The document provides an analysis of volatility, rate, and dividend yield risks for long-dated calls, focusing on how implied volatilities evolve after a spot rally and the impact of changes in rates and dividends on call prices. It discusses the sensitivity of options to implied volatility (vega) and the effects of term-structure and skew on implied volatilities. Figures 23 and 24 illustrate the changes in fixed-strike implied volatilities contingent on market rallies.
documents/vol00010-efta01364948-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank"],"reference_numbers":["DB-SDNY-0055509","SDNY_GM_00201693","EFTA01364948"]}