The document compares the performance of equity versus various 36-month call option strategies rolled after 24 months over different market periods. It highlights that while the total return on the SPX was positive, the option strategies underperformed the SPX. However, when adjusted for realized volatility, the option strategies showed better performance compared to equity. The document includes a table and figures illustrating these comparisons and mentions that strategies involving selling 1M options to finance longer-dated ATM calls had higher risk-adjusted returns.
documents/vol00010-efta01365336-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-0056041","SDNY_GM_00202225","EFTA01365336"]}