The document provides an analysis of the impact of volatility, interest rates, and dividend yield risks on long-dated call options. It discusses the sensitivity of options to changes in implied volatility (vega) and how these changes affect the pricing of options. The document includes figures and tables illustrating the median change in fixed-strike implied volatilities contingent on market rallies and the regression of spot changes against changes in 36-month fixed strike implied volatilities.
documents/vol00010-efta01365340-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0056046","SDNY_GM_00202230","EFTA01365340"]}