The document provides simulated profit and loss (P/L) figures for 36-month (36M) and 18-month (18M) at-the-money (ATM) options under various volatility and spot change scenarios after one year. It highlights the impact of time decay on option value and the sensitivity of option prices to spot moves. The tables show detailed P/L percentages for different volatility changes and spot price changes.
documents/vol00010-efta01365011-pdf.pdf
{"title":"US Derivatives Spotlight","document_date":"2013-12-03","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0055597","SDNY_GM_00201781","EFTA01365011"]}