The document provides an analysis of annualized returns and realized volatility for various equity and derivative strategies, sourced from Deutsche Bank and Bloomberg Finance LP. It discusses the attractiveness of long-dated call options and compares outright call options with call spreads, suggesting strategies for scaling call spread notionals to achieve similar delta exposure as outright calls. Historical backtests indicate better returns and risk-adjusted returns for call spreads after scaling.
documents/vol00010-efta01365008-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank","Bloomberg Finance LP","Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055594","SDNY_GM_00201778","EFTA01365008"]}