The report discusses the attractiveness of long-dated SPX call options due to low volatility levels and embedded protection. It examines pricing drivers, historical returns, and compares strategies to outright equity. The report highlights that call strategies have shown better risk-adjusted returns than holding a cash position in the SPX index.
documents/vol00010-efta01364939-pdf.pdf
{"title":"The Compelling Case for Long-Dated SPX Calls","key_people":["Salil Aggarwal"],"document_date":"2013-12-03","document_type":"financial","key_locations":["North America","United States"],"document_subtype":"research report","key_organizations":["Deutsche Bank"]}