The document provides an analysis of annualized returns and realized volatility for various derivatives strategies, including outright and spread strategies. It discusses the benefits of rolling call spread positions prior to expiry to achieve higher risk-adjusted returns and reduce time decay effects. The document includes multiple tables with data on annualized returns and realized volatility for different strategies and roll periods.
documents/vol00010-efta01364947-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"]}