The document provides an analysis of volatility, rate, and dividend yield risks for long-dated call options. It discusses the sensitivity of options to implied volatility (vega) and how changes in rates and dividends impact call prices. The document includes a detailed examination of the effects of spot rallies on implied volatilities, highlighting the term-structure and skew effects. It presents data on the median change in fixed-strike implied volatilities contingent on market rallies, with a focus on long-dated options.
documents/vol00010-efta01365010-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"]}