The document discusses the attractiveness of long-dated SPX call options due to low volatility levels and embedded protection. It highlights the benefits of these options compared to long equity positions and examines the pricing drivers of SPX 18- to 36-month expiry call options. The document includes historical performance data and risk-adjusted returns of different strategies, emphasizing the advantages of call spreads and strategies involving selling 1M options to finance longer-dated calls.
documents/EFTA01077898.pdf
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