The document discusses the performance of various call and spread strategies in the US derivatives market from December 2002 to September 2013. It includes tables comparing annualized returns and realized volatility for different strategies, highlighting the performance of short-dated options and the impact of market conditions on these strategies.
documents/vol00010-efta01364945-pdf.pdf
{"title":"US Derivatives Spotlight","key_people":["Salil Aggarwal"],"document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank","Bloomberg Finance LP"],"reference_numbers":["DB-SDNY-0055505","SDNY_GM_00201689","EFTA01364945"]}