The document provides simulated profit and loss (P/L) figures for 36-month (36M) and 18-month (18M) at-the-money (ATM) options under various volatility and spot change scenarios after one year. It highlights the impact of time decay and spot moves on option value, with detailed tables showing percentage changes in P/L based on different volatility and spot change scenarios.
documents/vol00010-efta01365341-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"]}