The document provides an analysis of annualized returns for various equity and derivative strategies, including outright and spread options. It discusses the attractiveness of long-dated calls and compares risk-adjusted returns for different call and call spread strategies. The analysis includes historical backtests and suggests that call-spreads may offer better returns when scaled to equivalent delta as outright calls.
documents/vol00010-efta01364946-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-0055507","SDNY_GM_00201691","EFTA01364946"]}