The document provides an analysis of SPX option premiums, highlighting the decline in SPX spot implied volatility throughout 2013 and its impact on long-dated call premiums. It includes tables showing current premiums, median, percentile ranges, and historical data for different maturities. The document also discusses the effects of low rate volatility and decreased correlation between rates and equities on option premiums.
documents/vol00010-efta01365334-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank","Bloomberg Finance LP"],"reference_numbers":["DB-SDNY-0056038","SDNY_GM_00202222","EFTA01365334"]}