The report discusses the attractiveness of long-dated SPX call options due to low volatility levels and embedded protection. It examines pricing drivers, historical returns, and compares strategies to outright equity. The report finds that call spreads have the highest risk-adjusted returns and discusses the sensitivity of call premia to various factors.
documents/vol00010-efta01365332-pdf.pdf
{"title":"The Compelling Case for Long-Dated SPX Calls","key_people":["Salil Aggarwal"],"document_date":"2013-12-03","document_type":"financial","key_locations":["North America","United States"],"document_subtype":"research report","key_organizations":["Deutsche Bank"],"reference_numbers":["MICA(P) 054104/2013","DB-SDNY-0056035","SDNY_GM_00202219","EFTA01365332"]}