The document discusses the attractive pricing of long-dated call options due to low forward rates and depressed long-dated implied volatility. It compares historical performances of different long-dated call strategies against the SPX Index, highlighting that call spreads tend to have the highest risk-adjusted returns. The document includes backtests for the period from December 2002 to September 2013, assuming certain transaction costs and investment strategies.
documents/vol00010-efta01364943-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"financial","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055503","SDNY_GM_00201687","EFTA01364943"]}