The document discusses the current state of call option pricing, highlighting that low interest rates, high dividend yields, and low implied volatility levels make long-dated calls historically cheap. It includes figures showing the drivers of call option pricing and their historical levels, as well as the distribution of call pricing for different maturities and strikes over the past decade.
documents/vol00010-efta01365003-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055587","SDNY_GM_00201771","EFTA01365003"]}