The document provides an analysis of annualized returns and realized volatility for various derivatives strategies, including outright and spread positions. It discusses the benefits of rolling call spread positions prior to expiry to achieve higher risk-adjusted returns and manage delta exposure. The document includes multiple tables with data on different strategies and roll periods.
documents/vol00010-efta01365009-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0055595","SDNY_GM_00201779","EFTA01365009"]}