average realized dispersion. Additionally, it outlines indicative transaction terms for a European Call on Dispersion with an expiry of 18 Dec 2015.
documents/vol00010-efta01460936-pdf.pdf
{"title":"Outperformance Index Options Analysis","key_people":["Daniel Sabba"],"document_type":"tabular","document_subtype":"financial analysis","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0122682","SDNY_GM_00268866","EFTA01460936"]}