The document discusses the relative performance of ATM - 1M 2% vs. ATM options, highlighting the risks and performance of short 1M calls and call spreads. It includes a table of relative performance data and analysis of 1M SPX returns distribution over a historical period. The document emphasizes the risk-adjusted performance of call spreads compared to other strategies.
documents/vol00010-efta01365007-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank","Bloomberg Finance LP","Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055593","SDNY_GM_00201777","EFTA01365007"]}